Repository logo
 

Bitcoin price formation: an empirical investigation

Simple item page
dc.contributor.authorLight, Aric, author
dc.contributor.authorTavani, Daniele, advisor
dc.contributor.authorPena, Anita, committee member
dc.contributor.authorKroll, Stephan, committee member
dc.date.accessioned2019-09-10T14:35:51Z
dc.date.available2019-09-10T14:35:51Z
dc.date.issued2019
dc.description.abstractCreated in 2008 and rising to prominence in 2017, Bitcoin continues to generate controversy as to whether it is a speculative asset or the harbinger of a future of global, decentralized commerce. The focus of this paper is to investigate the properties of Bitcoin and its market by assessing asset specific factors (users, hash rate, etc.) and traditional market factors (market risk, currency risk, etc.). The objective is to quantify the impacts of these forces as drivers of Bitcoin returns and to develop a risk measurement framework with the potential to inform future use cases. The analysis is broken out into two parts. The first seeks to quantify the impact of asset specific "supply and demand" factors with respect to Bitcoin's daily price return and volatility and to determine the relative efficiency of the nascent Bitcoin market. To do this a GARCH model is specified which enables the measurement of return impacts and volatility within a single model. A back test and forecast are then conducted to determine if the conditional value at risk and expected shortfall can be accurately captured by the model. We determine the Bitcoin market is weakly efficient, returns are highly impacted by supply and demand factors and that the specified value at risk model accurately describes the exceptional volatility. The second part incorporates a set of macro-financial variables into the model to determine Bitcoin's exposure to traditional sources of risk; such as stock and currency market returns. The results show that Bitcoin is largely unimpacted by broad macro-financial variables once supply and demand variables are properly accounted for. This suggests that although Bitcoin is a weakly efficient market it is generally disconnected from worldwide capital and currencies market. This further suggests that Bitcoin may have currently limited "real world" use cases which is an important consideration for investors.
dc.format.mediumborn digital
dc.format.mediummasters theses
dc.identifierLight_colostate_0053N_15557.pdf
dc.identifier.urihttps://hdl.handle.net/10217/197331
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartof2000-2019
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectcryptocurrency
dc.subjectfinance
dc.subjectbitcoin
dc.subjectrisk
dc.subjecteconomics
dc.titleBitcoin price formation: an empirical investigation
dc.typeText
dcterms.rights.dplaThis Item is protected by copyright and/or related rights (https://rightsstatements.org/vocab/InC/1.0/). You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
thesis.degree.disciplineEconomics
thesis.degree.grantorColorado State University
thesis.degree.levelMasters
thesis.degree.nameMaster of Arts (M.A.)

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Light_colostate_0053N_15557.pdf
Size:
610.89 KB
Format:
Adobe Portable Document Format
Download

Collections

2000-2019
Theses and Dissertations