Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis
We investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1072836 |
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| author | Junjun Ma Tingting Wang Ruwei Zhao |
| author_facet | Junjun Ma Tingting Wang Ruwei Zhao |
| author_sort | Junjun Ma |
| collection | DOAJ |
| description | We investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and USEPU. Moreover, the empirical results of MF-DCCA show that the power-law properties and multifractal characteristics between BTC and USEPU are significant. We further examine the long-range dependency of cross-correlation between BTC and USEPU series via the Hurst exponent test and confirm the durable cross-correlation. Finally, we introduce another multifractal indicator and examine the extent of multifractality among time series. The empirical results indicate that the BTC series, USEPU series, and the cross-correlation of BTC-USEPU present apparent multifractality, where BTC shows the strongest degree of multifractality. |
| format | Article |
| id | doaj-art-60a5e8e8f00a4d9bad165f4f80fdeb4d |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-60a5e8e8f00a4d9bad165f4f80fdeb4d2025-02-03T01:23:15ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/1072836Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal AnalysisJunjun Ma0Tingting Wang1Ruwei Zhao2School of Economics and ManagementTianjin Bohai Sea Monitoring and Management CenterSchool of BusinessWe investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and USEPU. Moreover, the empirical results of MF-DCCA show that the power-law properties and multifractal characteristics between BTC and USEPU are significant. We further examine the long-range dependency of cross-correlation between BTC and USEPU series via the Hurst exponent test and confirm the durable cross-correlation. Finally, we introduce another multifractal indicator and examine the extent of multifractality among time series. The empirical results indicate that the BTC series, USEPU series, and the cross-correlation of BTC-USEPU present apparent multifractality, where BTC shows the strongest degree of multifractality.http://dx.doi.org/10.1155/2022/1072836 |
| spellingShingle | Junjun Ma Tingting Wang Ruwei Zhao Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis Discrete Dynamics in Nature and Society |
| title | Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis |
| title_full | Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis |
| title_fullStr | Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis |
| title_full_unstemmed | Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis |
| title_short | Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis |
| title_sort | quantifying cross correlations between economic policy uncertainty and bitcoin market evidence from multifractal analysis |
| url | http://dx.doi.org/10.1155/2022/1072836 |
| work_keys_str_mv | AT junjunma quantifyingcrosscorrelationsbetweeneconomicpolicyuncertaintyandbitcoinmarketevidencefrommultifractalanalysis AT tingtingwang quantifyingcrosscorrelationsbetweeneconomicpolicyuncertaintyandbitcoinmarketevidencefrommultifractalanalysis AT ruweizhao quantifyingcrosscorrelationsbetweeneconomicpolicyuncertaintyandbitcoinmarketevidencefrommultifractalanalysis |