Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis
Discrete Dynamics in Nature and Society
; 2022, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1909866
ABSTRACT
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.
Environmental Studies; Stock exchanges; Economic policy; Fractal analysis; Web sites; Normal distribution; Securities markets; Volatility; Digital currencies; Fractals; Stochastic models; Economic analysis; Correlation analysis; Empirical analysis; Time series; Cross correlation; Coronaviruses; Uncertainty; COVID-19; United States--US
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Randomized controlled trials
Language:
English
Journal:
Discrete Dynamics in Nature and Society
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS