THE INVESTIGATION OF CRYPTOCURRENCY MARKET VOLATILITY: DO MACROECONOMIC FACTORS MATTER?

Abstract

Cryptocurrency market volatility has been the critical issue nowadays due to heavy investment in digital market and this aspect needs the attention of the new researchers. Hence, the present study examine the macroeconomic factors such as inflation, interest rate, national income, industrialization and economic growth on the cryptocurrency market volatility in USA. The study extracted the data from World Development Indicators (WDI) and Chicago Board Options Exchange (CBOE) from 1991 to 2024. The study used the non-linear autoregressive distributed lag (NARDL) approach using STATA to check the association among the variables. The outcomes revealed that inflation has a positive association with cryptocurrency market volatility while interest rate, economic growth, national income and industrialization has a negative association with cryptocurrency market volatility. The study helps the policymakers in making policies related to reduce the cryptocurrency market volatility by increasing interest rate, economic growth, national income and industrialization.