Title: Are bitcoin prices isolated or co-integrated?

Authors: Vishal Vyas; Kiran Mehta; Renuka Sharma

Addresses: Atal Bihari Vajpayee-Indian Institute of Information Technology and Management (ABV-IIITM), Gwalior, India ' Chitkara Business School, Chitkara University, Punjab, India ' Chitkara Business School, Chitkara University, Punjab, India

Abstract: As per the Google trends and Google's list of most-searched for 2017, the term bitcoin was at second place. One bitcoin was priced at 0.09 USD on 18th July 2010, which rose to a level of 7708.63 USD by June 2018. The reasons for such kind of price appreciation could have resulted because of short supply or limited availability of bitcoins, their low transaction costs, lack of competition and benefit of early entry in the market. The bitcoin markets have shown the sign of slow adjustment of disequilibrium error which means it is significantly affected by stochastic shocks. The current study has made an attempt to obtain empirical evidences of relationship between bitcoin price series and exchange rate of four currencies in terms of US dollar, i.e., relation between bitcoin price in terms of USD and exchange rate of EURO-USD, BRITISH POUND-USD, USD-JAPENSE YEN, and USD-KOREANWON.

Keywords: bitcoin; cryptocurrency; exchange rate; cointegration; impulse response function; variance decomposition; unit-root; stationarity; Granger causality; ADF.

DOI: 10.1504/IJBG.2023.134385

International Journal of Business and Globalisation, 2023 Vol.35 No.1/2, pp.5 - 19

Received: 26 Nov 2019
Accepted: 15 Jan 2020
Published online: 20 Oct 2023 *

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