Cryptocurrency Market Dynamics: Interconnectedness and Interdependence with Global Uncertainties
The study aims to understand the interconnectedness and interdependence of cryptocurrency with global uncertainties. The study employs quantile regression and Markov regime-switching models to understand the time-varying connectedness between the cryptocurrency market and uncertainties. The study findings reveal that geopolitical risk positively influences cryptocurrency returns at all quantiles, highlighting the significance of understanding geopolitical risk before considering the investments in cryptocurrency market. On the other hand, economic policy uncertainty negatively affects with the returns during economic expansions and at higher quantiles. Cryptocurrency market is independent of gold price volatility and oil price volatility significantly reduces cryptocurrency returns. The results suggest that cryptocurrency investments are attractive during geopolitical uncertainties, they are unfavourably affected by economic policy uncertainty and oil price volatility, reflecting complex investor behaviours.
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