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Title: The effects of markets, uncertainty and search intensity on bitcoin returns
Authors: Panagiotidis, Theodore
Stengos, Thanasis
Vravosinos, Orestis
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business
Keywords: Bitcoin
Exchange rate
Factor analysis
Issue Date: May-2019
Publisher: Elsevier
Source: International Review of Financial Analysis
Volume: 63
First Page: 220
Last Page: 242
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.
ISSN: 1057-5219
Other Identifiers: 10.1016/j.irfa.2018.11.002
Appears in Collections:Department of Economics

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