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Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets |
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| Institution: | 1. Istanbul Medeniyet University, Turkey;2. Department of Accountancy, Finance, and Economics, University of Huddersfield, Queensgate, Huddersfield, HD1 3DH, United Kingdom;3. Queen''s Management School, Queen''s University Belfast, BT9 5EE, Northern Ireland, United Kingdom;1. IRMAPE, ESC Pau Business School, France;2. CATT, University of Pau, France;3. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;4. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;5. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;6. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France;1. Department of Economics and Finance, Durham University, Durham DH1 3LB, UK;2. Department of Economics, Faculty of Commerce, Zagazig University, Egypt;3. Istanbul Medeniyet University, Turkey;4. Southampton Business School, University of Southampton, UK |
| Abstract: | This paper sets out to explore whether the innovative Economic Policy Uncertainty (EPU) index and the safe haven asset of gold influence returns of high-capitalization cryptocurrencies in a non-linear manner. Estimations take place both concerning flourishing and stressed periods in the digital currency markets. Econometric outcomes reveal that the returns of almost half of the cryptocurrencies investigated are tightly connected to the EPU index in bull markets while even more currencies are linked with the index during bear markets. Similar findings are revealed as concerns gold as it proves to be more influential during bear markets due to its hedging capacities. There is also evidence that causality in variance is significant in all but the higher quantile concerning both EPU and gold estimations in both bull and bear markets. |
| Keywords: | Cryptocurrencies Economic policy uncertainty index Gold Bull market Bear market G11 G15 |
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