BTC price volatility: Fundamentals versus information

被引：4

作者：

Gbadebo, Adedeji Daniel ^{[1
]}

Adekunle, Ahmed Oluwatobi ^{[2
]}

Adedokun, Wole ^{[4
]}

Lukman, Adebayo-Oke Abdulrauf ^{[2
]}

Akande, Joseph ^{[3
]}

机构：

[1] Univ Benin, Dept Econ & Stat, Benin, Nigeria

[2] Kwara State Univ, Dept Accounting & Finance, Ilorin, Nigeria

[3] Walter Sisulu Univ, Dept Accounting Sci, Mthatha, South Africa

[4] Cyprus Int Univ, Inst Grad Studies & Res, Dept Accounting & Finance, Nicosia, Turkey

来源：

COGENT BUSINESS & MANAGEMENT | 2021年 / 8卷 / 01期

关键词：

Bitcoin price volatility; Bitcoin market fundamentals; information demand; ARDL; BITCOIN MARKETS; TIME; DYNAMICS;

D O I：

10.1080/23311975.2021.1984624

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper offers a plausible response to "what explains the sporadic volatility in the price of Bitcoin?" We hypothesized that market "fundamentals" and "information demands" are key drivers of Bitcoin's unpredictable price fluctuation. We adopt the transfer-function [Autoregressive Distributed Lag, ARDL] model and its Bounds testing approach to verify how the volatility of the price of Bitcoin responds to its transaction volume, cryptocurrency market capitalisation, world market equity index and Google search. We found the existence of long-run cointegration relation and observed that all the variables except the equity index positively explain the volatility of Bitcoin price. The result established evidence that market fundamentals drive erratic swing in Bitcoin price than information.

引用

页数：21

共 63 条

[1] What can explain the price, volatility and trading volume of Bitcoin? [J].