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The cryptocurrency uncertainty index
Brian M. Lucey (The University of Sydney, University of Economics Ho Chi Minh City), Samuel Alexandre Vigne (Trinity College Dublin), Larisa Yarovaya (University of Southampton), Yizhi Wang (Trinity College Dublin)
Abstract: We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.