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Bitcoin: a beginning of a new phase?

Author

Listed:
  • Jamal Bouoiyour

    (University of Pau)

  • Refk Selmi

    (Tunis Business School)

Abstract

Although financial experts have often criticized Bitcoin for being too volatile as an asset and an independent electronic currency, the volatility of Bitcoin has declined at a rapid pace since January 2015. This study addresses if Bitcoin enters a new phase. Many extensions of GARCH have been carried out to adequately estimate Bitcoin price dynamics. Our results suggest that despite maintaining a moderate volatility, Bitcoin remains typically reactive to negative rather than positive news. Bitcoin market is still, therefore, far from being mature.

Suggested Citation

  • Jamal Bouoiyour & Refk Selmi, 2016. "Bitcoin: a beginning of a new phase?," Economics Bulletin, AccessEcon, vol. 36(3), pages 1430-1440.
    • Handle: RePEc:ebl:ecbull:eb-16-00372
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bitcoin price; volatility; GARCH models.;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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