Behavioural antecedents of Bitcoin trading volume

IF 0.5 Q4 ECONOMICS

Croatian Operational Research Review Pub Date : 2023-07-10 DOI:10.17535/crorr.2023.0008

Blanka škrabić Perić, Petar Sorić, Ivana Jerković

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引用次数: 0

Abstract

This paper aims to examine the behavioural determinants of Bitcoin trading volume within a cross-country framework of 14 world economies plus the Eurozone. We introduce a basic taxonomy of behavioural indicators, distinguishing between consumer confidence, economic policy uncertainty (EPU), and indicators of financial volatility. Our estimations reveal that the Bitcoin trading volume can be predicted more accurately by EPU than by any other class of indicators. Finally, we identify the COVID-19 shock as a catalyst for a psychologically-driven Bitcoin market and find evidence that Bitcoin was a macro hedging instrument in the pandemic. To obtain our results, we conducted a panel Granger causality test, employing the Least Squares Dummy Variables (LSDV) estimator. Contrary to previous research, we found that market fundamentals (industrial production and equity market volume) became significant drivers of Bitcoin trading during the pandemic. This conclusion was preserved when we used the LSDV corrected estimator, which is more suitable for panels with a smaller time dimension. Apart from the practical implications for traders, this paper provides researchers with detailed steps for applying Granger causality testing in panel data settings.

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比特币交易量的行为前提

本文旨在在14个世界经济体和欧元区的跨国框架内研究比特币交易量的行为决定因素。我们介绍了行为指标的基本分类，区分了消费者信心、经济政策不确定性（EPU）和金融波动指标。我们的估计表明，EPU可以比任何其他类别的指标更准确地预测比特币交易量。最后，我们确定新冠肺炎冲击是心理驱动的比特币市场的催化剂，并发现证据表明比特币是疫情中的宏观对冲工具。为了获得我们的结果，我们使用最小二乘伪变量（LSDV）估计器进行了面板Granger因果关系检验。与之前的研究相反，我们发现，在疫情期间，市场基本面（工业生产和股票市场交易量）成为比特币交易的重要驱动因素。当我们使用LSDV校正估计器时，这个结论得到了保留，该估计器更适合于具有较小时间维度的面板。除了对交易员的实际意义外，本文还为研究人员提供了在面板数据设置中应用Granger因果关系测试的详细步骤。

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

Croatian Operational Research Review ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

22 weeks

期刊介绍： Croatian Operational Research Review (CRORR) is the journal which publishes original scientific papers from the area of operational research. The purpose is to publish papers from various aspects of operational research (OR) with the aim of presenting scientific ideas that will contribute both to theoretical development and practical application of OR. The scope of the journal covers the following subject areas: linear and non-linear programming, integer programing, combinatorial and discrete optimization, multi-objective programming, stohastic models and optimization, scheduling, macroeconomics, economic theory, game theory, statistics and econometrics, marketing and data analysis, information and decision support systems, banking, finance, insurance, environment, energy, health, neural networks and fuzzy systems, control theory, simulation, practical OR and applications. The audience includes both researchers and practitioners from the area of operations research, applied mathematics, statistics, econometrics, intelligent methods, simulation, and other areas included in the above list of topics. The journal has an international board of editors, consisting of more than 30 editors – university professors from Croatia, Slovenia, USA, Italy, Germany, Austria and other coutries.