خلاصة:
Geopolitical risk, encompassing a range of political and geographical uncertainties and shocks, significantly influences financial markets, particularly the cryptocurrency sector. Bitcoin, as one of the leading cryptocurrencies, is especially susceptible to these risks due to its strong ties to social and economic factors that affect investor behavior. Additionally, the global spread of the COVID-19 pandemic, which has become one of the most significant crises of recent times, has also impacted financial markets, with its severity exacerbated by geopolitical tensions. This study investigates how both geopolitical risk and the COVID-19 pandemic have influenced Bitcoin’s yield and its volatility.The analysis utilizes monthly Bitcoin price data spanning from January 2011 to August 2022, covering a period of 140 months. Using the EGARCH model and hypothesis testing, the results reveal that while the COVID-19 pandemic has no significant effect on Bitcoin yields, it has a negative impact on Bitcoin yield volatility. Furthermore, the study finds that while geopolitical risk does not directly affect Bitcoin’s yield, it increases the volatility of Bitcoin yields.This research highlights the nuanced relationship between external shocks and cryptocurrency market dynamics, offering valuable insights for investors and policymakers alike in navigating the volatility of digital assets.
ملخص الجهاز:
Journal of Program and Development Research Research Article Investigating the impact of geopolitical risk and the COVID-19 pandemic on the return and volatility of Bitcoin returns Ali Reza Sharif Moghaddasi Elham Mohammadloo Year 6, Number 21, Spring 2025 Received Date: 2024/07/04 Accepted Date: 2025/01/05 Abstract Geopolitical risk, which is a set of hazards, uncertainties, and shocks related to political and geographical situations, creates fluctuations in financial markets through social and economic variables by affecting investor behavior; especially in the cryptocurrency market and specifically the cryptocurrency Bitcoin.
The influence of cryptocurrencies, especially Bitcoin, in global markets during the COVID-19 pandemic years, through creating global public fear and by affecting the long-term horizon of investors, shows that geopolitical risk can, through its impact on Bitcoin, financial markets, and consequently, the economy, exert influence, which is one of the specific characteristics of this article.
1 (2024), in an article investigating the impact of economic uncertainty factors and geopolitical risk on digital currencies, especially Bitcoin, and predicting their fluctuations using GJR-GARCH, GARCH, and EGARCH models, addressed this issue.
Gabarre 1 (2020), in investigating the relationship between stock prices and three types of uncertainty, including economic policy uncertainty, uncertainty arising from stock market fluctuations, and geopolitical risks for two countries, Spain (developed) and Brazil (developing), using the Vector Autoregression with distributional lags method and monthly data from January 2006 to December 2019 for a series of financial and macroeconomic variables in response to the question of whether these forms of uncertainty play the same role in developed and developing countries, concluded that there is no identical effect of uncertainty on the stock markets of the sample countries.
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