The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility

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dc.contributor.authorKose, Nezir
dc.contributor.authorYildirim, Hakan
dc.contributor.authorUnal, Emre
dc.contributor.authorLin, Boqiang
dc.date.accessioned2026-08-12T17:38:39Z
dc.date.issued2024
dc.departmentFırat Üniversitesi
dc.description.abstractThis study examines the Bitcoin price by taking into account global factors, including the Chicago Board Options Exchange's Market Volatility Index (VIX), the US dollar index, the gold price, the oil price, and Bitcoin price volatility. The analysis is conducted using the structural vector autoregression (SVAR) model. The variance decomposition findings revealed that the influence of the VIX on the Bitcoin price was initially restricted, but progressively intensified over time. Among the indicators, Bitcoin price volatility had the highest explanatory share in both daily and weekly data analysis. The impulse response functions demonstrated a statistically significant inverse relationship between the VIX and the Bitcoin price. Furthermore, the analysis revealed that the Bitcoin price was mostly impacted by its own volatility. This implies that investing in Bitcoin requires a certain level of risk-taking.
dc.description.sponsorshipMinistry of Education [22JZD008]; Key Projects of Philosophy and Social Sciences Research, Ministry of Education
dc.description.sponsorshipThis paper is supported by the Key Projects of Philosophy and Social Sciences Research, Ministry of Education (Grant No.: 22JZD008).
dc.identifier.doi10.1002/fut.22487
dc.identifier.endpage695
dc.identifier.issn0270-7314
dc.identifier.issn1096-9934
dc.identifier.issue4
dc.identifier.orcid0000-0002-4127-357X
dc.identifier.orcid0000-0002-3271-2841
dc.identifier.orcid0000-0001-9572-8923
dc.identifier.orcid0000-0002-1308-400X
dc.identifier.scopus2-s2.0-85184169103
dc.identifier.scopusqualityQ2
dc.identifier.startpage673
dc.identifier.urihttps://doi.org/10.1002/fut.22487
dc.identifier.urihttps://hdl.handle.net/11508/58528
dc.identifier.volume44
dc.identifier.wosWOS:001154228000001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherWiley
dc.relation.ispartofJournal of Futures Markets
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WoS_20260511
dc.subjectBitcoin
dc.subjectgold price
dc.subjectoil price
dc.subjectSVAR model
dc.subjectVIX
dc.titleThe Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility
dc.typeArticle

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