What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis

By Ladislav Kristoufek. PLoS ONE, 2014

911 citations recorded by the source corpus.

The Bitcoin has emerged as a fascinating phenomenon in the Financial markets. Without any central authority issuing the currency, the Bitcoin has been associated with controversy ever since its popularity, accompanied by increased public interest, reached high levels. Here, we contribute to the discussion by examining the potential drivers of Bitcoin prices, ranging from fundamental sources to speculative and technical ones, and we further study the potential influence of the Chinese market. The evolution of relationships is examined in both time and frequency domains utilizing the continuous wavelets framework, so that we not only comment on the development of the interconnections in time but also distinguish between short-term and long-term connections. We find that the Bitcoin forms a unique asset possessing properties of both a standard financial asset and a speculative one.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b2c445eb9b5b917f51ac14e91a7603e58553d29a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Bitcoin as a Complement to Emerging Market Currencies (2016, background): “The Bitcoin price came plummeting down in February of 2014 when Mt. Gox, which was the largest Bitcoin exchange in the world, lost an alleged $350 million in coins (Kristoufek 2015).”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “Further, the exact number of circulating Bitcoins in the market is known and therefore its money supply is constant providing an incentive for owners to keep them and not trade them for goods or services (Kristoufek 2015).”
What Does Bitcoin Look Like (2015, background): “It can be considered as transactions proxy (Kristoufek, 2014), or to address whether Bitcoin is business income (Bouoiyour et al.”
Can cryptocurrencies be a safe haven: a tail risk perspective analysis (2018, background): “Previous financial academic researches on cryptocurrencies mostly concentrate on the fair value of Bitcoin and bubble existence in this market (Cheung, Roca, and Su 2015; Cheah and Fry 2015), the main drivers of Bitcoin return and volatility (Kristoufek 2015; Bouoiyour et al. 2016; Polasik et al. 20”
Can Bitcoin be a diversifier, hedge or safe haven tool? (2019, background): “Moreover, Kristoufek (2015) found that the price of Bitcoin was determined by standard fundamental factors such as the supply and demand, even if it was regarded as a speculative asset.”
The relationship between Bitcoin returns and trade policy uncertainty (2019, methodology): “To address the solution of these possible measurement problems, following Kristoufek (2015), we consider the wavelet package introduced by Ng and Chan (2012).”
Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017, neutral): “Kristoufek (2014) argues that Bitcoin represents a unique asset, possessing properties of both a standard financial asset and a speculative one.”
On the determinants of bitcoin returns: A LASSO approach (2018, background): “Kristoufek (2013) emphasizes the difference between interest due to positive versus negative events and finds significant asymmetries in the effects of Google and Wikipedia trends depending on whether the price of bitcoin is above or below trend (Kristoufek, 2013, 2015).”