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BTC price volatility: Fundamentals versus information

Author

Listed:
  • Adedeji Daniel Gbadebo
  • Ahmed Oluwatobi Adekunle
  • Wole Adedokun
  • Adebayo-Oke Abdulrauf Lukman

Abstract

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.

Suggested Citation

  • Adedeji Daniel Gbadebo & Ahmed Oluwatobi Adekunle & Wole Adedokun & Adebayo-Oke Abdulrauf Lukman, 2021. "BTC price volatility: Fundamentals versus information," Cogent Business & Management, Taylor & Francis Journals, vol. 8(1), pages 1984624-198, January.
    • Handle: RePEc:taf:oabmxx:v:8:y:2021:i:1:p:1984624
    DOI: 10.1080/23311975.2021.1984624
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    Cited by:

    1. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    2. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.

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