Lucey, Brian M.; Vigne, Samuel; Yarovaya, Larisa; Wang, … - 2021
We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index … (UCRY Policy). We show that the constructed index has 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 …