Safe-haven or speculation? Research on price and risk dynamics of Bitcoin

ABSTRACT

This paper investigates the price and risk dynamics of Bitcoin. Applying SVAR to study Bitcoin, gold and U.S. dollar in one system, we find that neither the gold nor U.S. dollar can explain Bitcoin pricing dynamics in the short-run. We further apply the DCC-MGARCH model to study the risk correlations. The results show that there exists volatility spillover effect and dynamic correlation between three markets, which is magnified with the advent of COVID-19. We can thus draw a conclusion that the boom of Bitcoin is just a hype and speculative bubble.