What affects the price movements in Bitcoin and Ethereum?

Abstract

Abstract This study aims to explain price movements in the two largest cryptocurrencies that represent the majority of cryptocurrency market capitalization—Bitcoin and Ethereum. A VAR‐GARCH‐BEKK model is estimated to analyze how Google search interest, number of tweets and active addresses on the blockchain impact prices of Bitcoin and Ethereum over time. We find solid evidence that the amount of active addresses is the most significant variable among others influencing price movements in Bitcoin and Ethereum. Based on spillover effects and GIRFs, Google searches and tweets, to a certain extent, have impacts on the Bitcoin and Ethereum prices, but the impacts are weaker than that of active addresses in terms of magnitude and significance.