TY  - BOOK
AU  - BOURI Elie
AU  - GUPTA Rangan
AU  - VO Xuan Vinh
TI  - Jumps in geopolitical risk and the cryptocurrency market: the singularity of bitcoin
PY  - 2022///
KW  - GEOPOLITICAL RISK
KW  - BITCOIN
KW  - CRYPTOCURRENCIES
KW  - JUMPS
KW  - GARCH
N2  - Are price discontinuities in cryptocurrencies jointly related to large swings in geopolitical risk? This is a relevant question to answer given recent news from the press that Bitcoin's price jumps are driven by jumps in the level of geopolitical risk index. To answer this question, we examine first the jump incidence of daily returns for Bitcoin and other leading cryptocurrencies and then study the co-jumps between cryptocurrencies and the geopolitical risk index using logistic regressions. Our dataset is at the daily frequency and covers the period 30 April 2013 to 31 October 2019. The results show that the price behaviour of all cryptocurrencies under study is jumpy but only Bitcoin jumps are dependent on jumps in the geopolitical risk index. This revealed evidence of significant co-jumps for the case of Bitcoin only nicely complements previous studies arguing that Bitcoin is a hedge against geopolitical risk
UR  - https://www.tandfonline.com/doi/full/10.1080/10242694.2020.1848285
ER  -