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.
- Language
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Englisch
- Bibliographic citation
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Journal: Cogent Business & Management ; ISSN: 2331-1975 ; Volume: 8 ; Year: 2021 ; Issue: 1 ; Pages: 1-21 ; Abingdon: Taylor & Francis
- Classification
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Management
Econometric and Statistical Methods and Methodology: General
International Financial Markets
Financial Forecasting and Simulation
- Subject
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Bitcoin price volatility
Bitcoin market fundamentals
information demand
ARDL
- Event
-
Geistige Schöpfung
- (who)
-
Gbadebo, Adedeji Daniel
Adekunle, Ahmed Oluwatobi
Adedokun, Wole
Lukman, Adebayo-Oke Abdulrauf
Akande, Joseph
- Event
-
Veröffentlichung
- (who)
-
Taylor & Francis
- (where)
-
Abingdon
- (when)
-
2021
- DOI
-
doi:10.1080/23311975.2021.1984624
- Handle
- Last update
- 10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gbadebo, Adedeji Daniel
- Adekunle, Ahmed Oluwatobi
- Adedokun, Wole
- Lukman, Adebayo-Oke Abdulrauf
- Akande, Joseph
- Taylor & Francis
Time of origin
- 2021
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