Unraveling Bitcoin price unpredictability: The role of hard forks

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-10-19 DOI:10.1016/j.irfa.2024.103662

Thomas H.A. Joubert

引用次数: 0

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.

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解读比特币价格的不可预测性：硬分叉的作用

尽管比特币受到广泛关注，但一个普遍接受的解释其价值的模型仍未出现。本文探讨了这一问题的原因。为了研究这一假设，我根据统计特征和复制日期设计了研究时段。然后，我对这些时期的计量经济学模型进行了估计。结果显示，复制在比特币价格形成的变化中起着重要的系统性作用。此外，我还发现文献中的新变量也与此相关。我还表明，比特币不同版本的价格在断裂后是不相关的，但在几个月后变得正相关且相关性很强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.