Effects of the geopolitical risks on Bitcoin returns and volatility

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dc.authorid0000-0002-2430-5592
dc.authorid0000-0003-4034-269X
dc.contributor.authorAysan, Ahmet Faruk
dc.contributor.authorDemir, Ender
dc.contributor.authorGözgör, Giray
dc.contributor.authorLau, Chi Keung Marco
dc.date.accessioned2025-05-10T19:43:32Z
dc.date.issued2019
dc.departmentİMÜ, Fakülteler, Siyasal Bilgiler Fakültesi, Uluslararası İlişkiler Bölümü
dc.description.abstractThis 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.
dc.identifier.doi10.1016/j.ribaf.2018.09.011
dc.identifier.endpage518
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85054463666
dc.identifier.scopusqualityQ1
dc.identifier.startpage511
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2018.09.011
dc.identifier.urihttps://hdl.handle.net/20.500.14730/10647
dc.identifier.volume47
dc.identifier.wosWOS:000454868900036
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGözgör, Giray
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250302
dc.subjectBitcoin
dc.subjectCryptocurrencies
dc.subjectGeopolitical risks
dc.subjectBSGVAR model
dc.subjectQuantile-on-quantile estimations
dc.titleEffects of the geopolitical risks on Bitcoin returns and volatility
dc.typeArticle

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