An Analysis of Bitcoin Price Based on VEC Model

DOI

10.2991/icemi-16.2016.36How to use a DOI?

Keywords

Bitcoin, Price fluctuation, Cointegration analysis, VEC model, Investment value.

Abstract

As the world's first completely decentralized digital payment system, the emergence of bitcoin represents a revolutionary phenomenon in financial markets. This paper mainly studies the fluctuations of bitcoin price and discusses weather digital currencies represented by bitcoin have the potential to invest. Cointegration analysis and VEC (Vector Error Correction) Model have been performed to demonstrate the relationship between bitcoin price and some variables including stock price index, oil price and daily trading volume of bitcoin. The empirical research indicates that there is long-term equilibrium and short-term dynamic relationship among the four factors. The short run analysis reveals that oil price and bitcoin trading volume have little influence on bitcoin price while stock price index has relatively larger impact on it. In the long run, stock price index and oil price have a negative effect on bitcoin price. On the contrary, the value of bitcoin is positively affected by daily trading volume.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Junpeng Wang
AU  - Yubo Xue
AU  - Minghao Liu
PY  - 2016/07
DA  - 2016/07
TI  - An Analysis of Bitcoin Price Based on VEC Model
BT  - Proceedings of the 2016 International Conference on Economics and Management Innovations
PB  - Atlantis Press
SP  - 180
EP  - 186
SN  - 2352-538X
UR  - https://doi.org/10.2991/icemi-16.2016.36
DO  - 10.2991/icemi-16.2016.36
ID  - Wang2016/07
ER  -