What drives volatility in Bitcoin market?

Dimitrios Bakas, Georgios Magkonis and Eun Young Oh

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This study aims to identify the main drivers of Bitcoin volatility. The empirical analysis is based on a dynamic Bayesian model averaging approach for twenty-two potential determinants. The results reveal that the most important factors for Bitcoin volatility are Google trends, total circulation of Bitcoins, US consumer confidence and the S&P500 index.

Keywords: Bitcoin; Cryptocurrency markets; Volatility; Dynamic model averaging (search for similar items in EconPapers)
JEL-codes: C11 C51 G12 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004378

DOI: 10.1016/j.frl.2022.103237

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