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

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dc.contributor.authorKose, Nezir
dc.contributor.authorYildirim, Hakan
dc.contributor.authorUnal, Emre
dc.contributor.authorLin, Boqiang
dc.date.accessioned2024-03-13T10:30:38Z
dc.date.available2024-03-13T10:30:38Z
dc.date.issued2024
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.description.sponsorshipMinistry of Education [22JZD008]; Key Projects of Philosophy and Social Sciences Research, Ministry of Educationen_US
dc.description.sponsorshipThis paper is supported by the Key Projects of Philosophy and Social Sciences Research, Ministry of Education (Grant No.: 22JZD008).en_US
dc.identifier.doi10.1002/fut.22487
dc.identifier.endpage695en_US
dc.identifier.issn0270-7314
dc.identifier.issn1096-9934
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85184169103en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage673en_US
dc.identifier.urihttps://doi.org/10.1002/fut.22487
dc.identifier.urihttps://hdl.handle.net/20.500.12662/3449
dc.identifier.volume44en_US
dc.identifier.wosWOS:001154228000001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.ispartofJournal Of Futures Marketsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectBitcoinen_US
dc.subjectgold priceen_US
dc.subjectoil priceen_US
dc.subjectSVAR modelen_US
dc.subjectVIXen_US
dc.titleThe Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatilityen_US
dc.typeArticleen_US

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