Cover Image

Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election

Purpose – This paper aims to investigate the effect of the political risk on Bitcoin return and volatility during the 2016 US pre-election and post-election periods. Design/methodology/approach – A daily composite political risk index is calculated by using the principal component analysis and Goog...

Full description

Saved in:
Bibliographic Details
Main Authors: Ajmi, Hechem, Arfaoui, Nadia
Format: Article
Language:English
English
Published: Emerald Publishing Limited 2020
Subjects:
HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/86668/7/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin_SCOPUS.pdf
http://irep.iium.edu.my/86668/13/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin.pdf
http://irep.iium.edu.my/86668/
https://www.emerald.com/insight/content/doi/10.1108/JFEP-01-2020-0010/full/html
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.iium.irep.86668
record_format dspace
spelling my.iium.irep.866682020-12-22T05:06:59Z http://irep.iium.edu.my/86668/ Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election Ajmi, Hechem Arfaoui, Nadia HB131 Methodology.Mathematical economics. Quantitative methods HB221 Price HG4501 Stocks, investment, speculation Purpose – This paper aims to investigate the effect of the political risk on Bitcoin return and volatility during the 2016 US pre-election and post-election periods. Design/methodology/approach – A daily composite political risk index is calculated by using the principal component analysis and Google Trends. A quantile regression approach is adopted to assess the effect of the political risk index on Bitcoin return and volatility for both periods subject to market conditions. Findings – Findings reveal that the political risk index tends to increase when moving from the pre-election period to the post-election one. This is mostly attributed to the new challenges faced by the new elected government. During the pre-election period, the quantiles regression shows that the political risk index negatively affects Bitcoin return when the market is bearish, whereas a positive impact on volatility is found in bearish and bullish markets. When the political situation becomes severer during the post-election period, the quantiles plots show that the increase of the political risk index leads to a significant increase of Bitcoin return, whereas Bitcoin volatility remains relatively stable. This means that Bitcoin can be adopted as a hedging tool when the political situation becomes severer. Originality/value – Comparing to the existed studies in the field, this paper considers Google trends as a main source to assess the daily composite political risk index during the 2016 US presidential election. Emerald Publishing Limited 2020-08-20 Article PeerReviewed application/pdf en http://irep.iium.edu.my/86668/7/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/86668/13/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin.pdf Ajmi, Hechem and Arfaoui, Nadia (2020) Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election. Journal of Financial Economic Policy, ahead-of-print. pp. 1-22. ISSN 17576385 E-ISSN 1757-6393 (In Press) https://www.emerald.com/insight/content/doi/10.1108/JFEP-01-2020-0010/full/html 10.1108/JFEP-01-2020-0010
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
HG4501 Stocks, investment, speculation
spellingShingle HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
HG4501 Stocks, investment, speculation
Ajmi, Hechem
Arfaoui, Nadia
Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
description Purpose – This paper aims to investigate the effect of the political risk on Bitcoin return and volatility during the 2016 US pre-election and post-election periods. Design/methodology/approach – A daily composite political risk index is calculated by using the principal component analysis and Google Trends. A quantile regression approach is adopted to assess the effect of the political risk index on Bitcoin return and volatility for both periods subject to market conditions. Findings – Findings reveal that the political risk index tends to increase when moving from the pre-election period to the post-election one. This is mostly attributed to the new challenges faced by the new elected government. During the pre-election period, the quantiles regression shows that the political risk index negatively affects Bitcoin return when the market is bearish, whereas a positive impact on volatility is found in bearish and bullish markets. When the political situation becomes severer during the post-election period, the quantiles plots show that the increase of the political risk index leads to a significant increase of Bitcoin return, whereas Bitcoin volatility remains relatively stable. This means that Bitcoin can be adopted as a hedging tool when the political situation becomes severer. Originality/value – Comparing to the existed studies in the field, this paper considers Google trends as a main source to assess the daily composite political risk index during the 2016 US presidential election.
format Article
author Ajmi, Hechem
Arfaoui, Nadia
author_facet Ajmi, Hechem
Arfaoui, Nadia
author_sort Ajmi, Hechem
title Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
title_short Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
title_full Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
title_fullStr Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
title_full_unstemmed Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
title_sort effects of the political risk on bitcoin return and volatility: evidence from the 2016 us presidential election
publisher Emerald Publishing Limited
publishDate 2020
url http://irep.iium.edu.my/86668/7/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin_SCOPUS.pdf
http://irep.iium.edu.my/86668/13/86668_Effects%20of%20the%20political%20risk%20on%20Bitcoin.pdf
http://irep.iium.edu.my/86668/
https://www.emerald.com/insight/content/doi/10.1108/JFEP-01-2020-0010/full/html
_version_ 1687393173017460736
score 13.211869

Similar Items