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Bitcoin market connectedness across political uncertainty

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  • Chen, Yuxuan
  • Chiu, Junmao
  • Chung, Huimin
  • Lien, Donald

Abstract

In this study, we examine the risk transmissions between the bitcoin market, political uncertainty, and various financial market uncertainty measures. We find that the returns and volatilities of Bitcoin are the receivers of the information from political uncertainty measures, such as the geopolitical risk index and the party conflict indices. These effects are strong during periods of financial stress. Further, the financial market uncertainty measures switch between the roles of transmitters and receivers over time. Our results further show that Bitcoin has hedging and safe-haven properties that mitigate political uncertainty. Our results provide a full understanding of how political uncertainty is transmitted to the Bitcoin market.

Suggested Citation

  • Chen, Yuxuan & Chiu, Junmao & Chung, Huimin & Lien, Donald, 2024. "Bitcoin market connectedness across political uncertainty," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    • Handle: RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024006154
    DOI: 10.1016/j.iref.2024.103623
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    More about this item

    Keywords

    Political uncertainty; Geopolitical risk; Party conflict; Bitcoin market; Financial connectedness;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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