Do crypto investors wait and see during policy uncertainty? An examination of the dynamic relationships between policy uncertainty and exchange inflows of Bitcoin

IF 1.9 Q2 BUSINESS, FINANCE Review of Behavioral Finance Pub Date : 2023-04-11 DOI:10.1108/rbf-01-2023-0013
L. Nguyen, Phong Thanh Nguyen
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Abstract

PurposeIn this paper, the authors examine the short-term and long-term impact of general economic policy uncertainty (EPU) and crypto-specific policy uncertainty on Bitcoin’s (BTC) exchange inflows – a form of crypto investor behaviors that the authors expect to drive the cryptocurrency volatility.Design/methodology/approachThe authors use an autoregressive distributed lag (ARDL), coupled with the bounds testing approach by Pesaran et al. (2001), to analyze a weekly dataset of BTC’s exchange inflows and relevant policy uncertainty indices.FindingsThe authors observe both short-term and long-term impacts of the crypto-specific policy uncertainty on BTC’s exchange inflows, whereas the general EPU only explains these inflows in a short-term manner. In addition, the authors find exchange inflows of BTC “Granger” cause its price volatility. Furthermore, the authors document a significant and relatively persistent response of BTC volatility to shocks to its exchange inflows.Originality/valueThis study’s findings offer significant contributions to research in policy uncertainty and investor behaviors.
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在政策不确定期间,加密货币投资者是否会观望?政策不确定性与比特币外汇流入之间动态关系的研究
在本文中,作者研究了一般经济政策不确定性(EPU)和特定于加密货币的政策不确定性对比特币(BTC)交易所流入的短期和长期影响——这是一种加密货币投资者行为的形式,作者预计这种行为将推动加密货币的波动。设计/方法/方法作者使用自回归分布滞后(ARDL),结合Pesaran等人(2001)的边界测试方法,分析了比特币外汇流入和相关政策不确定性指数的每周数据集。作者观察到加密货币特定政策不确定性对比特币外汇流入的短期和长期影响,而一般EPU仅以短期方式解释这些流入。此外,作者发现比特币的外汇流入“格兰杰”导致其价格波动。此外,作者还记录了比特币波动对其外汇流入冲击的显著且相对持续的反应。原创性/价值本研究的发现对政策不确定性与投资者行为的研究有重要贡献。
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来源期刊
Review of Behavioral Finance
Review of Behavioral Finance BUSINESS, FINANCE-
CiteScore
4.70
自引率
5.00%
发文量
44
期刊介绍: Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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