Abstract
ABSTRACT This article examines the relationships between 21 fiat currencies to Bitcoin price movements using daily data from the beginning of 2012 to the end of March 2021. We use a two-stage analysis. The first stage excludes currencies, which are uncorrelated with the daily returns of the Bitcoin. The second stage is to run a Granger-causality test on the remaining six currencies to examine whether lagged excess returns on the Bitcoin Granger-cause the excess returns on the currencies or vice versa. Results support the conclusion that the return on Bitcoin Granger-Cause the return on the Israeli Shekel (ILS), but not vice versa. A possible explanation of these outcomes is the susceptibility of financial investors in Bitcoin and the ILS to the Israeli economy.
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