A carregar...
Publicação
What drives cryptocurrency value? A volatility and predictability analysis
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 696.26 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Esta tese descreve como as moedas digitais se tornaram no novo fenómeno nos mercados financeiros e como a mais popular das moedas digitais - Bitcoin - originou perguntas cruciais sobre o seu valor e como ao mesmo tempo as suas séries financeiras criaram uma oportunidade para estudar várias dinâmicas sobre o preço, que tipicamente estão fortemente ligadas a movimentos especulativos e sem análise fundamental.
Com a utilização de um modelo GARCH(1,1) sobre dados diários e centrando-se em dois fenómenos recentes - moedas digitais, nomeadamente Bitcoin e conteúdo web oriundo do Google Trends, Wikipedia e Twitter - verificámos que os retornos da Bitcoin são fortemente impulsionados pela sua popularidade.
Assim, analisando este relacionamento e modelando a existência de variâncias condicionais heterocedásticas demonstramos que o conteúdo proveniente de motores de busca e redes sociais e a flutuação nos preços Bitcoin estão intensamente ligados e que esta relação exibe alguma previsibilidade.
This thesis describes how digital currencies have rose as a new interesting phenomenon in the financial markets and how the most popular of the digital currencies - BitCoin - have risen crucial questions about their exchange rates and also represents a field to study the dynamics of this market, which is strongly connected with speculative traders with no fundamentals as there is no fundamental value to the currency. Using a GARCH(1,1) model on daily data and focusing on two emerging phenomena of recent years - digital currencies, particularly Bitcoin, and web content provided by search queries on Google Trends and Wikipedia and tweets from Twitter - we discover that Bitcoin returns are driven primarily by its popularity. Thus, we analyze their relationship, the existence of volatility clustering and demonstrate that the web content and Bitcoin prices are connected and they exhibit some predictable power.
This thesis describes how digital currencies have rose as a new interesting phenomenon in the financial markets and how the most popular of the digital currencies - BitCoin - have risen crucial questions about their exchange rates and also represents a field to study the dynamics of this market, which is strongly connected with speculative traders with no fundamentals as there is no fundamental value to the currency. Using a GARCH(1,1) model on daily data and focusing on two emerging phenomena of recent years - digital currencies, particularly Bitcoin, and web content provided by search queries on Google Trends and Wikipedia and tweets from Twitter - we discover that Bitcoin returns are driven primarily by its popularity. Thus, we analyze their relationship, the existence of volatility clustering and demonstrate that the web content and Bitcoin prices are connected and they exhibit some predictable power.
Descrição
Mestrado em Decisão Económica e Empresarial
Palavras-chave
Bitcoin GARCH Criptomoedas Google Trends Wikipedia Twitter Cryptocurrencies
Contexto Educativo
Citação
Letra, Ivo José Santos (2016). "What drives cryptocurrency value? A volatility and predictability analysis". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão