BTC price volatility: Fundamentals versus information

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...

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Autores principales:	Adedeji Daniel Gbadebo, Ahmed Oluwatobi Adekunle, Wole Adedokun, Adebayo-Oke Abdulrauf Lukman, Joseph Akande
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2021
Materias:	bitcoin price volatility bitcoin market fundamentals information demand ardl Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/8f9188f8c1324fa191086675d32cccb0
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id	oai:doaj.org-article:8f9188f8c1324fa191086675d32cccb0
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spelling	oai:doaj.org-article:8f9188f8c1324fa191086675d32cccb02021-11-04T15:51:57ZBTC price volatility: Fundamentals versus information2331-197510.1080/23311975.2021.1984624https://doaj.org/article/8f9188f8c1324fa191086675d32cccb02021-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2021.1984624https://doaj.org/toc/2331-1975This 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.Adedeji Daniel GbadeboAhmed Oluwatobi AdekunleWole AdedokunAdebayo-Oke Abdulrauf LukmanJoseph AkandeTaylor & Francis Grouparticlebitcoin price volatilitybitcoin market fundamentalsinformation demandardlBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 8, Iss 1 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	bitcoin price volatility bitcoin market fundamentals information demand ardl Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	bitcoin price volatility bitcoin market fundamentals information demand ardl Business HF5001-6182 Management. Industrial management HD28-70 Adedeji Daniel Gbadebo Ahmed Oluwatobi Adekunle Wole Adedokun Adebayo-Oke Abdulrauf Lukman Joseph Akande BTC price volatility: Fundamentals versus information
description	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.
format	article
author	Adedeji Daniel Gbadebo Ahmed Oluwatobi Adekunle Wole Adedokun Adebayo-Oke Abdulrauf Lukman Joseph Akande
author_facet	Adedeji Daniel Gbadebo Ahmed Oluwatobi Adekunle Wole Adedokun Adebayo-Oke Abdulrauf Lukman Joseph Akande
author_sort	Adedeji Daniel Gbadebo
title	BTC price volatility: Fundamentals versus information
title_short	BTC price volatility: Fundamentals versus information
title_full	BTC price volatility: Fundamentals versus information
title_fullStr	BTC price volatility: Fundamentals versus information
title_full_unstemmed	BTC price volatility: Fundamentals versus information
title_sort	btc price volatility: fundamentals versus information
publisher	Taylor & Francis Group
publishDate	2021
url	https://doaj.org/article/8f9188f8c1324fa191086675d32cccb0
work_keys_str_mv	AT adedejidanielgbadebo btcpricevolatilityfundamentalsversusinformation AT ahmedoluwatobiadekunle btcpricevolatilityfundamentalsversusinformation AT woleadedokun btcpricevolatilityfundamentalsversusinformation AT adebayookeabdulrauflukman btcpricevolatilityfundamentalsversusinformation AT josephakande btcpricevolatilityfundamentalsversusinformation
_version_	1718444664281890816

BTC price volatility: Fundamentals versus information

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