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

Tiejun Chen, Chi Keung Marco Lau, Sadaf Cheema, Chun Kwong Koo

Research output: Contribution to journalArticlepeer-review

Abstract

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
Original languageEnglish
Pages (from-to)140
Number of pages1
JournalFrontiers in Public Health
Volume9
DOIs
Publication statusPublished - 11 Mar 2021

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