Abstract
The Bitcoin exchange rate (BER) is influenced by many variables such as human speculation and policies and, thus, is dependent on the financial system. The fluctuation of BER submitted has been extensively investigated. However, the correlation analysis of the short- and long-term effects by indicators of online sentiment is unexplored. Therefore, this study establishes a VAR model for BER which provides a framework to the Google search volume index (SVI), the investor fear gauge (VIX), and the S&P500 Index. The findings of the analysis suggest that BER and Google SVI have a Granger causality feedback relationship in both the short- and long-term co-integration equilibrium, and the VIX is significantly related to BER in the long-term co-integration.
Highlights
Introduction eBitcoin exchange rate (BER) is extremely volatile
The correlation analysis of the short- and long-term effects by indicators of online sentiment is unexplored. erefore, this study establishes a vector autoregression (VAR) model for BER which provides a framework to the Google search volume index (SVI), the investor fear gauge (VIX), and the S&P500 Index
E S&P500 index had a negative impact (−0.108234) on the leading two-period S&P500 index at a significant level of 1%. p < 1, 5, or 10% of the significant level indicates that the coefficient is not equal to zero, that is, the S&P500 index Granger causality causes the lag two-period S&P500 index
Summary
Relationship between Bitcoin Exchange Rate and Other Financial Indexes in Time Series. E Bitcoin exchange rate (BER) is influenced by many variables such as human speculation and policies and, is dependent on the financial system. Erefore, this study establishes a VAR model for BER which provides a framework to the Google search volume index (SVI), the investor fear gauge (VIX), and the S&P500 Index. E pricing models of stock price or exchange rate have assumptions of transactions by rational investors. Is research employs the vector autoregression (VAR) model to explore the long- and short-term relationship between the Google SVI and BER. Based on the findings of the current research, the important variables of traditional financial assets are selected in consideration of the volatility index (VIX), the S & P500 index, and the Google SVI. Based on the findings of the current research, the important variables of traditional financial assets are selected in consideration of the volatility index (VIX), the S & P500 index, and the Google SVI. e
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