| Popis: |
We investigate how uncertainty surrounding cryptocurrencies impacts returns in cryptocurrencies using wavelet techniques. Relying on a newly released UCRY index representing cryptocurrency uncertainty, we find UCRY to significantly predict cryptocurrency returns (CR) in all frequencies. Moreover, the UCRY-CR nexus is not influenced by other global uncertainty indexes. The significant co-movement of UCRY-CR remains unchanged for short-, medium- and long-term investment horizons when the effects of economic policy uncertainty and volatility index are removed. Thus, the UCRY-CR relationship is persistent and pervasive. |
