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What Does Bitcoin Look Like?

Author

Listed:
  • Jamal Bouoiyour

    (CATT, University of Pau)

  • Refk Selmi

    (ESC, University of Manouba)

Abstract

The paper seeks to address what Bitcoin looks like. Specifically, we attempt to identify the main determinants of Bitcoin price by means of rigorous evaluation through ARDL Bounds Testing method. Our findings reveal the extremely speculative behavior of Bitcoin, its partial usefulness in trade trans- actions without overlooking its dependence to the Shangai stock market and the hash rate. There is no sign of Bitcoin being a safe haven. Taking a step further, we re-investigate the focal link by accounting for the Chinese trad- ing bankruptcy. The results appear fairly robust. Bitcoin is still perceived as speculative foolery and thus far from being a long-term promise.

Suggested Citation

  • Jamal Bouoiyour & Refk Selmi, 2015. "What Does Bitcoin Look Like?," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 449-492, November.
    • Handle: RePEc:cuf:journl:y:2015:v:16:i:2:bouoiyour
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    References listed on IDEAS

    as
    1. Ladislav Kristoufek, 2015. "What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis," PLOS ONE, Public Library of Science, vol. 10(4), pages 1-15, April.
    2. Matija Piv{s}korec & Nino Antulov-Fantulin & Petra Kralj Novak & Igor Mozetiv{c} & Miha Grv{c}ar & Irena Vodenska & Tomislav v{S}muc, 2014. "News Cohesiveness: an Indicator of Systemic Risk in Financial Markets," Papers 1402.3483, arXiv.org.
    3. Jamal Bouoiyour & Refk Selmi & Aviral Kumar Tiwari, 2015. "Is Bitcoin Business Income Or Speculative Foolery? New Ideas Through An Improved Frequency Domain Analysis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-23.
    4. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    5. David Yermack, 2013. "Is Bitcoin a Real Currency? An economic appraisal," NBER Working Papers 19747, National Bureau of Economic Research, Inc.
    6. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    7. Luís Francisco Aguiar & Maria Joana Soares, 2010. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 23/2010, NIPE - Universidade do Minho.
    8. Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016. "The economics of BitCoin price formation," Applied Economics, Taylor & Francis Journals, vol. 48(19), pages 1799-1815, April.
    9. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
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    Keywords

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    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F39 - International Economics - - International Finance - - - Other
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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