Abstract
Using a causality test in the frequency domain and a quantile regression model, we examine the impact of the US business conditions and uncertainty shocks (the US equity market uncertainty and global geopolitical risk) on Bitcoin returns. We find that (1) there exists significant causality from the US business condition and uncertainty shocks to Bitcoin returns, and (2) the effects of the US business condition and uncertainty shocks on Bitcoin returns depend on frequency and vary across different market states of Bitcoin.
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