Unraveling Bitcoin price unpredictability: The role of hard forks

Despite the widespread interest in Bitcoin, a universally accepted model explaining its value remains elusive. This article address a cause to this problem. The best-performing model would not be stable over time due to the fact that Bitcoin can be duplicated. To investigate this hypothesis, I designed study periods based on statistical characteristics and duplication dates. Then, I estimated econometric models over these periods. Results reveal that duplications play a significant and systematic role in the changes in Bitcoin price formation. Furthermore, new variables in the literature are found to be relevant. I also show that the prices of Bitcoin's different versions are uncorrelated after a disjunction but become positively and strongly correlated after several months.