Effects of the geopolitical risks on Bitcoin returns and volatility

Ahmet Faruk Aysan, Ender Demir, Giray Gozgor, Chi Keung Marco Lau

    Research output: Contribution to journalArticlepeer-review

    48 Citations (Scopus)


    This paper investigates the predictive power of global geopolitical risks (GPR) index on daily returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018. Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin are positively and negatively related to the GPR, respectively. However, findings from the Quantile-on-Quantile (QQ) estimations state that the effects are positive at the higher quantiles of both the GPR as well as the price volatility and the returns of Bitcoin. Therefore, we conclude that Bitcoin can be considered as a hedging tool against global geopolitical risks.

    Original languageEnglish
    Pages (from-to)511-518
    Number of pages8
    JournalResearch in International Business and Finance
    Publication statusPublished - 12 Jan 2019

    Bibliographical note

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    © 2018 Elsevier B.V.

    Copyright 2018 Elsevier B.V., All rights reserved.


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