Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2024.
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Previous issue date: 2024-11
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With technological advancement and the subsequent digitization, a new form of digital
currency, cryptocurrency, was introduced. Since then, the cryptocurrency market has
been rapidly evolving, becoming a dynamic sector and attracting interest from various
fields. Many researchers have focused their attention on analyzing the potential of
cryptocurrencies, while investors have begun exploring the opportunities offered for
investment and profitability.
This paper examines the effect of uncertainty on the cryptocurrency market. For this
purpose, the three cryptocurrencies with the highest daily trading volume and market
capitalization—Bitcoin, Ethereum, and Tether—are analyzed. The study introduces
five new uncertainty indices: the Cryptocurrency Policy Uncertainty Index (UCRY
Policy), the Cryptocurrency Price Uncertainty Index (UCRY Price), the Central Bank
Digital Currency Uncertainty Index (CBDCUI), the Central Bank Digital Currency
Attention Index (CBDCAI), and the Index of Cryptocurrency Environmental Attention
(ICEA). Additionally, the study incorporates the FTSE All World Index, the EUR/USD
exchange rate index, and the CBOE Volatility Index (VIX) to provide a broader context
for analyzing the impact of uncertainty on global markets. The study period spans from
April 16, 2017, to September 29, 2024, with a total of 390 weekly observations.
For data analysis, a Vector Autoregressive (VAR) model is initially used, and
subsequently, Granger Causality Test, Impulse Response Functions and Variance
Decomposition are applied to gain deeper insights into the relationships between the
variables.
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University of Macedonia
