An Analysis of Bitcoin Price Based on VEC Model

Wang, Junpeng; Xue, Yubo; Liu, Minghao

doi:10.2991/icemi-16.2016.36

Cited by 34 publications

(27 citation statements)

References 4 publications

(5 reference statements)

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“…Based on Wang et al (2016) if the data is stationary in the first difference and there is a cointegration relationship between the variables, then the correct method that should be applied is the Vector Error Correction Model (VECM). The VECM can explain the long-term and shortterm influences.…”

Section: Data and Analysismentioning

confidence: 99%

The New Era of Financial Innovation: The Determinants of Bitcoin’s Price

Sukamulja

Sikora

2018

J. Indones.Econ.Bus.

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Financial innovation has entered a new era in which a digitalized system and cryptocurrency have been created. This paper examines the factors that influence the price movement of bitcoin. This is not a legal currency in Indonesia; the Indonesian government has not made any regulations legalizing bitcoin's use, but it has also not issued any new laws to prohibit the trade in bitcoins and other digital currencies. The demand for, and price growth of, bitcoin are interesting matters to study, especially for Indonesians who still have questions about the progress of bitcoin transactions and the factors that influent them. In Indonesia itself, without any protection from the government, the bitcoin price on December 14, 2017 had already reached more than IDR224.5 million, compare to IDR60 million in October 2017. Bitcoin is the first peer-to-peer currency, and was introduced by Satoshi Nakamoto in 2008. Since its inception, bitcoin has served more than 17 million users, including Indonesians. Bitcoin behaves in a different manner, compared to traditional currencies and the one that affects bitcoin's price is its attractiveness for investors. The Vector Error Correction Model (VECM) is applied to analyze the short-term and long-term influences. VECM is used in this research because the data is stationary in the first difference and has a cointegration relationship. To make the interpretation clearer, the impulse response function and variance decomposition also are included in this research. The result indicates that the macroeconomic indicator, represented by the Dow Jones Industrial Average (DJIA), the demand for bitcoins and the gold price influence bitcoin's price fluctuations in the short-run and long-run. Bitcoin's supply does not influence its price fluctuation in the long-run but does influence it in the short-run. The implication of this research is bitcoin could compete as an alternative investment compared to the capital markets and gold.

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Section: Data and Analysismentioning

confidence: 99%

The New Era of Financial Innovation: The Determinants of Bitcoin’s Price

Sukamulja

Sikora

2018

J. Indones.Econ.Bus.

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“…They discovered that gold return is the most important determining factor. Wang et al (2016) also showed that there exist some levels of dynamic short-run and longrun relationship among these four returns (gold, return, exchange rates, and Bitcoin). This is not only the empirical strengths of Bitcoin.…”

mentioning

confidence: 96%

Could stock hedge Bitcoin risk(s) and vice versa?

Okorie

2019

Digit Finance

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This paper is saddled with the task of investigating the Bitcoin market behavior in the presence of a government risk. This is because both the institutional and retail investors' interests in the Bitcoin market are growing rapidly. Conversely, the seemingly unregulated nature of this market is a serious concern to most economies and results to the placement of ban on Initial Coin Offering (ICO) in some economies by the government. Daily series of return and volume within the window of the ICO ban in China was used for the Bitcoin market and S&P500 stock market to examine the effect of a government risk in the Bitcoin market and possible hedging capabilities. Empirical results show that the ban dampened Bitcoin returns and the returns from each market can predict the other. The Exogenous Dynamic Conditional Correlation (Exo-DCC) model result suggests that, yes! the S&P500 stocks are capable of hedging Bitcoin risk, while Bitcoin can also hedge S&P500 stocks' risks and vice versa. The Exogenous BEKK (Exo-BEKK) model result shows evidence of bidirectional volatility spill over between the two markets studied. In practice, investors (institutions and retailers) can comfortably form a robust investment portfolio with (at least) these two assets and develop a hedging strategy, such that the impacts of risks on the portfolio's returns are safely hedged.

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“…Kurihara & Fukushima (2018) stated that the stock index does not affect the price of Bitcoin because the price of bitcoin is purely based on market demand and supply and has nothing to do with the stock market. However, this contrasts with Sukamulja & Sikora (2018), van Wijk (2013), and Wang et al (2016) which states that macroeconomic indicators and stock indexes hurt Bitcoin prices.…”

Section: Research Hypothesismentioning

confidence: 91%

“…The stock price index is an indicator that shows the movement of stock prices, where each movement will indicate changes in the market situation that is happening. According to Wang et al (2016), the index can reflect the level of macroeconomic and financial growth. Theoretically, when economic conditions are right, stock prices will increase.…”

Section: Research Hypothesismentioning

confidence: 99%

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Bitcoin: A New Asset Class?

Huwaida

Hidajat²

2020

mem

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<p>This study aims to examine the effect of stock prices, exchange rates, and gold prices on the Bitcoin price. The data used are the IDX Composite, the Rupiah/ IDR exchange rate, and the daily gold price from July 19, 2010, to December 31, 2018. Regression equation results show that stock prices, exchange rates, and the gold price had a positive effect on Bitcoin price. Changes will follow changes that occur in stock prices, exchange rates, and gold prices in the price of Bitcoin in the same direction. Bitcoin is considered the same as other assets that are worth having in the investment portfolio.</p>

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An Analysis of Bitcoin Price Based on VEC Model

Cited by 34 publications

References 4 publications

The New Era of Financial Innovation: The Determinants of Bitcoin’s Price

The New Era of Financial Innovation: The Determinants of Bitcoin’s Price

Could stock hedge Bitcoin risk(s) and vice versa?

Bitcoin: A New Asset Class?

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