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The correlation and volatility between bitcoin and the blockchain index
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The encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular. Because blockchain technology is the crucial support of bitcoin, exploring the relationship between bitcoin and the blockchain index is necessary.
This paper uses the Granger causality test to explore the correlation between bitcoin and the blockchain index. Furthermore, their volatility is analyzed by a GARCH-class model.
The results show that no significant correlation exists between bitcoin and the blockchain index; external shocks aggravate the volatility of bitcoin and the blockchain index, and the volatility has a certain degree of sustainability; and blockchain index has obvious leverage, namely, its decline has a stronger impact.
The volatility of bitcoin and the blockchain index is crucial for investors.
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The correlation and volatility between bitcoin and the blockchain index
),
Abstract
The encrypted money market has attracted the attention of investors all over the world. Among the encrypted currency, bitcoin is undoubtedly the most popular. Because blockchain technology is the crucial support of bitcoin, exploring the relationship between bitcoin and the blockchain index is necessary.
This paper uses the Granger causality test to explore the correlation between bitcoin and the blockchain index. Furthermore, their volatility is analyzed by a GARCH-class model.
The results show that no significant correlation exists between bitcoin and the blockchain index; external shocks aggravate the volatility of bitcoin and the blockchain index, and the volatility has a certain degree of sustainability; and blockchain index has obvious leverage, namely, its decline has a stronger impact.
The volatility of bitcoin and the blockchain index is crucial for investors.
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Acknowledgements
This work was supported by the National Key Research and Development Plan of China: Research on Fundamental Theories and Methods of Crowd Science (2017YFB1400100) and the Research Base Project of Beijing Social Science Foundation: Research on the Mechanism and Effectiveness of Public Network Participation in Public Decision-making (18JDGLB020).
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Tuotuo Qi, Tianmei Wang, Jianming Zhu and Ruyu Bai. Published in International Journal of Crowd Science. Published by Emerald Publishing Limited. This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode
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