Did China's ICO ban alter the Bitcoin market?

【Author】 Okorie, David Iheke; Lin, Boqiang

【Source】INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

【影响因子】3.399

【Abstract】Since its introduction to the global market in 2009 Bitcoin has been experiencing steady growth. The daily closing price and volume series of Bitcoin, within the window of Chinese government intervention (i.e. ICO ban) was used to show empirical evidences of significant alterations in the market. This resulted in a lead-follow effect ex-ante ICO ban, decreased return ex-post, and different response of return to shocks (ex-ante & ex-post periods) through the shock adjustment path analysis. Shock internalization are different between these periods. In addition, forecasts were made for price and volume of Bitcoin. Finally, the introduced the Exogenous GARCH (ExoGARCH) model shows that the ICO ban altered the short term and long term volatility clustering of Bitcoin return and volume in unique ways. Some policy recommendations are provided based on the findings of the paper.

【Keywords】Bitcoin market; Government driven risks; Event study; Forecast

【发表时间】2020 SEP

【收录时间】2022-01-02

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