- Title
- BTC price volatility: fundamentals versus information
- Creator
- Gbadebo, Adedeji Daniel
- Creator
- Adekunle, Ahmed Oluwatobi
- Creator
- Adebayo-Oke Abdulrauf Lukman
- Creator
- Adedokun, Wole
- Creator
- Akande, Joseph
- 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.
- Date
- 2020
- Subject
- Bitcoin price volatility
- Subject
- Bitcoin market fundamentals
- Subject
- Autoregressive Distributed Lag (ARDL)
- Type
- article, text
- Identifier
- http://hdl.handle.net/11260/6978
- Identifier
- vital:52630
- Identifier
- https://doi.org/10.1080/23311975.2021.1984624
- Format
- computer, online resource, application/pdf, 1 online resource (21 pages), pdf
- Language
- English
- Relation
- Cogent Business and Management, Adedeji Daniel Gbadebo, Ahmed Oluwatobi Adekunle, Wole Adedokun, Adebayo-Oke Abdulrauf Lukman and Joseph Akande (2021) BTC price volatility: Fundamentals versus information, Cogent Business and Management, 8:1, DOI: 10.1080/23311975.2021.1984624, Cogent Business and Management volume 8 number 1 2020
- Rights
- Taylor and Francis Online, Creative Commons Attribution License, Open Access https://creativecommons.org/licenses/by/4.0/
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Faculty of Commerce and Administration
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details | SOURCE1 | Akande Abstract .pdf | 106 KB | Adobe Acrobat PDF | View Details |