The effects of markets, uncertainty and search intensity on bitcoin returns

Forthcoming publication by Economics alum Orestis Vravosinos ’18

Orestis Vravosinos ’18 (Economics) shares his recent work on bitcoin, joint with professors Theodore Panagiotidis (University of Macedonia) and Thanasis Stengos (University of Guelph).

The paper is in press and currently available online in the International Review of Financial Analysis. It first appeared as a working paper of the Rimini Centre for Economic Analysis (RCEA).

Bitcoin has been gaining more and more attention by investors and researchers since its introduction by Nakamoto (2008). It possesses three main appealing features: (i) direct transactions without bank intermediation, (ii) low transaction fees and (iii) anonymity. The consumer base and transaction frequency in the digital currencies market and the number of businesses and organizations that accept bitcoin as a means of payment have been considerably expanding. Apart from its increasing use in transactions, literature suggests that bitcoin has some favorable characteristics as an asset.

In the paper we examine the impact of shocks in stock markets, exchange rates, gold, oil, central bank rates, internet trends and policy uncertainty on bitcoin returns employing alternative VAR and Factor- Augmented VAR (FAVAR) models and using generalized and local impulse response functions. We also use factor and principal component (PC) analysis to capture the magnitude of the effects that European, US and China-Japan markets have on bitcoin returns.

Our results suggest a significant interaction between bitcoin and traditional stock markets, a weaker with FX markets and the macroeconomy and an anemic importance of popularity measures. Lastly, we reveal the increased impact of Asian markets on bitcoin compared to other geographically-defined markets, which however appears to have waned in the last two years after the Chinese regulatory interventions. This has been accompanied by a sudden contraction of CNY’s share in bitcoin trading volume and a rapid expansion of USD’s share.


Panagiotidis, T., Stengos, T. and Vravosinos, O. (2018). The effects of markets, uncertainty and search intensity on bitcoin returns. International Review of Financial Analysis, doi: 10.1016/j.irfa.2018.11.002