The economics of BitCoin price formation

By Pavel Ciaian, Miroslava Rajcaniova, d'Artis Kancs. 2014

956 citations recorded by the source corpus.

ABSTRACT This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies specific factors, e.g., BitCoin attractiveness for investors and users. The conceptual framework is based on the Barro (1979) model, from which we derive testable hypotheses. Using daily data for five years (2009–2015) and applying time-series analytical mechanisms, we find that market forces and BitCoin attractiveness for investors and users have a significant impact on BitCoin price but with variation over time. Our estimates do not support previous findings that macro-financial developments are driving BitCoin price in the long run.

Subfields: Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/a4c31b5d6cc6ca750a3bc982101ff12354e07805

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Citations in the corpus

Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks (2018, background): “Ciaian et al. (2016) focus on Bitcoin price formation and market forces of supply/demand in the cryptocurrency markets.”
Can cryptocurrencies be a safe haven: a tail risk perspective analysis (2018, background): “…and Su 2015; Cheah and Fry 2015), the main drivers of Bitcoin return and volatility (Kristoufek 2015; Bouoiyour et al. 2016; Polasik et al. 2015; Ciaian, Rajcaniova, and Kancs 2016; Bouri, Azzi, and Dyhrberg 2017; Balcilar et al. 2017), and the efficiency of the Bitcoin market (Urquhart 2016;…”
Cryptocurrencies as a financial asset: A systematic analysis (2019, methodology): “Ciaian et al. [2016] explore the price formation of Bitcoin by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies specific factors, e.g., Bitcoin attractiveness for investors and users. The conceptual framework is based o”
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2017, positive): “The diversification benefits that emerge from using Bitcoin against all the assets under study can be explained by the results reported by Ciaian et al. (2016), which show that Bitcoin price formation in the long run is unrelated to global macroeconomic and financial developments and that it is only”