Date of Award


Degree Name

Doctor of Philosophy



First Advisor

Dr. Susan Pozo

Second Advisor

Dr. C. James Hueng

Third Advisor

Dr. Menelik Geremew


Bitcoin, cryptocurrency, volatility, monetary policy, event-study, three-factor model


Bitcoin and cryptocurrencies, invented as potential digital international currencies, have gradually drawn more and more attention since their birth. The growing popularity of cryptocurrencies in the past decade and the recent acceptance of Bitcoin as legal tender in El Salvador suggests that there is growing acceptance of these instruments and that cryptocurrencies are here to stay. Among these cryptocurrencies, Bitcoin has a unique place being the first and most well-known cryptocurrency in terms of price, market capitalization, and trading volume.

The first two essays of this dissertation focus on Bitcoin and the third essay focuses on the cryptocurrency market in general, through studies of their return time series. The first essay explores whether Bitcoin is a speculative asset by studying its volatility. Based on generalized autoregressive conditional heteroskedasticity (GARCH) models with daily data, I compare the conditional volatility of Bitcoin with that of the U.S. dollar, the euro, the British pound sterling, gold, the S&P 500 Index, and the CBOE VIX, and find that, at this time, Bitcoin behaves closer to a speculative vehicle than an international currency due to its much higher volatility. This may explain why it has not yet been widely accepted in the world as a payment method.

The second essay examines the effect of U.S. monetary policy on Bitcoin during times of quantitative easing (QE). The Federal Reserve has launched large-scale asset purchases programs, referred to as quantitative easing, since the nominal interest rate reaches its zero lower bound. To capture the possible shocks from both conventional and unconventional monetary policy, GARCH models are used in this essay to ascertain its effect on Bitcoin. In addition, the shocks from the stock market, the gold market, and the oil market are also examined. The results of these inquiries show that Bitcoin is not directly impacted by monetary policy but appears to be impacted from the stock market suggesting possible indirect channels through which Bitcoin is impacted by monetary policy.

The third essay investigates the impact of the global COVID-19 pandemic on the cryptocurrency market following the event-study approach (ESA). Having shaped the world in many ways, the COVID-19 pandemic has profoundly influenced the world economy and financial markets in the short run. To study if the cryptocurrency market is also impacted by the COVID pandemic, I incorporate a three-factor model into the ESA along with a large data set, including 100 cryptocurrencies and over 150,000 daily observations. I first show that the three-factor model built on training data captures the common risk factors (i.e., market, size, and momentum) of the cryptocurrency market quite well. Then I use the ESA along with the three-factor model on the test dataset to test if there is a significant event effect. I find that though the daily impact of the COVID pandemic is not always significant, the accumulated effect on cryptocurrencies is significantly negative and does not disappear over time, at least in the short run.

Access Setting

Dissertation-Open Access

Included in

Economics Commons