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首页> 外文期刊>Journal of Financial Economic Policy >Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election
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Effects of the political risk on Bitcoin return and volatility: evidence from the 2016 US presidential election

机译：政治风险对比特币回归和波动的影响：2016年美国总统大选的证据

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Purpose - This paper aims to investigate the effect of the political risk on Bitcoin return and volatility during the 2016 US pre-election and post-election periods. Design/methodology/approach - A daily composite political risk index is calculated by using the principal component analysis and Google Trends. A quantile regression approach is adopted to assess the effect of the political risk index on Bitcoin return and volatility for both periods subject to market conditions. Findings Findings reveal that the political risk index tends to increase when moving from the pre-election period to the post-election one. This is mostly attributed to the new challenges faced by the new elected government. During the pre-election period, the quantiles regression shows that the political risk index negatively affects Bitcoin return when the market is bearish, whereas a positive impact on volatility is found in bearish and bullish markets. When the political situation becomes severer during the post-election period, the quantiles plots show that the increase of the political risk index leads to a significant increase of Bitcoin return, whereas Bitcoin volatility remains relatively stable. This means that Bitcoin can be adopted as a hedging tool when the political situation becomes severer. Originality/value - Comparing to the existed studies in the field, this paper considers Google trends as a main source to assess the daily composite political risk index during the 2016 US presidential election.
机译：目的 - 本文旨在调查2016年美国选举前和选举后期比特币回归和波动性的政治风险的影响。设计/方法/方法 - 通过使用主成分分析和Google趋势来计算每日复合政治风险指数。通过量化的回归方法来评估政治风险指数对符合市场条件的时期的比特币回归和波动性的影响。调查结果表明，在从选举前期间到选举后，政治风险指数往往会增加。 This is mostly attributed to the new challenges faced by the new elected government.在选举前期间，量化回归表明，当市场看跌时，政治风险指数对比特币返回产生负面影响，而在看涨和看涨市场中发现对波动性的积极影响。当政治局势在选举后时期变得严格时，量级地块表明，政治风险指数的增加导致比特币返回的显着增加，而比特币波动仍然相对稳定。这意味着当政治局势变得严重时，比特币可以作为对冲工具。本文将谷歌趋势视为2016年美国总统大选期间评估日常复合政治风险指数的主要来源，与本领域存在的研究相比，将谷歌趋势视为评估日常复合政治风险指数的主要来源。

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