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What affects the price movements in Bitcoin and Ethereum?
Author(s) -
Sabalionis Arturas,
Wang Wenbo,
Park Hail
Publication year - 2021
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12352
Subject(s) - cryptocurrency , capitalization , market capitalization , economics , spillover effect , econometrics , autoregressive conditional heteroskedasticity , financial economics , monetary economics , computer science , microeconomics , computer security , volatility (finance) , geography , philosophy , linguistics , context (archaeology) , archaeology , stock market
This study aims to explain price movements in the two largest cryptocurrencies that represent the majority of cryptocurrency market capitalization—Bitcoin and Ethereum. A VAR‐GARCH‐BEKK model is estimated to analyze how Google search interest, number of tweets and active addresses on the blockchain impact prices of Bitcoin and Ethereum over time. We find solid evidence that the amount of active addresses is the most significant variable among others influencing price movements in Bitcoin and Ethereum. Based on spillover effects and GIRFs, Google searches and tweets, to a certain extent, have impacts on the Bitcoin and Ethereum prices, but the impacts are weaker than that of active addresses in terms of magnitude and significance.