What drives volatility in Bitcoin market?

Bakas, D. ORCID: 0000-0003-4771-4505, Magkonis, G. and Oh, E.Y., 2022. What drives volatility in Bitcoin market? Finance Research Letters, 50: 103237. ISSN 1544-6123

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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.

Item Type:	Journal article
Publication Title:	Finance Research Letters
Creators:	Bakas, D., Magkonis, G. and Oh, E.Y.
Publisher:	Elsevier BV
Date:	December 2022
Volume:	50
ISSN:	1544-6123
Identifiers:	Number Type 10.1016/j.frl.2022.103237 DOI S1544612322004378 Publisher Item Identifier 1590048 Other
Rights:	© 2022 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Divisions:	Schools > Nottingham Business School
Record created by:	Linda Sullivan
Date Added:	18 Aug 2022 13:09
Last Modified:	18 Aug 2022 13:09
URI:	https://irep.ntu.ac.uk/id/eprint/46891

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