Electoral Uncertainty and Cryptocurrency Markets: Quantile and Time-Varying Analysis Using Media-Based Indicators

Valery V. Korenevsky

National Research University Higher School of Economics, Moscow, Russia

Abstract

U.S. presidential elections represent a key source of political uncertainty that influences financial market dynamics and investor expectations. However, the impact of presidential elections and related news on cryptocurrency price movements remains underexplored, despite the emergence of select empirical studies on this topic. This study aims to assess the relationship between returns and volatility of major cryptocurrencies and the author-developed electoral uncertainty index, VYTIndex, constructed using titles of video publications by news outlets over the period 2015–2025. The index is built in two stages: first, a daily sentiment index is calculated as the difference between the number of positive and negative videos; second, conditional volatility is estimated from its dynamics using a GARCH(1,1) model, interpreted as the level of electoral uncertainty. The paper tests two hypotheses: (1) that upper quantiles of the VYTIndex are associated with increased cryptocurrency volatility and reduced returns, and (2) that this index may serve as a shock transmission channel within a system of the ten largest crypto assets. The analysis employs quantile-on-quantile regression to evaluate dependencies across different quantiles of return and volatility distributions, and a time-varying parameter vector autoregression (TVP-VAR) model to investigate dynamic directional connectedness. Results reveal pronounced nonlinearity and heterogeneity in the impact of VYTIndex: for several altcoins, rises in the upper quantiles of the index coincide with heightened volatility, whereas for Bitcoin and stablecoins the reaction is closer to neutral. Moreover, across most periods, the index acts primarily as a receiver rather than a source of market shocks. The theoretical contribution of this research lies in advancing approaches to measuring political uncertainty as variability of sentiment in the media space and in evaluating the role of electoral shocks in cryptocurrency markets; its practical value consists in the potential use of VYTIndex for risk assessment and for designing arbitrage and hedging strategies during pre- and post-election periods of instability.

Keywords

electoral uncertainty; U.S. presidential elections; cryptocurrency market; crypto assets; uncertainty index; sentiment analysis.

JEL classification

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Acknowledgements

The research was carried out within the framework of the Basic Research Program of the National Research University Higher School of Economics.

About Authors

Valery Valerievich Korenevsky

Researcher, Center for Financial Studies and Data Analysis, National Research University Higher School of Economics, Moscow, Russia (101000, Moscow, Myasnitskaya street, 20); ORCID: https://orcid.org/0009-0004-1670-7673 e-mail: vkorenevskii@hse.ru

For citation

Korenevsky, V.V. (2026). Electoral Uncertainty and Cryptocurrency Markets: Quantile and Time-Varying Analysis Using Media-Based Indicators. Journal of Applied Economic Research, Vol. 25, No. 3, 853-878. https://doi.org/10.15826/vestnik.2026.25.3.028

Article info

Received January 20, 2026; Revised March 15, 2026; Accepted April 8, 2026.

DOI: http://dx.doi.org/10.15826/vestnik.2026.25.3.028

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