What drives volatility in Bitcoin market?
Dimitrios Bakas, Georgios Magkonis, Eun Young Oh
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.
Topics & Concepts
Volatility (finance)CryptocurrencyEconometricsEconomicsConsumer confidence indexIndex (typography)Bayesian probabilityFinancial economicsComputer scienceMacroeconomicsStatisticsMathematicsComputer securityWorld Wide WebBlockchain Technology Applications and SecurityMarket Dynamics and VolatilityComplex Systems and Time Series Analysis