What drives Bitcoin’s price crash risk?

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 191
Issue: C

Authors (4)

Kalyvas, Antonios (not in RePEc) Papakyriakou, Panayiotis (not in RePEc) Sakkas, Athanasios (Athens University of Economics) Urquhart, Andrew (University of Birmingham)

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of Bitcoin is low. We also find that behavioral factors have a weak association with Bitcoin crash risk. Our results suggest that investors can hedge economic uncertainty by investing in Bitcoin.

Technical Details

RePEc Handle
repec:eee:ecolet:v:191:y:2020:i:c:s0165176519303908
Journal Field
General
Author Count
4
Added to Database
2026-01-29