Program and Development Research

Program and Development Research

Investigating the Impact of Geopolitical Risk and the COVID-19 Pandemic on Bitcoin Yields and Volatility

Document Type : Original Article

Authors
Alireza Sharifmoghaddasi 1
Elham Mohammadloo 2
1 * Assistant Professor of Economic Department, Agricultural Research, Education and Extension Organization, Tehran, Iran, (Corresponding Author).
2 Master of Economic Department, Payam-e-Noor University, Tehran, Iran.
10.22034/pbr.2025.465644.1442
Abstract
Geopolitical risk, encompassing a range of political and geographical uncertainties and shocks, significantly influences financial markets, particularly the cryptocurrency sector. Bitcoin, as one of the leading cryptocurrencies, is especially susceptible to these risks due to its strong ties to social and economic factors that affect investor behavior. Additionally, the global spread of the COVID-19 pandemic, which has become one of the most significant crises of recent times, has also impacted financial markets, with its severity exacerbated by geopolitical tensions. This study investigates how both geopolitical risk and the COVID-19 pandemic have influenced Bitcoin’s yield and its volatility.
The analysis utilizes monthly Bitcoin price data spanning from January 2011 to August 2022, covering a period of 140 months. Using the EGARCH model and hypothesis testing, the results reveal that while the COVID-19 pandemic has no significant effect on Bitcoin yields, it has a negative impact on Bitcoin yield volatility. Furthermore, the study finds that while geopolitical risk does not directly affect Bitcoin’s yield, it increases the volatility of Bitcoin yields.
This research highlights the nuanced relationship between external shocks and cryptocurrency market dynamics, offering valuable insights for investors and policymakers alike in navigating the volatility of digital assets.
 
Keywords
Digital Currencies
Bitcoin
Geopolitical Risk
Covid-19
EGARCH Model

Subjects

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