Proceedings of the 2016 International Conference on Economics and Management Innovations

An Analysis of Bitcoin Price Based on VEC Model

Authors
Junpeng Wang, Yubo Xue, Minghao Liu
Corresponding Author
Junpeng Wang
Available Online July 2016.
DOI
https://doi.org/10.2991/icemi-16.2016.36How to use a DOI?
Keywords
Bitcoin, Price fluctuation, Cointegration analysis, VEC model, Investment value.
Abstract
As the world's first completely decentralized digital payment system, the emergence of bitcoin represents a revolutionary phenomenon in financial markets. This paper mainly studies the fluctuations of bitcoin price and discusses weather digital currencies represented by bitcoin have the potential to invest. Cointegration analysis and VEC (Vector Error Correction) Model have been performed to demonstrate the relationship between bitcoin price and some variables including stock price index, oil price and daily trading volume of bitcoin. The empirical research indicates that there is long-term equilibrium and short-term dynamic relationship among the four factors. The short run analysis reveals that oil price and bitcoin trading volume have little influence on bitcoin price while stock price index has relatively larger impact on it. In the long run, stock price index and oil price have a negative effect on bitcoin price. On the contrary, the value of bitcoin is positively affected by daily trading volume.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
2016 International Conference on Economics and Management Innovations
Part of series
Advances in Computer Science Research
Publication Date
July 2016
ISBN
978-94-6252-214-5
ISSN
2352-538X
DOI
https://doi.org/10.2991/icemi-16.2016.36How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Junpeng Wang
AU  - Yubo Xue
AU  - Minghao Liu
PY  - 2016/07
DA  - 2016/07
TI  - An Analysis of Bitcoin Price Based on VEC Model
BT  - 2016 International Conference on Economics and Management Innovations
PB  - Atlantis Press
SP  - 180
EP  - 186
SN  - 2352-538X
UR  - https://doi.org/10.2991/icemi-16.2016.36
DO  - https://doi.org/10.2991/icemi-16.2016.36
ID  - Wang2016/07
ER  -