Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245139 
Year of Publication: 
2021
Citation: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 8 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2021 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This paper offers a plausible response to "what explains the sporadic volatility in the price of Bitcoin?" We hypothesized that market "fundamentals" and "information demands" are key drivers of Bitcoin's unpredictable price fluctuation. We adopt the transfer-function [Autoregressive Distributed Lag, ARDL] model and its Bounds testing approach to verify how the volatility of the price of Bitcoin responds to its transaction volume, cryptocurrency market capitalisation, world market equity index and Google search. We found the existence of long-run cointegration relation and observed that all the variables except the equity index positively explain the volatility of Bitcoin price. The result established evidence that market fundamentals drive erratic swing in Bitcoin price than information.
Subjects: 
Bitcoin price volatility
Bitcoin market fundamentals
information demand
ARDL
JEL: 
C10
G15
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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