Artikel

BTC price volatility: Fundamentals versus information

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.

Sprache
Englisch

Erschienen in
Journal: Cogent Business & Management ; ISSN: 2331-1975 ; Volume: 8 ; Year: 2021 ; Issue: 1 ; Pages: 1-21 ; Abingdon: Taylor & Francis

Klassifikation
Management
Econometric and Statistical Methods and Methodology: General
International Financial Markets
Financial Forecasting and Simulation
Thema
Bitcoin price volatility
Bitcoin market fundamentals
information demand
ARDL

Ereignis
Geistige Schöpfung
(wer)
Gbadebo, Adedeji Daniel
Adekunle, Ahmed Oluwatobi
Adedokun, Wole
Lukman, Adebayo-Oke Abdulrauf
Akande, Joseph
Ereignis
Veröffentlichung
(wer)
Taylor & Francis
(wo)
Abingdon
(wann)
2021

DOI
doi:10.1080/23311975.2021.1984624
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Gbadebo, Adedeji Daniel
  • Adekunle, Ahmed Oluwatobi
  • Adedokun, Wole
  • Lukman, Adebayo-Oke Abdulrauf
  • Akande, Joseph
  • Taylor & Francis

Entstanden

  • 2021

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