Effects of the geopolitical risks on Bitcoin returns and volatility
This paper investigates the predictive power of global geopolitical risks (GPR) index on daily
returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018.
Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we
find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of
the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin
are positively and negatively related to the GPR, respectively. However, findings from the …
returns and price volatility of Bitcoin over the period July 18, 2010–May 31, 2018.
Considering Bayesian Graphical Structural Vector Autoregressive (BSGVAR) technique, we
find that GPR has a predictive power on both returns and volatility of Bitcoin. The results of
the Ordinary Least Squares (OLS) estimations show that price volatility and returns of Bitcoin
are positively and negatively related to the GPR, respectively. However, findings from the …
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