{"title":"解读比特币价格的不可预测性：硬分叉的作用","authors":"Thomas H.A. Joubert","doi":"10.1016/j.irfa.2024.103662","DOIUrl":null,"url":null,"abstract":"<div><div>Despite the widespread interest in Bitcoin, a universally accepted model explaining its value remains elusive. This article address a cause to this problem. The best-performing model would not be stable over time due to the fact that Bitcoin can be duplicated.</div><div>To investigate this hypothesis, I designed study periods based on statistical characteristics and duplication dates. Then, I estimated econometric models over these periods. Results reveal that duplications play a significant and systematic role in the changes in Bitcoin price formation. Furthermore, new variables in the literature are found to be relevant. I also show that the prices of Bitcoin’s different versions are uncorrelated after a disjunction but become positively and strongly correlated after several months.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103662"},"PeriodicalIF":7.5000,"publicationDate":"2024-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Unraveling Bitcoin price unpredictability: The role of hard forks\",\"authors\":\"Thomas H.A. Joubert\",\"doi\":\"10.1016/j.irfa.2024.103662\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Despite the widespread interest in Bitcoin, a universally accepted model explaining its value remains elusive. This article address a cause to this problem. The best-performing model would not be stable over time due to the fact that Bitcoin can be duplicated.</div><div>To investigate this hypothesis, I designed study periods based on statistical characteristics and duplication dates. Then, I estimated econometric models over these periods. Results reveal that duplications play a significant and systematic role in the changes in Bitcoin price formation. Furthermore, new variables in the literature are found to be relevant. I also show that the prices of Bitcoin’s different versions are uncorrelated after a disjunction but become positively and strongly correlated after several months.</div></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":\"96 \",\"pages\":\"Article 103662\"},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-10-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924005945\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924005945","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Unraveling Bitcoin price unpredictability: The role of hard forks
Despite the widespread interest in Bitcoin, a universally accepted model explaining its value remains elusive. This article address a cause to this problem. The best-performing model would not be stable over time due to the fact that Bitcoin can be duplicated.
To investigate this hypothesis, I designed study periods based on statistical characteristics and duplication dates. Then, I estimated econometric models over these periods. Results reveal that duplications play a significant and systematic role in the changes in Bitcoin price formation. Furthermore, new variables in the literature are found to be relevant. I also show that the prices of Bitcoin’s different versions are uncorrelated after a disjunction but become positively and strongly correlated after several months.
期刊介绍：
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
