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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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
S1544612322004378Publisher Item Identifier
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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