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Determinants of Bitcoin Price: Evidence from Asymmetrical Analysis

In: Studies in International Economics and Finance

Author

Listed:
  • Anoop S. Kumar

    (Gulati Institute of Finance and Taxation)

  • Taufeeq Ajaz

    (Indian Institute of Foreign Trade)

Abstract

Using technical determinants (mining difficulty), macroeconomic and financial determinants (FED rate, S&P 500 and Altcoins) as well as the investor attention (Google Search), we model their possible short-run and long-run asymmetric impacts on the Bitcoin prices. Monthly data ranging from May 2013 to Dec 2019 is employed for the modelling purposes. In order to capture the possible asymmetry, nonlinear auto-regressive distributed lag model (NARDL) is employed for the purpose of estimation. The results reveal that FED rate and mining difficulty has a long-run positive impact on Bitcoin prices, whereas Altcoins are found to have long-run negative impact. Further, short-run negative asymmetry was found for Google Search, S&P 500 and Altcoins. This study conclusively proves that the potential determinants of Bitcoin prices have both long- and short-run asymmetric impact on Bitcoin prices.

Suggested Citation

  • Anoop S. Kumar & Taufeeq Ajaz, 2022. "Determinants of Bitcoin Price: Evidence from Asymmetrical Analysis," India Studies in Business and Economics, in: Naoyuki Yoshino & Rajendra N. Paramanik & Anoop S. Kumar (ed.), Studies in International Economics and Finance, pages 557-569, Springer.
    • Handle: RePEc:spr:isbchp:978-981-16-7062-6_28
    DOI: 10.1007/978-981-16-7062-6_28
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