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How can Bitcoin Price Fluctuations be Explained?

Author

Listed:
  • Frode Kj rland

    (NTNU Business School, Norwegian University of Science and Technology, NO-7491 Trondheim, Norway)

  • Maria Meland

    (NTNU Business School, Norwegian University of Science and Technology, NO-7491 Trondheim, Norway)

  • Are Oust

    (NTNU Business School, Norwegian University of Science and Technology, NO-7491 Trondheim, Norway)

  • Vilde yen

    (NTNU Business School, Norwegian University of Science and Technology, NO-7491 Trondheim, Norway)

Abstract

The purpose of this study is to uncover factors that explain Bitcoin's price fluctuations. The price of the cryptocurrency Bitcoin is volatile and has increased from zero in 2009 to more than 19500 USD in December 2017. To explain the price movements we have estimated two autoregressive distributed lag models by using ordinary least squares regression. The data includes 279 weekly observations from 18.09.2011 to 05.02.2017 (before the extreme development from the summer of 2017). The dependent variable is the Bitcoin price and the analysis has examined nine independent variables. Our main finding and contribution is that political incidents and statements ( shocks ) are significant drivers of Bitcoin's price. Moreover, the volume of Bitcoin and Bitcoin's price has a significant, negative relationship. The interest of Bitcoin, measured by Google searches, has a positive, significant relationship with Bitcoin's price. The study does not find evidence for Bitcoin being a safe haven investment.

Suggested Citation

  • Frode Kj rland & Maria Meland & Are Oust & Vilde yen, 2018. "How can Bitcoin Price Fluctuations be Explained?," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 323-332.
    • Handle: RePEc:eco:journ1:2018-03-38
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    References listed on IDEAS

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    Cited by:

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    2. BenMabrouk, Houda & Sassi, Syrine & Soltane, Feriel & Abid, Ilyes, 2024. "Connectedness and portfolio hedging between NFTs segments, American stocks and cryptocurrencies Nexus," International Review of Financial Analysis, Elsevier, vol. 91(C).
    3. García-Monleón, Fernando & Danvila-del-Valle, Ignacio & Lara, Francisco J., 2021. "Intrinsic value in crypto currencies," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    4. Panagiotis Anastasiadis & Stephanos Papadamou, 2022. "The dimension of popularity in the cryptocurrency market," SN Business & Economics, Springer, vol. 2(5), pages 1-15, May.
    5. Cong Gu & Benfu Lv & Ying Liu & Geng Peng, 2021. "The Impact of Quantitative Easing on Cryptocurrency," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 27-34.
    6. Ifeoma Christy Mba & Emmanuel Ikechukwu Mba & Jonathan Emenike Ogbuabor & Winnie Ogochukwu Arazu, 2018. "Mean Sojourn and Mean Return Time of the Buy-hoard-sell Strategy of Bitcoin Exchange Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 276-282.
    7. Juan Carlos Henao & Liliana López-Jiménez, 2021. "Disrupción tecnológica, transformación digital y sociedad. Tomo IV, Aires de revolución : nuevos desafíos tecnológicos a las instituciones económicas, financieras y organizacionales de nuestros tiempo," Books, Universidad Externado de Colombia, Facultad de Derecho, number 1283, march.

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    More about this item

    Keywords

    Bitcoin; Crypto Currency; Political Incidents; Price Explanation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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