We examine the effect of economic policy uncertainty (EPU) on the dynamic conditional correlations between Bitcoin and the US stock markets while accounting for structural changes in Bitcoin prices. The results indicate a negative effect of EPU on the dynamic conditional correlations between Bitcoin and the US stock markets only after the Bitcoin crash of December 2017. Further analysis shows an increase in the EPU level is associated with an increase in the optimal weight of Bitcoin in the portfolio before the Bitcoin crash. However, EPU exerts a negative (positive) impact on the hedging ratio during low (high) uncertainty levels after the Bitcoin crash. The findings underscore the usefulness of adding Bitcoin to a US stock portfolio, which is in line with previous studies.

我们研究了经济政策不确定性（EPU）对比特币与美国股票市场之间动态条件相关性的影响，同时考虑了比特币价格的结构性变化。结果表明，仅在2017年12月比特币崩溃之后，EPU才对比特币和美国股市之间的动态条件相关性产生负面影响。进一步的分析表明，EPU水平的提高与比特币最佳权重的增加相关。比特币崩溃之前的投资组合。但是，在比特币崩溃后的低（高）不确定性水平期间，EPU对套期保值比率产生负面（正面）影响。该发现强调了将比特币添加到美国股票投资组合中的有用性，这与之前的研究一致。