An evaluation of volatility index VIX in the case of cryptocurrency
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Γούπιου, Χρυσούλα
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Abstract
In this dissertation we examine the parameters affecting on Bitcoin’s market price,
such as number of transactions in blockchain, Volatility Index (VIX) of S&P 500
stock market, the amount of unique addresses and accounts in blockchain or market
capitalization. With data of three full years (January 1st, 2014 till December
31st, 2017) and by linear stepwise regressions, results have shown that except
market capitalization, which includes the market price, all other parameters does
not affect significant on market price of Bitcoin, especially volatility index.
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Keywords
Blockchain, Cryptocurrency, VIX, Bitcoins