Cryptocurrency Return Dependency and Economic Policy Uncertainty

This study investigates whether economic policy uncertainty (EPU) affects the degree of Bitcoin dependency in the crypto market by calculating the Pearson correlation between Bitcoin return and the average return of 19 cryptocurrencies to determine the return dependency. The results indicate that an increase in global EPU strengthens the dependency effect; the results are similar with an increase in the EPU of crypto-friendly countries, such as the United States, United Kingdom, Japan, and South Korea. However, an increase in the EPU of crypto-unfriendly countries, such as China and Russia, does not influence the dependency effect