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

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
stimation. 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.