DefinePK

Abstract

The basic purpose of this study to investigate the connectedness of the returns of cryptocurrencies and changes in the cryptocurrency policy uncertainty (UCRY Policy). To measure thedynamic relationship, study used Diebold and Yilmaz (2012) connectedness measurement approachto measure the returns connectedness among 7 major cryptocurrencies and UCRY Policy index. Thedata set encompasses the weekly frequency data of the UCRY Policy and Bitcoin (BTC), Ethereum(ETH), Litecoin (LTC), Ripple (XRP), Stellar (XLM), Doge (DOGE), Monero (XMR) ranging from 10August 2015 to 15 February 2021. Empirical findings indicate that total directional connectednessmeasures between the UCRY policy index, XRP, NEM, Menero and ETH differentiate themselves“from” other cryptocurrencies by having very low "to" connectedness. The study has important implications, i.e., Investors should be clear now that any change in the returns of the Bitcoin, DOGE andLitecoin spillover the risk to other cryptocurrencies along with the change in the UCRY policy index.