Bitcoin, Gold and the Dollar - A Replication and Extension

21 Pages Posted: 24 Aug 2017 Last revised: 26 Aug 2017

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Konstantin Kuck

University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics

Date Written: August 23, 2017

Abstract

Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates that exact replication is not possible and that alternative statistical methods including a descriptive analysis provide more reliable, yet very different results. The findings based on the original sample and an extended sample period show that Bitcoin returns exhibit characteristics that are neither "in between" nor anywhere near gold and the US dollar.

Keywords: replication study, Bitcoin, cryptocurrencies

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas and Kuck, Konstantin, Bitcoin, Gold and the Dollar - A Replication and Extension (August 23, 2017). Available at SSRN: https://ssrn.com/abstract=3024377 or http://dx.doi.org/10.2139/ssrn.3024377

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics ( email )

Germany

Konstantin Kuck

University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics ( email )

Schloss-Mittelhof (Ost)
70593 Stuttgart
Germany

HOME PAGE: http://www.uni-hohenheim.de/organisation/person/msc-konstantin-kuck

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