What can explain the price, volatility and trading volume of Bitcoin?

Halvor Aarhus Aalborg, Peter Molnár and Jon Erik de Vries

Finance Research Letters, 2019, vol. 29, issue C, 255-265

Abstract: We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index and Google searches for “Bitcoin”. We use realized volatility calculated from high-frequency data and find that the heterogeneous autoregressive model is suitable for Bitcoin volatility. Trading volume further improves this volatility model. The trading volume of Bitcoin can be predicted from Google searches for “Bitcoin”. However, none of the considered variables can predict Bitcoin returns.

Keywords: Bitcoin; Return; Volatility; Trading volume; Google searches (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (109)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:255-265

DOI: 10.1016/j.frl.2018.08.010

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