Abstract
In this paper, we use quantile-based analysis and nonlinear conditional autoregressive value-at-risk (CAViaR) model to investigate how cryptocurrency price and policy uncertainty indexes affect exchange traded funds (ETFs) investing in equity securities of companies operating in various disruptive innovation sectors and related to digital assets and blockchain technology. Results of the quantile-on-quantile (QQ) estimates and quantile regression reveal that cryptocurrency price and policy uncertainty generally have a negative impact on the globally traded ETFs suggesting that the changes in cryptocurrency uncertainty lead to destabilizing effects in the ETF market. Moreover, we find that the impact of cryptocurrency uncertainty is asymmetric depending on each quantile of ETF returns even though each ETF is influenced in the same way by each uncertainty index, indicating that cryptocurrency price uncertainty and cryptocurrency policy uncertainty have common effects on the ETF market. A linear quantile causality analysis indicated that there is evidence of a significant causality running from the considered uncertainty indexes to the ETF returns, revealing that cryptocurrency price and policy uncertainty have a significant information value in explaining expected ETF returns. On the other hand, we find that linear quantile models outperform nonlinear CAViaR models in quantiles that are only moderate.
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