The Determinants of Bitcoin Price Volatility: An Investigation With ARDL Model
Sana Guizani, Ines Kahloul Nafti · Procedia Computer Science · 2019
The emergence of Bitcoin (BTC) has triggered intense discussions. Despite the particular interest of the public, the theoretical understanding of the value of this crypto currency is limited. This is why current research is trying to find better leads to evaluate a complex phenomenon: the BTC price. The volatility of its price presents a certain specificity compared to the traditional currencies. In order to understand the reasons for this volatility, we try to identify and to analyze the main determinants of the BTC price and to estimate their influence. We apply time series to daily data for the period from 19/12/2011 to 06/02/2018. We used several approaches, including the Auto Regressive Distributed Lag ARDL model, the cointegration test at Pesaran et al. (2001) and the Granger causality test in the sense of Toda and Yamamoto (1995). Our estimated results suggest that the number of addresses, the attractiveness indicator and the mining difficulty have a significant impact on the BTC price with variations over time. On the other hand, the transaction volume, the stock, the EUR/USD exchange rate and the macroeconomic and financial development do not determine the price of the BTC in the short term as well as in the long term.