Political Uncertainty and Cryptocurrency Futures and Spot Market Efficiency: Evidence from the 2024 U.S. Presidential Election

Published: 21 August 2025| Version 1 | DOI: 10.17632/hyxjtmbxvj.1
Contributor:
Geesun Lee

Description

Dataset and Statistical Software/Code used for the primary analysis in this study.

Files

Steps to reproduce

1. Download the Dataset - Obtain the dataset from the provided link. 2. E-Views Analysis (Impulse Responses) - Open E-Views and load the dataset using the provided code file. - The code automatically imports the dataset and sets the lag length for the VAR model. - Execute the code to estimate the Impulse Response Functions (IRFs). 3. RATS Analysis (DCC-GARCH) - Open RATS and load the dataset with the provided script. - The script configures the DCC-GARCH model with the appropriate parameters and lag length. - Run the script to estimate conditional correlations and volatility dynamics. 4. R Analysis (Wavelet Coherence) - Open R and import the dataset using the provided R code. - Execute the script to perform the Wavelet Coherence analysis between the time series. - Visualize the results and save the plots/data.

Institutions

  • Korea University - Sejong Campus

Categories

Finance, Investment, Asset Pricing, Derivative Pricing, Cryptocurrency

Licence