What drives volatility in Bitcoin market?

Georgios Magkonis, Ey Oh, Dimitrios Bakas

Research output: Contribution to journalArticlepeer-review

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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.
Original languageEnglish
Article number103237
Number of pages8
JournalFinance Research Letters
Volume50
Early online date6 Aug 2022
DOIs
Publication statusPublished - 13 Aug 2022

Keywords

  • Bitcoin
  • Cryptocurrency markets
  • Volatility
  • Dynamic model averaging

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