Is geopolitical risk priced in the cross-section of cryptocurrency returns?

Long, Huaigang; Demir, Ender; Będowska-Sójka, Barbara; Zaremba, Adam; Shahzad, Syed Jawad Hussain

dc.title	Is geopolitical risk priced in the cross-section of cryptocurrency returns?	en
dc.contributor.author	Long, Huaigang
dc.contributor.author	Demir, Ender
dc.contributor.author	Będowska-Sójka, Barbara
dc.contributor.author	Zaremba, Adam
dc.contributor.author	Shahzad, Syed Jawad Hussain
dc.relation.ispartof	Finance Research Letters
dc.identifier.issn	1544-6123 Scopus Sources, Sherpa/RoMEO, JCR
dc.identifier.issn	1544-6131 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued	2022
utb.relation.volume	49
dc.type	article
dc.language.iso	en
dc.publisher	Elsevier Ltd
dc.identifier.doi	10.1016/j.frl.2022.103131
dc.relation.uri	https://www.sciencedirect.com/science/article/pii/S1544612322003543
dc.subject	cryptocurrencies	en
dc.subject	the cross-section of returns	en
dc.subject	asset pricing	en
dc.subject	geopolitical risk	en
dc.subject	return predictability	en
dc.description.abstract	We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as motivation to hold cryptocurrencies with low and negative geopolitical betas, and they are willing to pay a premium for assets with high and positive geopolitical betas. The effect cannot be explained by known return predictors and is robust to many considerations.	en
utb.faculty	Faculty of Management and Economics
dc.identifier.uri	http://hdl.handle.net/10563/1011074
utb.identifier.obdid	43883887
utb.identifier.scopus	2-s2.0-85134582380
utb.identifier.wok	000831658600012
utb.source	j-scopus
dc.date.accessioned	2022-08-17T13:17:24Z
dc.date.available	2022-08-17T13:17:24Z
dc.description.sponsorship	Narodowym Centrum Nauki, NCN: 2021/41/B/HS4/02443
dc.description.sponsorship	National Science Center of Poland [2021/41/B/HS4/02443]
dc.rights	Attribution-NonCommercial-NoDerivs 4.0 International
dc.rights.uri	https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.access	openAccess
utb.contributor.internalauthor	Demir, Ender
utb.fulltext.affiliation	Huaigang Long a,, Ender Demir b,f, Barbara Będowska-Sójka c, Adam Zaremba d,e, Syed Jawad Hussain Shahzad d a School of Finance, Zhejiang University of Finance and Economics, 18 Xueyuan Street, Hangzhou, Zhejiang 310018, China b Department of Business Administration, School of Social Sciences, Reykjavik University, Menntavegur 1, 102, 101, Reykjavík, Iceland c Department of Econometrics, Institute of Informatics and Quantitative Economics, Poznan University of Economics and Business, al. Niepodległości 10, Poznań 61-875, Poland d Montpellier Business School, 2300 Avenue des Moulins, Montpellier 34185 Cedex 4, France e Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodległości 10, Poznań 61-875, Poland f Tomas Bata University in Zlin, Zlin, Czech Republic Corresponding author at: School of Finance, Zhejiang University of Finance and Economics, 18 Xueyuan Street, Hangzhou City, Zhejiang Prov, China 310018. E-mail address: longhuaigang@zufe.edu.cn (H. Long).
utb.fulltext.dates	Received 20 May 2022 Received in revised form 21 June 2022 Accepted 5 July 2022 Available online 6 July 2022
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utb.fulltext.sponsorship	We thank Andrew Urquhart and John W. Goodell for helpful comments and suggestions. Barbara Będowska-Sójka acknowledges the support of the National Science Center of Poland [grant no. 2021/41/B/HS4/02443].
utb.wos.affiliation	[Long, Huaigang] Zhejiang Univ Finance & Econ, Sch Finance, 18 Xueyuan St, Hangzhou 310018, Zhejiang, Peoples R China; [Demir, Ender] Reykjavik Univ, Sch Social Sci, Dept Business Adm, Menntavegur 1, 102, 101 Reykjavik, Iceland; [Bedowska-Sojka, Barbara] Poznan Univ Econ & Business, Inst Informat & Quantitat Econ, Dept Econometr, al Niepodleglosci 10, 61-875 Poznan, Poland; [Zaremba, Adam; Shahzad, Syed Jawad Hussain] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France; [Zaremba, Adam] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, al Niepodleglosci 10, 61-875 Poznan, Poland; [Demir, Ender] Tomas Bata Univ Zlin, Zlin, Czech Republic
utb.scopus.affiliation	School of Finance, Zhejiang University of Finance and Economics, 18 Xueyuan Street, Hangzhou, Zhejiang 310018, China; Department of Business Administration, School of Social Sciences, Reykjavik University, Menntavegur 1, 102, 101, Reykjavík, Iceland; Department of Econometrics, Institute of Informatics and Quantitative Economics, Poznan University of Economics and Business, al. Niepodległości 10, Poznań, 61-875, Poland; Montpellier Business School, 2300 Avenue des Moulins, Montpellier, 34185 Cedex 4, France; Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodległości 10, Poznań, 61-875, Poland; Tomas Bata University in Zlin, Zlin, Czech Republic
utb.fulltext.projects	2021/41/B/HS4/02443
utb.fulltext.faculty	-
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utb.identifier.jel	F51
utb.identifier.jel	G11
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