Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis
Abstract This study investigates how the uncertainty surrounding cryptocurrency affects cryptocurrency returns (CR) by employing various wavelet techniques. We concentrate on the recently published cryptocurrency uncertainty index (UCRY) and the top eight cryptocurrencies by market capitalization fr...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00734-z |
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| author | Abdollah Ah Mand |
| author_facet | Abdollah Ah Mand |
| author_sort | Abdollah Ah Mand |
| collection | DOAJ |
| description | Abstract This study investigates how the uncertainty surrounding cryptocurrency affects cryptocurrency returns (CR) by employing various wavelet techniques. We concentrate on the recently published cryptocurrency uncertainty index (UCRY) and the top eight cryptocurrencies by market capitalization from December 30, 2013, to June 30, 2023. Our results showed that the UCRY index strongly predicted CR. In particular, the UCRY index has a leading position at all frequencies for all cryptocurrencies in our sample. Additionally, when the impacts of economic policy uncertainty and the volatility index are eliminated, the significant comovement of UCRY-CR remains unchanged for the short-, medium-, and long-term investment horizons. Therefore, we conclude that the UCRY-CR relationship is both persistent and pervasive. Our study contributes toward the literature on the relationships between cryptocurrencies and market uncertainties, as well as toward investors who use uncertainty indices to design investment strategies for their portfolios. |
| format | Article |
| id | doaj-art-4c75d563d435407ebe06d3a27fc32bc9 |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-4c75d563d435407ebe06d3a27fc32bc92025-01-19T12:36:11ZengSpringerOpenFinancial Innovation2199-47302025-01-0111112910.1186/s40854-024-00734-zCryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysisAbdollah Ah Mand0Department of Accounting and Finance, University of the West of EnglandAbstract This study investigates how the uncertainty surrounding cryptocurrency affects cryptocurrency returns (CR) by employing various wavelet techniques. We concentrate on the recently published cryptocurrency uncertainty index (UCRY) and the top eight cryptocurrencies by market capitalization from December 30, 2013, to June 30, 2023. Our results showed that the UCRY index strongly predicted CR. In particular, the UCRY index has a leading position at all frequencies for all cryptocurrencies in our sample. Additionally, when the impacts of economic policy uncertainty and the volatility index are eliminated, the significant comovement of UCRY-CR remains unchanged for the short-, medium-, and long-term investment horizons. Therefore, we conclude that the UCRY-CR relationship is both persistent and pervasive. Our study contributes toward the literature on the relationships between cryptocurrencies and market uncertainties, as well as toward investors who use uncertainty indices to design investment strategies for their portfolios.https://doi.org/10.1186/s40854-024-00734-zCryptocurrency uncertainty indexCryptocurrencyBitcoinWavelet coherence analysisPartial wavelet coherence |
| spellingShingle | Abdollah Ah Mand Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis Financial Innovation Cryptocurrency uncertainty index Cryptocurrency Bitcoin Wavelet coherence analysis Partial wavelet coherence |
| title | Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis |
| title_full | Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis |
| title_fullStr | Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis |
| title_full_unstemmed | Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis |
| title_short | Cryptocurrency returns and cryptocurrency uncertainty: a time–frequency analysis |
| title_sort | cryptocurrency returns and cryptocurrency uncertainty a time frequency analysis |
| topic | Cryptocurrency uncertainty index Cryptocurrency Bitcoin Wavelet coherence analysis Partial wavelet coherence |
| url | https://doi.org/10.1186/s40854-024-00734-z |
| work_keys_str_mv | AT abdollahahmand cryptocurrencyreturnsandcryptocurrencyuncertaintyatimefrequencyanalysis |