Research On The Characteristics And Influencing Factors Of Digital Currency Price Fluctuation

In recent years,digital currency based on blockchain technology has attractedextensive attention from global investors and financial regulators.The sharp fluctuation of its price is the main reason for its attention.Previous studies on asset price fluctuations mainly focused on traditional capital markets,such as stocks and bonds,while there were few studies on price fluctuations in the emerging digital money market led by bitcoin,only a small number of studies on bitcoin.Therefore,investors have a shallow understanding of the digital money market.Firstly,this paper selects three kinds of market values,large,medium and small,and the sample range is digital currencies from September 4,2017 to December 31,2021 to study the characteristics of price fluctuation returns.After passing the GARCH family model test,the results show that both the price fluctuation returns of medium and high market values and the price fluctuation returns of low market values have some typical fluctuation characteristics.Such as peak and thick tail characteristics and wave agglomeration characteristics.Inaddition,the three also have asymmetric effects,namely leverage effect,and the leverage effect of medium and high market value digital currency is strongerthan that of low market value digital currency.Then,this paper studies the factors affecting the price fluctuation of digital currency.In this part of the study,bitcoin is selected as the sample,and the indicators are selected from three aspects:macro financial environment,internal supply and demand factors and emotional factors.The seven possible influencing variables are verified and analyzed by Johansen cointegration test and VECM vector error correction model.The results show that there is a long-term equilibrium relationship between the price fluctuation of digital currency and the S&P 500,the current price of gold,the US dollar index,the supply and demand of bitcoin and the fear and greed index of bitcoin.The research results of this paper can not only help investors fully understand the price fluctuation phenomenon of digital currency,including typical fluctuation characteristics and relevant specific influencing factors,but also protect theinterests of investors.It can also enrich the theoretical research of emerging investment markets,that is,digital money markets.At the same time,it can alsoprovide theoretical support for China’s digital currency regulatory policy.