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http://dx.doi.org/10.7838/jsebs.2019.24.4.109

A Study in Bitcoin Volatility through Economic Factors  

Son, JongHyeok (Department of Business Administration, Sangmyung University)
Kim, JeongYeon (Department of Business Administration, Sangmyung University)
Publication Information
The Journal of Society for e-Business Studies / v.24, no.4, 2019 , pp. 109-118 More about this Journal
Abstract
As a result of the United States (U.S) -China trade conflict, the recent instability of the stock market has led many people to invest in Bitcoin, a commodity that many previous studies have interpreted as a safe asset. However, recent Bitcoin market price fluctuations suggest that the asset's stability stems from speculative purchasing trends. Therefore, classifying the characteristics of Bitcoin assets can be an important reference point in analyzing relevant accounting information. To determine whether Bitcoin is a safe asset, this study analyzed the correlation between Bitcoin and economic indicators to verify whether gold and Bitcoin responded similarly in time series analyses. These show that the regression explanatory power between the price of gold and bitcoin is low, thus no relation between the two assets could be drawn. Additionally, the Granger causality analyses of six individual economic variables and Bitcoin did not establish any notable causality. This can be interpreted that short-term price fluctuations have a significant impact on the nature of Bitcoin as an asset.
Keywords
Bitcoin; Economic indicators; Gold; Stock Index (S&P 500); Volatility Index (VIX);
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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