The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility

Köse N., YILDIRIM H., Ünal E., Lin B.

Journal of Futures Markets, vol.44, no.4, pp.673-695, 2024 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 44 Issue: 4
  • Publication Date: 2024
  • Doi Number: 10.1002/fut.22487
  • Journal Name: Journal of Futures Markets
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Public Affairs Index, vLex
  • Page Numbers: pp.673-695
  • Keywords: Bitcoin, gold price, oil price, SVAR model, VIX
  • Istanbul Gelisim University Affiliated: Yes

Abstract

This study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk-taking.