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Research paper | Open Access

The correlation and volatility between bitcoin and the blockchain index

Tuotuo Qi, Tianmei Wang( ), Jianming Zhu, Ruyu Bai
School of Information, Central University of Finance and Economics, Beijing, China
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Abstract

Purpose

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.

Design/methodology/approach

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.

Findings

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.

Originality/value

The volatility of bitcoin and the blockchain index is crucial for investors.

Keywords

BitcoinBlockchain indexGranger causality testGARCH-class modelVolatility

References

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International Journal of Crowd Science
Volume 4 Issue 2,
June 2020
Pages 103-115
DOI: 10.1108/IJCS-11-2019-0036

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Cite this article:
Qi T, Wang T, Zhu J, et al. The correlation and volatility between bitcoin and the blockchain index. International Journal of Crowd Science, 2020, 4(2): 103-115. https://doi.org/10.1108/IJCS-11-2019-0036

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Received: 27 November 2019
Revised: 06 January 2020
Accepted: 06 January 2020
Published: 28 April 2020
© The author(s)

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