TY - JOUR
T1 - Economic Policy Uncertainty in China and Bitcoin Returns: Evidence From the COVID-19 Period
AU - Chen, Tiejun
AU - Lau, Chi Keung Marco
AU - Cheema, Sadaf
AU - Koo, Chun Kwong
PY - 2021/3/11
Y1 - 2021/3/11
N2 - 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
AB - 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
U2 - 10.3389/fpubh.2021.651051
DO - 10.3389/fpubh.2021.651051
M3 - Article
SN - 2296-2565
VL - 9
SP - 140
JO - Frontiers in Public Health
JF - Frontiers in Public Health
ER -