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Did China’s ICO ban alter the Bitcoin market?

Author

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  • Okorie, David Iheke
  • Lin, Boqiang

Abstract

Since its introduction to the global market in 2009 Bitcoin has been experiencing steady growth. The daily closing price and volume series of Bitcoin, within the window of Chinese government intervention (i.e. ICO ban) was used to show empirical evidences of significant alterations in the market. This resulted in a lead-follow effect ex-ante ICO ban, decreased return ex-post, and different response of return to shocks (ex-ante & ex-post periods) through the shock adjustment path analysis. Shock internalization are different between these periods. In addition, forecasts were made for price and volume of Bitcoin. Finally, the introduced the Exogenous GARCH (ExoGARCH) model shows that the ICO ban altered the short term and long term volatility clustering of Bitcoin return and volume in unique ways. Some policy recommendations are provided based on the findings of the paper.

Suggested Citation

  • Okorie, David Iheke & Lin, Boqiang, 2020. "Did China’s ICO ban alter the Bitcoin market?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 977-993.
    • Handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:977-993
    DOI: 10.1016/j.iref.2020.05.016
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin market; Government driven risks; Event study; Forecast;
    All these keywords.

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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