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dc.contributor.authorAl Mamun, M.
dc.contributor.authorUddin, G. S.
dc.contributor.authorSuleman, Muhammad T.
dc.contributor.authorKang, S. H.
dc.date.accessioned2019-11-17T22:43:19Z
dc.date.available2019-10-17en
dc.date.issued2020-02-15
dc.identifier.issn0378-4371en
dc.identifier.urihttps://hdl.handle.net/10182/11074
dc.description.abstractWe investigate the impact of geopolitical risk, global and US economic policy uncertainty on the structure of Bitcoin correlation with various financial and commodities asset classes. We further investigate the impact of the aforementioned factors on the volatility and risk premium of Bitcoin investment. We find that both geopolitical risk and global economic policy uncertainty command a risk premium, particularly in distress market conditions. Moreover, during the period of high policy uncertainty and worsening economic conditions, Bitcoin investors can only hedge their portfolio with gold, not with other financial assets. Our results highlight that the effect of geopolitical risk, global and US economic policy uncertainty is far more significant during unfavorable economic conditions.en
dc.format.extent11en
dc.languageenen
dc.language.isoen
dc.publisherElsevier BV on behalf of North-Holland
dc.relationThe original publication is available from - Elsevier BV on behalf of North-Holland - https://doi.org/10.1016/j.physa.2019.123107en
dc.relation.urihttps://doi.org/10.1016/j.physa.2019.123107en
dc.rights© 2019 Published by Elsevier B.V
dc.subjectBitcoinen
dc.subjecteconomic policy uncertaintyen
dc.subjectgeopolitical risken
dc.subjectrisk premiaen
dc.subjectFluids & Plasmasen
dc.titleGeopolitical risk, uncertainty and Bitcoin investmenten
dc.typeJournal Article
lu.contributor.unitLincoln University
lu.contributor.unitFaculty of Agribusiness and Commerce
lu.contributor.unitDepartment of Financial and Business Systems
dc.identifier.doi10.1016/j.physa.2019.123107en
dc.relation.isPartOfPhysica A: Statistical Mechanics and its Applicationsen
pubs.notesArticle number 123107en
pubs.organisational-group/LU
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.publication-statusPublished onlineen
pubs.volume540en


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