Asymmetric determinants of Bitcoin's wild price movements

Abstract

PurposeThe present work endeavors to explore the potential nonlinear and asymmetric effects of supply fundamental properties of Bitcoin mining process (velocity, size and stock of Bitcoins, cost of production and mining revenue), DJIA, VIX, economic policy uncertainty and Google Trend on the price of Bitcoin (PB).Design/methodology/approachThe authors apply the Nonlinear Autoregressive Distributed lag (NARDL) approach for the period from November 31, 2013 to December 30, 2020.FindingsThe asymmetric effects of inflation, the size of Bitcoin economy, reveal a positive impact on the PB in the short and long run. In the short run, Bitcoin price shows negative statistically significant sensitivity to positive (negative) changes in DJIA (VIX) index. In addition, Google Trends have an impact on Bitcoin prices indicating that the Bitcoin market is also driven by investors' sentiments. In the long run, negative policy uncertainty shocks increase the PB while in the short run, negative shocks decrease it.Originality/valueThe authors give credence to the best ways of understanding the existence of asymmetries in the link between the PB and a number of influential macro-finance variables to improve the appropriate asset allocation and portfolio management.

Factors affecting the blockchain operation in Asia-Europe

“…Blockchain volatility is an influential component that influences behavior intentions for future blockchain adoption in the retail industry (Veerasingam & Teoh, 2023). Similarly, blockchain volatility affects behaviour intention and generates a better behavior intention sensation (Benlagha & Hemrit, 2023). This is consistent with the findings, which show that volatility is a stable state that encourages the usage of blockchain in the retail sector (Trichilli & Boujelbéne, 2023).…”

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

“…Foroutan and Lahmiri ( 2022 ) reinforced that cryptocurrencies are more erratic and unstable than global stock markets during the COVID-19 pandemic. Furthermore, Benlagha and Hemrit ( 2022 ) suggested that high stock market risk aversion and fear increase the value of Bitcoin; however, Haffar and Fur ( 2022 ) asserted that, except for a bear market, no asset could impact Bitcoin because it is a solitary market.…”

“…Even if some previous studies estimated the long- and short-run relations (Béjaoui et al 2021 ; Ciaian et al 2016 ), the asymmetric associations were not assumed. To this end, we apply the NARDL model as in prior studies (Gaies et al 2021 ; Rajput et al 2020 ; González et al 2021 ; Benlagha and Hemrit, 2022 ). The NARDL model is an asymmetric extension of the ARDL approach.…”

“…Youssef and Waked ( 2022 ) employed the Media Coverage Index but explored the herding behavior in the cryptocurrency market. Most of the previous studies employed Google (Urquhart 2018 ; Salisu and Ogbonna 2021 ; Anastasiou et al 2021 ; Rajput et al 2020 ; Figà−Talamanca and Patacca 2020 ; Zhu et al 2021 ; Bashir and Kumar 2022 ; Vukovic et al 2021 ; Benlagha and Hemrit 2022 ; Dias et al 2022 ; Kim and Orlova 2021 ; Bonaparte and Bernile 2022 ; Raza et al 2022b ; Tong et al 2022 ) or Twitter (Shen et al 2019 ; Kraaijeveld and Smedt, 2020 ; Choi 2021 ; Naeem et al 2020 ; Wu et al 2021b ; Elsayed et al 2022 ; Bashir and Kumar, 2022 ; Kyriazis et al 2022 ; Gök et al 2022 ; Dias et al 2022 ; French, 2021 ; Tong et al 2022 ) data and were oriented toward equity markets (Haroon and Rizvi 2020 ; Shi and Ho, 2021 ; Tan 2021 ) or commodities (Atri et al 2021 ). Because the effects of various kinds of news fluctuate, this paper employs different forms of COVID-19 pandemic news.…”

Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets

“…Recently, Aharon et al (2023) suggest that the decentralized nature of cryptocurrencies creates an inherent level of volatility, often fluctuating by huge amounts within a short period. Further, a large portion of researchers believe that cryptocurrencies cannot provide a safe haven for stocks because the role of cryptocurrency stills depending on the market model and the various political and economic factors (Benlagha & Hemrit, 2023; Bouri et al, 2020; Goodell & Goutte, 2021; Murty et al, 2022; Wen et al, 2022). As argued by Yermack (2015), the speculative nature of traditional cryptocurrencies may result in selling pressure through extreme downturns, reflecting limited effectiveness as a perfect store of value and leadership influence over the volatility of the main stock market indices under different time scales (Kakinaka & Umeno, 2022).…”