Table 5 Determinants of the Bitcoin market’s efficiency

Constant

C

− 0.2092***

− 0.5184***

− 0.4177***

− 0.3436***

− 0.2622***

− 0.1959***

− 0.1193***

− 0.0623***

0.0133

0.0963**

(0.0149)

(0.0273)

(0.0159)

(0.0208)

(0.0230)

(0.0243)

(0.0259)

(0.0253)

(0.0329)

(0.0345

Global financial and monetary policy

FSI

− 0.0636***

− 0.0905***

− 0.0862***

− 0.0765***

− 0.0694***

− 0.0645***

− 0.0689***

− 0.0703***

− 0.0599***

− 0.0532***

(0.0033)

(0.0114)

(0.0074)

(0.0072)

(0.0078)

(0.0072)

(0.0061)

(0.0050)

(0.0064)

(0.0063)

MSCI

0.0043

− 0.0108

− 0.0120

0.0033

− 0.0026

0.0092

0.0114

0.0166*

0.0125

0.0070

(0.0079)

(0.0233)

(0.0261)

(0.0161)

(0.0151)

(0.0145)

(0.0109)

(0.0102)

(0.0079)

(0.0076)

FFR

− 0.0013

0.0014

− 0.0013

− 0.0024

− 0.0013

− 0.0010

− 0.0016

− 0.0009

− 0.0007

− 0.0013***

(0.0009)

(0.0050)

(0.0076)

(0.0054)

(0.0020)

(0.0018)

(0.0010)

(0.0009)

(0.0005)

(0.0004)

Investment substitutes

GSCI

− 0.0007

− 0.0071

− 0.0033

0.0011

0.0047

0.0025

0.0005

− 0.0034

− 0.0017

− 0.0011

(0.0029)

(0.0141)

(0.0078)

(0.0072)

(0.0055)

(0.0043)

(0.0031)

(0.0037)

(0.0032)

(0.0014)

GOLD

0.0034

0.0078

0.0026

0.0118

0.0116

0.0067

0.0046

0.0040

− 0.0028

− 0.0035

(0.0075)

(0.0196)

(0.0171)

(0.0145)

(0.0118)

(0.0116)

(0.0100)

(0.0081)

(0.0061)

(0.0047)

Uncertainty factors

EPU

− 1.6E–04

− 3.1e–05

− 1.0e–04

7.1e−05

− 1.7e–04

− 1.5e–04

− 2.8e–04

− 1.5e−04

− 1.4e–04

− 5.9e–05

(1.5e–04)

(2.6e–04)

(1.8e–04)

(1.8e–04)

(1.9e–04)

(2.0e–04)

(2.0e–04)

(1.8e–04)

(1.7e–04)

(1.5e–04)

VIX

5.8e–04

6.3e–04

4.3e–04

2.1e–03

− 9.8e–04

1.3e–03

8.7e–04

1.1e–03

1.0e–03

9.8e–04

(5.8e–04)

(4.1e–03)

(3.3e–03)

(2.9e–03)

(2.7e–03)

(2.4e–03)

(2.3e–03)

(1.8e–03)

(1.4e–03)

(1.0e–03)

Internal factors

VOL

6.7e–04

4.7e–05

− 9.7e–05

1.6e–05

1.9e–05

− 5.4e–05

− 2.1e–04

− 3.1e–04***

− 1.2e–04

− 1.1e–04

(1.6e–03)

(1.9e–04)

(1.3e–04)

(3.9e–04)

(4.1e–04)

(3.9e–04)

(3.4e–04)

(7.1e–05)

(3.4e–04)

(2.7e–04)

LIQ

− 0.0001

0.7755***

1.1085***

1.3647***

1.3839***

1.4334***

1.5266***

1.6466***

1.5911***

1.4302***

(0.0001)

(0.5194

(0.2123)

(0.1406)

(0.1380)

(0.1642)

(0.1896)

(0.2038)

(0.2268)

(0.2389)

MFC

1.4454***

− 7.6e–04

7.2e–04

1.4e–04

5.6e–04

1.4e–03*

2.5e–04

4.4e–04

5.2e–04

7.5e–05

(1.1e–01)

(1.2e–03)

(7.1e–04)

(7.2e–04)

(7.4e–04)

(8.5e–04)

(8.7e–04)

(6.9e–04)

(6.3e–04)

(5.3e–04)

COVID-19 factor

0.0380

0.0609*

0.1322***

0.1755***

0.1862***

0.1789***

0.1442***

0.0869***

0.0021***

0.0380***

(0.0498)

(0.0366)

(0.0263)

(0.0155)

(0.0120)

(0.0118)

(0.0160)

(0.0234)

(0.0250)

(0.0498)