Is Bitcoin ready to be a widespread payment method? Using price volatility and setting strategies for merchants

IF 3.7 4区管理学 Q2 BUSINESS

Electronic Commerce Research Pub Date : 2024-02-05 DOI:10.1007/s10660-024-09812-x

Simona-Vasilica Oprea, Irina Alexandra Georgescu, Adela Bâra

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Abstract

Bitcoin has gradually gained acceptance as a payment method that, unlike electronic payments in dollars or euros, passes through the international trading system with zero or lower fees. Moreover, Bitcoin and e-commerce have become increasingly intertwined in recent years as cryptocurrencies gain mainstream acceptance. In this paper, we analyze Bitcoin price evolution from September 2014 until July 2023, factors that influence price volatility and assess its future volatility using Autoregressive Conditional Heteroskedasticity (ARCH) models that predict the volatility of financial returns to conceive strategies for merchants that accept Bitcoin as a payment option. The Generalized ARCH model (GARCH) extends the model to capture more persistent volatility patterns. Further, we estimate symmetric and asymmetric GARCH (1,1)-type models with normal and non-normal innovations. The best proved to be EGARCH (1,1) with t-distribution innovation. To assist merchants in making decisions regarding Bitcoin adoption, two concepts are relevant: the EGARCH model and VaR. EGARCH model is used to forecast the volatility of the financial asset, while VaR is a widely used risk management tool that estimates the potential loss in value of a portfolio over a defined period. For a merchant holding Bitcoin, VaR assists in understanding the maximum expected loss over a certain time frame with a certain level of confidence (like 95% or 99%). The results show that a VaR coverage of 0.044 at a 5% probability level suggests that there is 95% confidence that the maximum loss will not exceed 4.4% of the investment value.

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比特币准备好成为一种广泛使用的支付方式了吗？利用价格波动为商家制定策略

比特币作为一种支付方式已逐渐被人们接受，与美元或欧元的电子支付不同，比特币通过国际贸易系统支付的费用为零或更低。此外，随着加密货币获得主流认可，比特币和电子商务近年来也日益交织在一起。在本文中，我们利用预测金融收益波动的自回归条件异方差（ARCH）模型，分析了从 2014 年 9 月到 2023 年 7 月的比特币价格演变、影响价格波动的因素，并评估了其未来的波动性，从而为接受比特币作为支付选项的商家构思策略。广义 ARCH 模型（GARCH）扩展了该模型，以捕捉更持久的波动模式。此外，我们还估算了具有正态和非正态创新的对称和非对称 GARCH (1,1)型模型。事实证明，最佳模型是具有 t 分布创新的 EGARCH (1,1)。为了帮助商家做出采用比特币的决策，有两个概念是相关的：EGARCH 模型和风险价值。EGARCH 模型用于预测金融资产的波动性，而 VaR 是一种广泛使用的风险管理工具，用于估算投资组合在规定期限内的潜在价值损失。对于持有 Bitcoin 的商家来说，VaR 有助于了解在一定置信度（如 95% 或 99%）下一定时间段内的最大预期损失。结果显示，在 5%的概率水平下，风险价值覆盖率为 0.044，这表明有 95% 的把握最大损失不会超过投资价值的 4.4%。

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来源期刊

Electronic Commerce Research Multiple-

CiteScore

7.50

自引率

12.80%

发文量

期刊介绍： The Internet and the World Wide Web have brought a fundamental change in the way that individuals access data, information and services. Individuals have access to vast amounts of data, to experts and services that are not limited in time or space. This has forced business to change the way in which they conduct their commercial transactions with their end customers and with other businesses, resulting in the development of a global market through the Internet. The emergence of the Internet and electronic commerce raises many new research issues. The Electronic Commerce Research journal will serve as a forum for stimulating and disseminating research into all facets of electronic commerce - from research into core enabling technologies to work on assessing and understanding the implications of these technologies on societies, economies, businesses and individuals. The journal concentrates on theoretical as well as empirical research that leads to better understanding of electronic commerce and its implications. Topics covered by the journal include, but are not restricted to the following subjects as they relate to the Internet and electronic commerce: Dissemination of services through the Internet;Intelligent agents technologies and their impact;The global impact of electronic commerce;The economics of electronic commerce;Fraud reduction on the Internet;Mobile electronic commerce;Virtual electronic commerce systems;Application of computer and communication technologies to electronic commerce;Electronic market mechanisms and their impact;Auctioning over the Internet;Business models of Internet based companies;Service creation and provisioning;The job market created by the Internet and electronic commerce;Security, privacy, authorization and authentication of users and transactions on the Internet;Electronic data interc hange over the Internet;Electronic payment systems and electronic funds transfer;The impact of electronic commerce on organizational structures and processes;Supply chain management through the Internet;Marketing on the Internet;User adaptive advertisement;Standards in electronic commerce and their analysis;Metrics, measurement and prediction of user activity;On-line stock markets and financial trading;User devices for accessing the Internet and conducting electronic transactions;Efficient search techniques and engines on the WWW;Web based languages (e.g., HTML, XML, VRML, Java);Multimedia storage and distribution;Internet;Collaborative learning, gaming and work;Presentation page design techniques and tools;Virtual reality on the net and 3D visualization;Browsers and user interfaces;Web site management techniques and tools;Managing middleware to support electronic commerce;Web based education, and training;Electronic journals and publishing on the Internet;Legal issues, taxation and property rights;Modeling and design of networks to support Internet applications;Modeling, design and sizing of web site servers;Reliability of intensive on-line applications;Pervasive devices and pervasive computing in electronic commerce;Workflow for electronic commerce applications;Coordination technologies for electronic commerce;Personalization and mass customization technologies;Marketing and customer relationship management in electronic commerce;Service creation and provisioning. Audience: Academics and professionals involved in electronic commerce research and the application and use of the Internet. Managers, consultants, decision-makers and developers who value the use of electronic com merce research results. Special Issues: Electronic Commerce Research publishes from time to time a special issue of the devoted to a single subject area. If interested in serving as a guest editor for a special issue, please contact the Editor-in-Chief J. Christopher Westland at westland@uic.edu with a proposal for the special issue. Officially cited as: Electron Commer Res