Abstract
This paper examines the influence of global economic policy uncertainty on the stability of cryptocurrency returns and the moderating role of liquidity volatility. Findings reveal that the stability of cryptocurrency returns is higher when economic policy uncertainty is higher, implying that cryptocurrencies may be perceived as a safe-haven asset against economic policy uncertainty during the sample period. More importantly, investors in the cryptocurrency market perceive liquidity volatility as liquidity risk, and cryptocurrencies will no longer be a safe haven against economic policy uncertainty when liquidity volatility is high. Further research shows that investors tend to ignore the risks associated with liquidity volatility when the stock market is in a fearful mood or the cryptocurrency market is in a greedy mood. Furthermore, during the COVID-19 pandemic, investors became more concerned about liquidity volatility in cryptocurrencies, suggesting a rise in risk aversion.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
