Year: 2024
Type: article
Abstract: This study examines how global geopolitical risks, threats, and acts impact the daily returns of 10 major cryptocurrencies (BTC, ETH, USDT, XRP, BNB, USDC, BCH, DOGE, LTC, and ADA). The statistically significant results that are robust to the consideration of alternative model specifications and control variables suggest that there is strong evidence for (i) ETH, XRP, BNB and BCH responding negatively to the shocks of geopolitical risks, (ii) BTC, ETH, BNB, BCH, LTC and ADA responding negatively to the shocks of geopolitical threats, and (iii) all 10 cryptocurrencies not responding to the shocks of geopolitical acts. As these 10 cryptocurrencies do not respond positively to any of the three shocks in a robust and statistically significant way either, it is implied that none of them offer a reliable hedge against geopolitical risks.
Source: Review of Financial Economics
DOI: 10.1002/rfe.1223
Author: Hakan Yilmazkuday
Institution: Florida International University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4405219113