An Analysis of Bitcoin’s Price Dynamics

Frode Kjærland, Aras Khazal, Erlend A. Krogstad, Frans B. G. Nordstrøm and Are Oust
Additional contact information
Frode Kjærland: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
Aras Khazal: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
Erlend A. Krogstad: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
Frans B. G. Nordstrøm: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway
Are Oust: NTNU Business School, Norwegian University of Science and Technology, 7491 Trondheim, Norway

JRFM, 2018, vol. 11, issue 4, 1-18

Abstract: This paper aims to enhance the understanding of which factors affect the price development of Bitcoin in order for investors to make sound investment decisions. Previous literature has covered only a small extent of the highly volatile period during the last months of 2017 and the beginning of 2018. To examine the potential price drivers, we use the Autoregressive Distributed Lag and Generalized Autoregressive Conditional Heteroscedasticity approach. Our study identifies the technological factor Hashrate as irrelevant for modeling Bitcoin price dynamics. This irrelevance is due to the underlying code that makes the supply of Bitcoins deterministic, and it stands in contrast to previous literature that has included Hashrate as a crucial independent variable. Moreover, the empirical findings indicate that the price of Bitcoin is affected by returns on the S&P 500 and Google searches, showing consistency with results from previous literature. In contrast to previous literature, we find the CBOE volatility index (VIX), oil, gold, and Bitcoin transaction volume to be insignificant.

Keywords: Bitcoin; cryptocurrency; Hashrate (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://www.mdpi.com/1911-8074/11/4/63/pdf (application/pdf)
https://www.mdpi.com/1911-8074/11/4/63/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:63-:d:175742

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().