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<p>This manuscript investigates the nonlinear impact of Geopolitical Risk (GPR) on the returns of five leading cryptocurrencies, including Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Binance Coin (BNB), and Tron (TRX), spanning the period from 2017 to 2025. By employing the novel Quantile-on-Quantile Granger Causality (QQGC) approach and the Quantile-on-Quantile Regression (QQR) for robustness, the analysis explores how geopolitical shocks drive market dynamics across various quantiles. The empirical results reveal significant asymmetric transmissions and distributional heterogeneity, indicating that the influence of GPR varies across different market conditions and specific digital assets. These findings demonstrate that geopolitical instability acts as a critical driver of price movements in the cryptocurrency ecosystem. Consequently, the results provide essential insights for investors and policymakers regarding risk mitigation and strategic portfolio allocation. This research contributes to financial literature by clarifying the complex interplay between non-financial global shocks and digital asset pricing in an increasingly uncertain international environment.</p>

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Nonlinear and asymmetric effects of geopolitical risk on cryptocurrency markets: a quantile-on-quantile perspective

  • 期刊论文

  • 发表日期：

    2026年6月24日

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  • Feyyaz Zeren,
  • Aslan Aydoğdu,
  • Mesut Doğan

摘要

This manuscript investigates the nonlinear impact of Geopolitical Risk (GPR) on the returns of five leading cryptocurrencies, including Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Binance Coin (BNB), and Tron (TRX), spanning the period from 2017 to 2025. By employing the novel Quantile-on-Quantile Granger Causality (QQGC) approach and the Quantile-on-Quantile Regression (QQR) for robustness, the analysis explores how geopolitical shocks drive market dynamics across various quantiles. The empirical results reveal significant asymmetric transmissions and distributional heterogeneity, indicating that the influence of GPR varies across different market conditions and specific digital assets. These findings demonstrate that geopolitical instability acts as a critical driver of price movements in the cryptocurrency ecosystem. Consequently, the results provide essential insights for investors and policymakers regarding risk mitigation and strategic portfolio allocation. This research contributes to financial literature by clarifying the complex interplay between non-financial global shocks and digital asset pricing in an increasingly uncertain international environment.