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Bitcoin Jumps and Speculations: Empirical Evidence from High-Frequency Data

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Digital Business Strategies in Blockchain Ecosystems

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

The aim of this chapter is to investigate the relationship between the jump dynamics of Bitcoin prices and the speculations by using high-frequency data. I measure the significance of the jumps using Huang and Tauchen (Journal of Financial Econometrics, 3, 456–499) nonparametric test and Google’s Trends statistics for the measurements of the speculation. Since the futures contracts on Bitcoin transactions plays significant effect on its volatility, therefore, this paper additionally tests the effect of the futures contracts on this relationship. The results show that there is a discrete jump in the Bitcoin price around speculations and the futures contracts do not have any significant effect on this relationship, but notably after the launch of futures contract, the speculations have much higher significant effect on the Bitcoin jumps.

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Notes

  1. 1.

    The CME Group contract began trading on December 18, 2017. The contract is cash-settled, based on the CME CF Bitcoin Reference Rate (BRR) which serves as a once-a-day reference rate of the U.S. dollar price of bitcoin. Bitcoin futures are listed on and subject to the rules of CME (see https://www.danielstrading.com/bitcoin-futures).

  2. 2.

    https://www.kaggle.com/mczielinski/bitcoin-historical-data#coinbaseUSD_1-min_data_2014-12-01_to_2018-11-11.csv

  3. 3.

    https://trends.google.com.tr/trends/explore?q=bitcoin&geo=TR

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Authors and Affiliations

  1. Faculty of Economics and Business Administration, Department of Business Administration, Eskisehir Osmangazi University, IIBF, Meselik, Eskişehir, Turkey

    Abdullah Yalaman

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  1. Abdullah Yalaman
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Editors and Affiliations

  1. School of Business, Ibn Haldun University, Basaksehir, Istanbul, Turkey

    Umit Hacioglu

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Yalaman, A. (2020). Bitcoin Jumps and Speculations: Empirical Evidence from High-Frequency Data. In: Hacioglu, U. (eds) Digital Business Strategies in Blockchain Ecosystems. Contributions to Management Science. Springer, Cham. https://doi.org/10.1007/978-3-030-29739-8_29

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