An Analysis of Bitcoin Price Based on VEC Model

摘要：

　　As the worlds 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.

关键词： Bitcoin Price fluctuation Cointegration analysis VEC model Investment value

作者: Junpeng Wang Yubo Xue Minghao Liu

作者单位: School of economics and management,Beijing University of Posts and Telecommunications,Beijing,China

会议类型: 国际会议

会议名称: 2016 International Conference on Economics and Management Innovations(2016经济与管理创新国际会议)

会议地点: 武汉

会议语种:英文

页码: 147-152

在线出版日期: 2016-07-09（万方平台首次上网日期，不代表论文的发表时间）