Kryptonite for Cryptocurrencies? What Are the Effects of Regulatory Controls on Bitcoin Returns and Volatility?
本文利用全球谷歌搜索量数据构建监管指数，发现监管收紧显著降低比特币月度收益并增加波动性，对风险厌恶投资者有重要启示。
ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets. A three‐factor model—incorporating market, momentum, and size factors—is employed to evaluate the effects of regulation on Bitcoin returns. The study also assesses the influence of changes in the regulatory environment on volatility using additional controls. Findings reveal that increased regulation significantly reduces monthly Bitcoin returns and increases return volatility. These effects are both statistically and economically significant, robust across multiple proxies for regulatory activity, and persist even when accounting for the effects of the COVID‐19 pandemic. The results highlight the real regulatory risks associated with Bitcoin investments, particularly for risk‐averse investors, and underscore the importance of policy developments in shaping cryptocurrency market dynamics.