Bitcoin Jumps and Speculations: Empirical Evidence from High-Frequency Data

Abstract

The aim of this chapter is to investigate the relationship between the jump dynamics of Bitcoin prices and the speculations by using high-frequency data. I measure the significance of the jumps using Huang and Tauchen (Journal of Financial Econometrics, 3, 456–499) nonparametric test and Google’s Trends statistics for the measurements of the speculation. Since the futures contracts on Bitcoin transactions plays significant effect on its volatility, therefore, this paper additionally tests the effect of the futures contracts on this relationship. The results show that there is a discrete jump in the Bitcoin price around speculations and the futures contracts do not have any significant effect on this relationship, but notably after the launch of futures contract, the speculations have much higher significant effect on the Bitcoin jumps.