What can explain the price, volatility and trading volume of Bitcoin?

被引：194

作者：

Aalborg, Halvor Aarhus ^{[1
]}

Molnar, Peter ^{[1
,2
]}

de Vries, Jon Erik ^{[1
]}

机构：

[1] Univ Stavanger, UiS Business Sch, Stavanger, Norway

[2] Univ Econ, Fac Finance & Accounting, Prague, Czech Republic

来源：

FINANCE RESEARCH LETTERS | 2019年 / 29卷

关键词：

Bitcoin; Return; Volatility; Trading volume; Google searches; REALIZED VOLATILITY; EXCHANGE; DYNAMICS; RETURNS;

D O I：

10.1016/j.frl.2018.08.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index and Google searches for "Bitcoin". We use realized volatility calculated from high-frequency data and find that the heterogeneous autoregressive model is suitable for Bitcoin volatility. Trading volume further improves this volatility model. The trading volume of Bitcoin can be predicted from Google searches for "Bitcoin". However, none of the considered variables can predict Bitcoin returns.

引用

页码：255 / 265

页数：11

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