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:: year 13, Issue 46 (2-2021) ::
JMBR 2021, 13(46): 591-629 Back to browse issues page
The Analysis of Effective Factors on Virtual Currency Prices (Case Study: Bitcoin and Ethereum)
Mohammad Javad Abolhasani 1, Saeed Samadi1
1- University of Isfahan
Abstract:   (869 Views)
Significant fluctuations in the price of cryptocurrencies have led to paying more attention to identifying effective factors of their prices. It is important to understand this in the financial markets. In this paper, the time series analysis method is used to study the determinants of Bitcoin and Ethereum prices. For this purpose, the stock price index on the New York Stock Exchange, the Standard & Poor's 500 Index, the world price of gold, and the exchange rate of the dollar and the euro are considered economic factors. The difficulty of mining, the number of daily transactions, the daily number of circulating Bitcoin and Ethereum are taken as technical factors. The variables of the number of daily tweets related to Bitcoin or Ethereum and the number of daily searches of Bitcoin or Ethereum in Google have been examined as social factors. The period for Bitcoin is from 2014 to 2020 and for Ethereum from 2016 to 2020. The statistical population of the research includes two cryptocurrencies, Bitcoin and Ethereum. The econometric method used to study the effect of the above factors on the price of Bitcoin and Ethereum in the short-run and long-run periods is OLS and VECM. Among the factors studied, the world price of gold has the greatest impact on Bitcoin and Ethereum prices. On the other hand, in the short run, the exchange rate of the dollar and the euro and the world price of gold negatively affect the value of cryptocurrencies.
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Type of Study: Empirical Study | Subject: Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook (E6)
Received: 2020/10/14 | Accepted: 2021/05/16 | Published: 2021/09/28
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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
year 13, Issue 46 (2-2021) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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