Unraveling Bitcoin price unpredictability: The role of hard forks

【Author】 Joubert, Thomas H. A.

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】Despite the widespread interest in Bitcoin, a universally accepted model explaining its value remains elusive. This article address a cause to this problem. The best-performing model would not be stable over time due to the fact that Bitcoin can be duplicated. To investigate this hypothesis, I designed study periods based on statistical characteristics and duplication dates. Then, I estimated econometric models over these periods. Results reveal that duplications play a significant and systematic role in the changes in Bitcoin price formation. Furthermore, new variables in the literature are found to be relevant. I also show that the prices of Bitcoin's different versions are uncorrelated after a disjunction but become positively and strongly correlated after several months.

【Keywords】Bitcoin; Cryptocurrency; Asset pricing; Hard fork; Bitcoin futures

【发表时间】2024 NOV

【收录时间】2024-11-16

【文献类型】案例研究

【主题类别】

区块链治理-市场治理-价格预测