The time-varying correlation between cryptocurrency policy uncertainty and cryptocurrency returns

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dc.contributor.authorKaraomer, Yunus
dc.date.accessioned2024-09-18T20:13:35Z
dc.date.available2024-09-18T20:13:35Z
dc.date.issued2022
dc.departmentHatay Mustafa Kemal Üniversitesien_US
dc.description.abstractPurpose This study aims to analyze the time-varying correlation between the cryptocurrency policy uncertainty (UCRY Policy) and cryptocurrency returns. More specifically, it analyzes whether these correlations vary according to the uncertainty attributable to salient events such as China banning ICOs, cryptocurrency exchanges attacks, Coronavirus (Covid-19) pandemic crisis and the United States (U.S.) Security and Exchange Commission's (SEC's) announcement about Ripple. Design/methodology/approach To measure the dynamic relationship, it uses the dynamic conditional correlation (DCC) model of Engle (2002) to consider time variation in UCRY Policy and cryptocurrency returns. The data set encompasses the weekly frequency data of the UCRY Policy and Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), Ripple (XRP), Stellar (XLM), Dash (DASH), Monero (XMR) from 4 September 2016, to 21 February 2021. Findings Empirical findings indicate that the correlations between the UCRY Policy and the BTC, ETH, LTC, XRP, XLM, DASH and XMR returns are consistently negative. Thus, an increase in the volatility of the UCRY Policy can lead to a decrease in volatility for BTC, ETH, LTC, XRP, XLM, DASH and XMR returns. Besides, these findings indicate that the estimated DCC is not only time-varying but also substantially responsive to salient events, such as China banning ICOs, cryptocurrency exchanges attacks, the Covid-19 pandemic crisis and SEC's announcement about Ripple. Besides, empirical findings show that cryptocurrency returns are adversely impacted by UCRY Policy during the salient events (China bans ICOs, the hack of cryptocurrency exchanges, Covid-19 crisis), suggesting their failure to act as a hedge or safe-haven asset. Originality/value To the best of the author's knowledge, this study investigates the time-varying correlation between UCRY Policy and cryptocurrency returns. Besides, this study may be useful for new studies and fill a gap in the finance literature, due to the limited number of studies on the UCRY Policy in the finance literature.en_US
dc.identifier.doi10.1108/SEF-10-2021-0436
dc.identifier.endpage310en_US
dc.identifier.issn1086-7376
dc.identifier.issn1755-6791
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85124591694en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage297en_US
dc.identifier.urihttps://doi.org/10.1108/SEF-10-2021-0436
dc.identifier.urihttps://hdl.handle.net/20.500.12483/9273
dc.identifier.volume39en_US
dc.identifier.wosWOS:000759607700001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherEmerald Group Publishing Ltden_US
dc.relation.ispartofStudies in Economics and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCryptocurrenciesen_US
dc.subjectCryptocurrency policy uncertaintyen_US
dc.subjectDCC-GARCHen_US
dc.subjectC22en_US
dc.subjectD80en_US
dc.subjectG19en_US
dc.titleThe time-varying correlation between cryptocurrency policy uncertainty and cryptocurrency returnsen_US
dc.typeArticleen_US

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