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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Detalles Bibliográficos
Autores principales: Chen, Tiejun, Lau, Chi Keung Marco, Cheema, Sadaf, Koo, Chun Kwong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Frontiers Media S.A. 2021
Materias:
Public Health
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7991402/
https://www.ncbi.nlm.nih.gov/pubmed/33777889
http://dx.doi.org/10.3389/fpubh.2021.651051
Descripción
Sumario: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

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