The cryptocurrency uncertainty index

Lucey, Brian M., Vigne, Samuel A., Yarovaya, Larisa and Wang, Yizhi 2022. The cryptocurrency uncertainty index. Finance Research Letters 45 , 102147. 10.1016/j.frl.2021.102147

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Abstract

We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	1544-6123
Date of First Compliant Deposit:	24 May 2023
Date of Acceptance:	16 May 2021
Last Modified:	28 Jul 2023 05:59
URI:	https://orca.cardiff.ac.uk/id/eprint/159764

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