Oil price and the Bitcoin market

【Author】 Salisu, Afees A.; Ndako, Umar B.; Vo, Xuan Vinh

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】Motivated by the significant role oil plays in the production of Bitcoin, we test whether its price can influence the realized volatility of Bitcoin returns. Using data over the period of January 27, 2017 (coinciding with the emergence of Bitcoin bubbles) to June 3, 2022, we conduct some predictability analyses and establish the following outcomes. First, we find that higher oil prices tend to raise the cost of producing Bitcoins, therefore lowering its returns and by extension its trading and volatility. Second, we find improved forecast performance of oil price for the realized volatility of Bitcoin as our proposed model that accounts for oil price consistently outperforms the benchmark (random walk) model, regardless of the oil price variant and forecast horizon. Third, investors in the Bitcoin market that observe oil price movements when making investment decisions are more likely to derive higher economic gains than their counterparts that ignore it.

【Keywords】Bitcoin market; Oil prices; Realized volatility prediction; Economic gains

【发表时间】2023 MAY

【收录时间】2023-04-04

【文献类型】

【主题类别】

--