ABSTRACT

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.

摘要

加密货币的价格不连续性是否与地缘政治风险的大幅波动共同相关？鉴于媒体最近有消息称比特币的价格上涨是由地缘政治风险指数水平的上涨推动的，这是一个需要回答的相关问题。为了回答这个问题，我们首先检查比特币和其他主要加密货币的每日收益跳跃发生率，然后使用逻辑回归研究加密货币和地缘政治风险指数之间的共同跳跃。我们的数据集采用每日频率，涵盖 2013 年 4 月 30 日至 2019 年 10 月 31 日期间。结果表明，研究中的所有加密货币的价格行为都是跳跃的，但只有比特币的跳跃取决于地缘政治风险指数的跳跃。