Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Effect of Bitcoin spot and derivative trading volumes on price volatility
Mini Dissertation (MBA)--University of Pretoria, 2018.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2019
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613518586445824 |
|---|---|
| access_status_str | Open Access |
| author2 | Penfold, Craig |
| author_browse | Penfold, Craig |
| author_facet | Penfold, Craig |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Mini Dissertation (MBA)--University of Pretoria, 2018. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/68877 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:25.592Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/68877 Effect of Bitcoin spot and derivative trading volumes on price volatility Penfold, Craig ichelp@gibs.co.za Badenhorst, Joseph Johannes UCTD Mini Dissertation (MBA)--University of Pretoria, 2018. This study argues that the value of Bitcoin is dependent on the likelihood of its price volatility reducing in the future. This study attempted to shed light on whether increased speculation, in both spot and derivative market volumes, will eventually lead to a reduction in Bitcoin price volatility. The study investigates several factors that influence Bitcoin volatility and tests empirically whether trading volumes in the spot market and trading volumes in the new derivative markets have had an effect on the price volatility. The study used, among other tests, an ARCH(1) and Granger-causality test and found that spot trading volumes had a significant positive effect on price volatility in the study period. The study also found that, in the year of introduction of Bitmex derivative contracts, derivative trading volumes had a significant negative effect on Bitcoin price volatility. In the years thereafter though, the relationship was not sustained and therefore it is not definitive whether derivative contracts trading volume increases has led to reduced volatility in the Bitcoin price. ms2019 Gordon Institute of Business Science (GIBS) MBA 2019-04-04T10:17:03Z 2019-04-04T10:17:03Z 30-Mar-19 2018 Mini Dissertation Badenhorst, JJ 2018, Effect of Bitcoin spot and derivative trading volumes on price volatility, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/68877> http://hdl.handle.net/2263/68877 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title | Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title_full | Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title_fullStr | Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title_full_unstemmed | Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title_short | Effect of Bitcoin spot and derivative trading volumes on price volatility |
| title_sort | effect of bitcoin spot and derivative trading volumes on price volatility |
| topic | UCTD |
| url | http://hdl.handle.net/2263/68877 |