What drives volatility in Bitcoin market?

Georgios Magkonis; Ey Oh; Dimitrios Bakas

doi:10.1016/j.frl.2022.103237

What drives volatility in Bitcoin market?

Georgios Magkonis, Ey Oh, Dimitrios Bakas

School of Accounting, Economics and Finance

Nottingham Trent University

Research output: Contribution to journal › Article › peer-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 language	English
Article number	103237
Number of pages	8
Journal	Finance Research Letters
Volume	50
Early online date	6 Aug 2022
DOIs	https://doi.org/10.1016/j.frl.2022.103237
Publication status	Published - 13 Aug 2022

Keywords

Bitcoin
Cryptocurrency markets
Volatility
Dynamic model averaging

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10.1016/j.frl.2022.103237

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Cite this

@article{073ff40ce12b407eae13974005fb54e1,

title = "What drives volatility in Bitcoin market?",

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.",

keywords = "Bitcoin, Cryptocurrency markets, Volatility, Dynamic model averaging",

author = "Georgios Magkonis and Ey Oh and Dimitrios Bakas",

note = "12 month embargo. Elsevier.",

year = "2022",

month = aug,

day = "13",

doi = "10.1016/j.frl.2022.103237",

language = "English",

volume = "50",

journal = "Finance Research Letters",