地缘政治风险和加密货币市场的跳跃：比特币的奇异性

Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity ofBitcoin

作者:

艾莉·布瑞（Elie Bouri）

兰甘古普塔（Rangan Gupta）

宣荣（Xuan Vinh Vo）

Are price discontinuities in cryptocurrencies jointly related to large swings in geopolitical risk?This is a relevant question to answer given recent news from the press that Bitcoin’s large priceswings are driven by large swings in the level of geopolitical risk. We answer this question byexamining first the jump incidence of daily returns for Bitcoin and other leading cryptocurrenciesvia the application of the approach of Laurent et al. (2016) and then by studying the co-jumpsusing logistic regressions. Preliminary results show that the price behaviour of all cryptocurrenciesunder study is jumpy. Further analyses show reasonable evidence to imply that co-jumps aresignificant for the case of Bitcoin only. This finding nicely complements previous studies arguingthat Bitcoin is a hedge against geopolitical risk.
加密货币的价格不连续性是否与地缘政治风险的大幅波动相关？考虑到新闻界最近的新闻，即比特币的大幅价格波动是由地缘政治风险水平的大幅波动所驱动，这是一个相关的问题。我们首先通过应用Laurent等人的方法来检查比特币和其他主要加密货币的每日收益的跳升率来回答这个问题。（2016），然后使用逻辑回归研究共同跳跃。初步结果表明，所研究的所有加密货币的价格行为都是迅速的。进一步的分析显示出合理的证据暗示共同跳跃仅对比特币而言是重要的。这一发现很好地补充了先前的研究，认为比特币是对地缘政治风险的避险工具。