Object

Title: Heteroskedasticity in excess Bitcoin return data: Google trend vs. GARCH effects

Title in english:

Heteroskedastyczność w danych zwrotu bitcoinów: trend Google vs. efekty GARCH

Creator:

Senarathne, Chamil W. ; Šoja, Tijana

Description:

Financial Sciences = Nauki o Finansach, 2019, vol. 24, no. 3, s. 35-45

Abstrakt:

This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010 to May 2019. The results show that the volatility coefficients become highly statistically insignificant when the lagged volume of search queries is included in the conditional variance equation of the GJR-GARCH-M model. This clearly suggests that the volume of search queries is shown to provide significant explanatory power regarding the variance of heteroskedastic excess Bitcoin return, which can be traced from the ARCH process defined in the GJR-GARCH-M specification. A significant negative relationship between the conditional volatility and the volume of search queries indicates that Internet (online) information arrival reduces the risk premium in the Bitcoin market, which may improve market stability

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/fins.2019.3.04 ; oai:dbc.wroc.pl:73300

Language:

eng

Relation:

Financial Sciences = Nauki o Finansach, 2019, vol. 24, no. 3

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Nauki o Finansach = Financial Sciences

Object collections:

Last modified:

Nov 12, 2019

In our library since:

Nov 12, 2019

Number of object content hits:

21

All available object's versions:

https://www.dbc.wroc.pl/publication/141923

Show description in RDF format:

RDF

Show description in OAI-PMH format:

OAI-PMH

Objects

Similar

This page uses 'cookies'. More information