Advanced
Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/60890
Full metadata record
DC FieldValueLanguage
dc.contributor.authorMokni, K.-
dc.contributor.otherAjmi, A.N.-
dc.contributor.otherBouri, E.-
dc.contributor.otherVo, X.V.-
dc.date.accessioned2020-12-09T06:55:08Z-
dc.date.available2020-12-09T06:55:08Z-
dc.date.issued2020-
dc.identifier.issn1042-444X-
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85093930979&doi=10.1016%2fj.mulfin.2020.100656&partnerID=40&md5=da41c831c9a5f9478617689498179d42-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/60890-
dc.description.abstractWe 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.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier B.V.-
dc.relation.ispartofJournal of Multinational Financial Management-
dc.rightsElsevier B.V.-
dc.subjectBitcoinen
dc.subjectDynamic conditional correlationsen
dc.subjectEconomic policy uncertaintyen
dc.subjectStock marketen
dc.titleEconomic policy uncertainty and the Bitcoin-US stock nexusen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.mulfin.2020.100656-
ueh.JournalRankingScopus-
item.fulltextOnly abstracts-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.openairetypeJournal Article-
Appears in Collections:INTERNATIONAL PUBLICATIONS
Show simple item record

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.