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The effects of markets, uncertainty and search intensity on bitcoin returns

Author

Listed:
  • Theodore Panagiotidis

    (University of Macedonia, Greece; Rimini Centre for Economic Analysis)

  • Thanasis Stengos

    (University of Guelph, Canada; Rimini Centre for Economic Analysis)

  • Orestis Vravosinos

    (Universitat Pompeu Fabra, Spain)

Abstract

We review the literature and examine the effects of shocks on bitcoin returns. We assess the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED’s and ECB’s rates and internet trends on bitcoin returns. Alternative VAR and FAVAR models are employed and generalized as well as local impulse response functions are produced. Our results reveal (i) a significant interaction between bitcoin and traditional stock markets, (ii) a weaker interaction with FX markets and the macroeconomy and (iii) an anemic importance of popularity measures. Lastly, we reveal the increased impact of Asian markets on bitcoin compared to other geographically-defined markets, which however appears to have waned in the last two years after the Chinese regulatory interventions and the sudden contraction of CNY’s share in bitcoin trading volume.

Suggested Citation

  • Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:18-39
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    More about this item

    Keywords

    bitcoin; cryptocurrency; exchange rate; returns; FAVAR; factor analysis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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