Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period

Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period

This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper ill...

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Bibliographic Details
Main Authors: Tiejun Chen, Chi Keung Marco Lau, Sadaf Cheema, Chun Kwong Koo
Format: Article
Language:English
Published: Frontiers Media S.A. 2021-03-01
Series:Frontiers in Public Health
Subjects:
COVID-19 pandemic
bitcoin
cryptocurrency markets
Chinese economy
EPU
Online Access:https://www.frontiersin.org/articles/10.3389/fpubh.2021.651051/full
Description
Summary:This paper analyses the effects of the Chinese Economic Policy Uncertainty (CEPU) index on the daily returns of Bitcoin for the period from December 31, 2019 to May 20, 2020. Utilizing the Ordinary Least Squares (OLS) and the Generalized Quantile Regression (GQR) estimation techniques, the paper illustrates that the current CEPU has a positive impact on the returns of Bitcoin. However, the positive impact is statistically significant only at the higher quantiles of the current CEPU. It is concluded that Bitcoin can be used in hedging against policy uncertainties in China since significant rises in uncertainty leads to a higher return in Bitcoin.JEL Codes: G32; G15; C22
ISSN:2296-2565

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