Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment

Kose John and Jingrui Li

Journal of Corporate Finance, 2025, vol. 94, issue C

Abstract: In this paper, we study the determinants of Bitcoin volatility. We estimate and decompose Bitcoin's realized volatility into jump volatility and continuous volatility components. We find that innovations in Robinhood retail trading are positively related to the continuous component of Bitcoin's volatility. Specifically, the innovations in Robinhood retail trading predict an increase in future ten-day continuous volatility. The innovations in the (anonymous) trading volume of Monero are also positively related to the jump component in Bitcoin's volatility. Specifically, the innovations in Monero trading volume predict an increase in average jump volatility over the next five days. Our results suggest that retail trading positively influences the continuous component of Bitcoin volatility, while the preference for transaction anonymity positively affects the jump component of Bitcoin volatility.

Keywords: Bitcoin; Volatility; Jumps; Illegal user; Monero; Retail trading; Robinhood (search for similar items in EconPapers)
JEL-codes: G12 G40 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051

DOI: 10.1016/j.jcorpfin.2025.102837

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