A Study in Bitcoin Volatility through Economic Factors

JongHyeok Son, JeongYeon Kim


As a result of the United States (U.S) -China trade conflict, the recent instability of the stock market has led many people to invest in Bitcoin, a commodity that many previous studies have interpreted as a safe asset. However, recent Bitcoin market price fluctuations suggest that the asset’s stability stems from speculative purchasing trends. Therefore, classifying the characteristics of Bitcoin assets can be an important reference point in analyzing relevant accounting information. To determine whether Bitcoin is a safe asset, this study analyzed the correlation between Bitcoin and economic indicators to verify whether gold and Bitcoin responded similarly in time series analyses. These show that the regression explanatory power between the price of gold and bitcoin is low, thus no relation between the two assets could be drawn. Additionally, the Granger causality analyses of six individual economic variables and Bitcoin did not establish any notable causality. This can be interpreted that short-term price fluctuations have a significant impact on the nature of Bitcoin as an asset.

Full Text:



Bithumb, https://www.bithumb.com.

Choi, D. H. and Lee, J. S., “A Study on the Determinants of Gold Prices - From Alternative Investment Assets Perspective,” The Korean Finance Association, Vol. 31, No. 3, pp. 79-112, 2014.

Dyhrberg, A. H., “Bitcoin, gold and the dollar: A GARCH volatility analysis,” Working Paper Series, UCD Centre for Economic Research, No. 15/20, 2015.

FRED, https://fred.stlouisfed.org.

Hwang, Y., “Bitcoin(Gold)’s HedgeㆍSafe-HavenㆍEquityㆍTaxation,” Journal of Society for e-Business Studies, Vol. 23, No. 3, pp. 13-32, 2018.

Jang, S. I. and Kim, J. Y., “A Study on The Asset Characterization of Bitcoin,” Journal of Society for e-Business Studies, Vol. 22, No. 4, pp. 117-128, 2017.

Jeong, S. Y., “Characterisation of Virtual Currencies in Tax Law-focused on the Bitcoin Case,” Journal of IFA, Vol. 31, No. 1, pp. 85-140, 2015.

Kim, Y. S., “Legal Nature of Bitcoin in Private Law,” Law Review, Vol. 59, No. 4, pp. 75-101, 2018.

Lee, J. S., Kim, K. W., and Park, D. H., “Empirical Analysis on Bitcoin Price Change by Consumer, Industry and Macro-Economy Variables,” JIIS, Vol. 24, No. 2, pp. 195-220, 2018.

Lee, K. K., Cho, S. J., Min, G. S., and Yang, C. W., “The Determinant of Bitcoin Prices in Korea,” KAABA conference, 2019.

Lee, Y. J., “Cyber Money’s Political Economic Characters-Focusing on Bitcoin’s Moneyness,” Journal of International Politics, Vol. 23, No. 1, pp. 45-76, 2018.

Zhu, Y., Dickinson, D., and Li, J. J., “Analysis on the influence factors of Bitcoin’s price based on VEC model,” Financial Innovation, pp. 1-13, 2017.


  • There are currently no refbacks.