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IJSTR >> Volume 9 - Issue 2, February 2020 Edition



International Journal of Scientific & Technology Research  
International Journal of Scientific & Technology Research

Website: http://www.ijstr.org

ISSN 2277-8616



The Impact Of Exchange Rates On Bitcoin Returns: Further Evidence From A Time Series Framework

[Full Text]

 

AUTHOR(S)

Bashar Yaser Almansour, Ammar Yaser Almansour, Mohammad In’airat

 

KEYWORDS

Cryptocurrencies, Bitcoin, Exchange Rates, ARMA

 

ABSTRACT

Cryptocurrencies have received immense consideration in media and academia since the beginning of 2013 because of its huge prices’ fluctuation. This study examined the effect of exchange rates (USD/ AUD, USD/ EUR, USD/ GBP, and USD/ JPY) on bitcoins returns covering the period from 2014 to 2019 via ARMA model using Maximum Likelihood Type of Estimation. The results indicated that the Bitcoin returns is not significantly affected from the values in foreign currencies (USD/ JPY, USD/ EUR, USD/ GBP, and USD/ AUD) when confidence is measured at 95 percent level. However, the GBP is found to be significant when significance is measured at 90 percent level. That might be partially due to the common factors that affect both USD/ GBP and Bitcoin returns simultaneously in recent times. Interested parties may focus on investigating the effect of exchange rates on cryptocurrencies by taking several digital currencies not only bitcoin.

 

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