IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v44y2024i4p673-695.html
   My bibliography  Save this article

The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility

Author

Listed:
  • Nezir Köse
  • Hakan Yildirim
  • Emre Ünal
  • Boqiang Lin

Abstract

This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk‐taking.

Suggested Citation

  • Nezir Köse & Hakan Yildirim & Emre Ünal & Boqiang Lin, 2024. "The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 673-695, April.
    • Handle: RePEc:wly:jfutmk:v:44:y:2024:i:4:p:673-695
    DOI: 10.1002/fut.22487
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/fut.22487
    Download Restriction: no
    File URL: https://libkey.io/10.1002/fut.22487?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. de la Horra, Luis P. & de la Fuente, Gabriel & Perote, Javier, 2019. "The drivers of Bitcoin demand: A short and long-run analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 21-34.
    2. Dyhrberg, Anne Haubo, 2016. "Bitcoin, gold and the dollar – A GARCH volatility analysis," Finance Research Letters, Elsevier, vol. 16(C), pages 85-92.
    3. Rognone, Lavinia & Hyde, Stuart & Zhang, S. Sarah, 2020. "News sentiment in the cryptocurrency market: An empirical comparison with Forex," International Review of Financial Analysis, Elsevier, vol. 69(C).
    4. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
    5. Yechen Zhu & David Dickinson & Jianjun Li, 2017. "Erratum to: Analysis on the influence factors of Bitcoin’s price based on VEC model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-1, December.
    6. Chi-Wei Su & Meng Qin & Ran Tao & Xiaoyan Zhang, 2020. "Is the status of gold threatened by Bitcoin?," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 33(1), pages 420-437, January.
    7. Yechen Zhu & David Dickinson & Jianjun Li, 2017. "Analysis on the influence factors of Bitcoin’s price based on VEC model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-13, December.
    8. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    9. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
    10. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    11. Bouri, Elie & Gupta, Rangan & Tiwari, Aviral Kumar & Roubaud, David, 2017. "Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions," Finance Research Letters, Elsevier, vol. 23(C), pages 87-95.
    12. Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & David Roubaud, 2022. "The hedge asset for BRICS stock markets: Bitcoin, gold or VIX," The World Economy, Wiley Blackwell, vol. 45(1), pages 292-316, January.
    13. Al-Yahyaee, Khamis Hamed & Rehman, Mobeen Ur & Mensi, Walid & Al-Jarrah, Idries Mohammad Wanas, 2019. "Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 47-56.
    14. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
    15. Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
    16. White, Reilly & Marinakis, Yorgos & Islam, Nazrul & Walsh, Steven, 2020. "Is Bitcoin a currency, a technology-based product, or something else?," Technological Forecasting and Social Change, Elsevier, vol. 151(C).
    17. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    18. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    19. Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Chevallier, Julien, 2020. "Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models," Finance Research Letters, Elsevier, vol. 35(C).
    20. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    21. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    22. Hussain Shahzad, Syed Jawad & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2020. "Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin," Economic Modelling, Elsevier, vol. 87(C), pages 212-224.
    23. Jareño, Francisco & González, María de la O & Tolentino, Marta & Sierra, Karen, 2020. "Bitcoin and gold price returns: A quantile regression and NARDL analysis," Resources Policy, Elsevier, vol. 67(C).
    24. Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
    25. González, Maria de la O. & Jareño, Francisco & Skinner, Frank S., 2021. "Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
    26. Muhammad Abubakr Naeem & Mudassar Hasan & Muhammad Arif & Syed Jawad Hussain Shahzad, 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?," SAGE Open, , vol. 10(2), pages 21582440209, May.
    27. Ting-Hsuan Chen & Mu-Yen Chen & Guan-Ting Du, 2021. "The Determinants of Bitcoin’s Price: Utilization of GARCH and Machine Learning Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 267-280, January.
    28. Kalyvas, Antonios & Papakyriakou, Panayiotis & Sakkas, Athanasios & Urquhart, Andrew, 2020. "What drives Bitcoin’s price crash risk?," Economics Letters, Elsevier, vol. 191(C).
    29. Hazlett, Peter K. & Luther, William J., 2020. "Is bitcoin money? And what that means," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 144-149.
    30. Geuder, Julian & Kinateder, Harald & Wagner, Niklas F., 2019. "Cryptocurrencies as financial bubbles: The case of Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).
    31. Md Akther Uddin & Md Hakim Ali & Mansur Masih, 2020. "Bitcoin—A hype or digital gold? Global evidence," Australian Economic Papers, Wiley Blackwell, vol. 59(3), pages 215-231, September.
    32. Cheah, Eng-Tuck & Fry, John, 2015. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin," Economics Letters, Elsevier, vol. 130(C), pages 32-36.
    33. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    34. Corbet, Shaen & Meegan, Andrew & Larkin, Charles & Lucey, Brian & Yarovaya, Larisa, 2018. "Exploring the dynamic relationships between cryptocurrencies and other financial assets," Economics Letters, Elsevier, vol. 165(C), pages 28-34.
    35. Zhang, Hongwei & Wang, Peijin, 2021. "Does Bitcoin or gold react to financial stress alike? Evidence from the U.S. and China," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 629-648.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    3. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    4. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    5. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
    6. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    7. Hsu, Shu-Han & Sheu, Chwen & Yoon, Jiho, 2021. "Risk spillovers between cryptocurrencies and traditional currencies and gold under different global economic conditions," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    8. Jareño, Francisco & González, María de la O. & López, Raquel & Ramos, Ana Rosa, 2021. "Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic," Resources Policy, Elsevier, vol. 74(C).
    9. Su, Chi-Wei & Qin, Meng & Tao, Ran & Shao, Xue-Feng & Albu, Lucian Liviu & Umar, Muhammad, 2020. "Can Bitcoin hedge the risks of geopolitical events?," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
    10. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
    11. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
    12. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    13. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    14. Assaf, Ata & Mokni, Khaled & Youssef, Manel, 2023. "COVID-19 and information flow between cryptocurrencies, and conventional financial assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 73-81.
    15. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    16. Achraf Ghorbel & Wajdi Frikha & Yasmine Snene Manzli, 2022. "Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 387-425, September.
    17. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    18. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    19. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
    20. Ahmet Faruk Aysan & Ali Yavuz Polat & Hasan Tekin & Ahmet Semih Tunali, 2021. "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," Working Papers hal-03354930, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:44:y:2024:i:4:p:673-695. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.