지정학적 위험과 비트코인 변동성에 관한 연구

From September 1, 2017 to October 31, 2025, this study empirically analyzed the effect of changes in geopolitical risk on the return and volatility of bitcoin prices using geopolitical risk index and bitcoin prices. The results of the empirical analysis during the sample period presented in this study are as follows. First, the two-way causal relationship between geopolitical risk and Bitcoin changes over time, and in the case of bitcoin returns, there are many times when the geopolitical risk index is preceded, but bitcoin volatility generally follows the geopolitical risk index. Second, when the geopolitical risk index rises, the bitcoin yield decreases, but in the upper quartile, the effect of the geopolitical risk index on the bitcoin yield changes to a positive(+) direction. Third, the effect of the geopolitical risk index on the bitcoin volatility was positive(+), but it was statistically significant only when it was above the middle quartile and focused on lag 1, lag 2, and lag 8. These findings imply that Bitcoin can be an important means of hedging portfolios against geopolitical risks. However, it is suggested that hedging should be considered in the upward phase of the bitcoin market, and that it should be incorporated into the portfolio for the diversification effect in the downward phase.