Cryptocurrency Price Dynamics: Unveiling Bitcoin’s Predictors

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Published Sep 1, 2024
https://doi.org/10.61506/02.00364
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Vol. 10 No. 3 (2024): Journal of Policy Research

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Arfan Shahzad
Research Associate, Kiron Higher Open Education, Germany
Yasmin Anwar
MPhil Scholar, University of Gujrat, Pakistan
Muhammad Nadeem
Senior Lecturer, School of Commerce & Accountancy, Minhaj University Lahore, Pakistan
Waqas Shair
Senior Lecturer, School of Economics & Finance, Minhaj University Lahore, Pakistan

Abstract

The advancement in technologies has changed the picture of today’s economy. Cryptocurrency is the most trending currency nowadays. The form of cryptocurrency that is most commonly used in trading is Bitcoin. Since 2016, continuous fluctuations have been observed in the price of Bitcoin. The objective of the current study is to classify the strong predictor of Bitcoin’s price fluctuations and the associations of all these variables with each other. The price of several variables is selected as independent variables, including oil, VIX index, and US dollars. The price values for all study variables are collected for one year daily. The study findings indicated that lag 2 in the VAR model is the optimum lag for the model using HQIC and SBIC criteria, so today’s price depends on the previous two days’ price of independent variables. The correlation results indicated that the previous two-day price of EURO predicts the BTC’s today’s price. A negative association is found between VIX and BTC. It is indicated that a 1 percent increase in the price of the VIX index will lead to the 60 decreases in BTC’s today price. The study also showed that it is not the price of BTC that forecasts today’s worth of BTC, but it is the prices of VIX, euro, and oil that can predict today’s price of BTC.

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How to Cite
[1]
Shahzad, A. , Anwar, Y. , Nadeem, M. and Shair, W. 2024. Cryptocurrency Price Dynamics: Unveiling Bitcoin’s Predictors. Journal of Policy Research. 10, 3 (Sep. 2024), 459–469. DOI:https://doi.org/10.61506/02.00364.
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