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On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?

Author

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  • Adel Benhamed

    (The Saudi Investment Bank Scholarly Chair for Investment Awareness Studies, The Deanship of Scientific Research, The Vice Presidency for Graduate Studies and Scientific Research, King Faisal University, Al-Ahsa 31982, Saudi Arabia
    Department of Economics, School of Business, King Faisal University, Al-Ahsa 31982, Saudi Arabia)

  • Ahlem Selma Messai

    (The Saudi Investment Bank Scholarly Chair for Investment Awareness Studies, The Deanship of Scientific Research, The Vice Presidency for Graduate Studies and Scientific Research, King Faisal University, Al-Ahsa 31982, Saudi Arabia
    Department of Finance, School of Business, King Faisal University, Al-Ahsa 31982, Saudi Arabia)

  • Ghassen El Montasser

    (École Supérieure de Commerce de Tunis, University of Manouba, Manouba 2010, Tunisia)

Abstract

Since Bitcoin has frequently witnessed price fluctuations and high volatility, the factors influencing its returns and volatility is an important research subject. To accomplish this goal, we applied the Gets reduction method which has a good reputation compared to other competing approaches in terms of the statistical apparatus available for a repeated search to determine the final set of determinants and the consideration of location shifts. We found that the reduced set of explanatory variables that affects Bitcoin returns is composed of Twitter-based economic uncertainty, gold return, the return of the Euro/USD exchange rate, the return of the US Nasdaq stock exchange index, market capitalization, and Bitcoin mining difficulty. In contrast, the volatility of Bitcoin is affected by only lagged terms of the ARCH effect and the volume of this cryptocurrency.

Suggested Citation

  • Adel Benhamed & Ahlem Selma Messai & Ghassen El Montasser, 2023. "On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?," Sustainability, MDPI, vol. 15(3), pages 1-21, January.
    • Handle: RePEc:gam:jsusta:v:15:y:2023:i:3:p:1761-:d:1038511
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Gets modelling; volatility; blockchain; JEL codes: C22; C58;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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