Bitcoin network activity and bitcoin price return

volatility∗
Jan Wüstenfeld†
December 7, 2023

Abstract
This paper introduces Bitcoin on-chain metrics that cover activity by Bit-
coin network users and analyses whether they can be used to explain bitcoin
price return volatility. We find the majority of the proposed on-chain activ-
ity metrics to be significantly positively correlated to each other, suggesting
that the chosen metrics are good proxies for network activity. In a second
step, we fit a GARCH(1,1) model to daily bitcoin price changes and regress
the resulting bitcoin return volatility series on the on-chain activity metrics.
The results show that most metrics positively affect bitcoin return volatility,
providing important insights into the effects of activity by Bitcoin users and
bitcoin market dynamics.

Keywords: Bitcoin, Network Activity, On-chain Activity, Price Dynamics

JEL: E41, G10, G12, G14

∗
Declarations of interest: none.
†
Ruhr-University Bochum, Chair of International Economics, Universitätstr. 150, 44801
Bochum, Germany, e-mail: jan.wuestenfeld@rub.de.

Electronic copy available at: https://ssrn.com/abstract=4619010

1 Introduction

This paper studies how Bitcoin1 network activity can be used to explain bitcoin price
return volatility.

Understanding what influences bitcoin markets has become increasingly relevant

for investors, policymakers and regulators. In particular, with rising Bitcoin adoption,

increasing institutional interest and the possibility of a bitcoin spot exchange-traded

fund (ETF) being approved in the USA in the near future.

Most literature so far has been focusing on the relationship between bitcoin and
variables from traditional finance and the economy, such as the Chicago Board Options
Exchange’s CBOE Volatility Index (VIX) (see Gkillas et al. (2022)), economic policy

uncertainty (see Wüstenfeld & Geldner (2022)) or Wu et al. (2021)) or stock returns
(e.g. Bouri et al. (2023)).

A large strand of the literature has focused on modelling trading activity using
different specifications of GARCH models to account for the non-zero skewness, long-
term memory and comparably high price volatility of the bitcoin time series (see, e.g.

Bariviera (2017), Katsiampa (2017) or Yıldırım & Bekun (2023)). While such stud-
ies potentially provide important insights into determinants of the price evolution or
volatility of bitcoin, they cannot provide insights into specifics of the bitcoin market.

Against this background, a new area of economic research is evolving, which is using
data based on the Bitcoin blockchain. For example, Beckmann et al. (2023) investigate
1
”Bitcoin” is capitalised when referring to the network and lower-cased when referring to the cur-
rency or price.

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the effect of sentiment on investor behaviour, namely the bitcoin holdings of entities
of various sizes. They find that the reaction of investors to sentiment shifts differs
depending on the size of their bitcoin holdings.

This paper aims to identify a novel set of network activity indicators, namely on-
chain indicators, that can explain bitcoin price return volatility. The Bitcoin blockchain

provides us with a unique data source. All transactions ever conducted on the Bitcoin
network are recorded on a public ledger and can be extracted for analysis. We can, for
example, observe the amount of bitcoin that have been moved in a transaction, how

long they have not been moved before that and more. Studying these indicators and
their relationship to bitcoin price activity can, amongst others, shed more light on the
behaviour of investors and how this influences bitcoin prices. The indicators used in this

paper include on-chain volumes (volume of bitcoin moved within the Bitcoin network
measured in bitcoin and US dollar during a given day), on-chain flows by short- and
long-term holders, indicators related to exchanges and indicators capturing whether

coins are moved at a profit or loss.

After a detailed introduction of the on-chain activity indicators, we evaluate whether

these activity metrics measures are largely positively correlated and thus are good prox-
ies for network activity.

In a second step, we fit a GARCH(1,1) model to daily bitcoin price returns. The
different on-chain activity indicators are then used to explain the resulting bitcoin price
return volatility series. As pointed out earlier, the bitcoin time series generally shows

non-zero skewness, long-term memory and comparably high price return volatility, mak-
ing the GARCH model an appropriate choice to model bitcoin price return activity.

Electronic copy available at: https://ssrn.com/abstract=4619010

 The remainder of the paper is organised as follows:

The next section describes and compares the different datasets. Section 3 conducts
the empirical analysis, while Section 4 concludes.

2 Data and Correlations

Daily data from 01.01.2017 to 31.07.2023 is used in our analysis. We start our analysis
at the beginning of 2017 because, around this time, Bitcoin adoption started to increase

significantly (for a detailed explanation, see Beckmann et al. (2023)).

As explained in the introduction, the Bitcoin blockchain provides us with a unique

data source that can be used for various research purposes. We can, for example, ob-
serve how many bitcoin have been moved during a given day and how much that was

worth in, e.g. US dollars. In the following, we are going to introduce on-chain indicators
that can be used to gauge network activity.

For the on-chain indicators displaying network activity, data by the data provider
CryptoQuant is used. Daily bitcoin price data from coingecko.com is used to estimate
the bitcoin return volatility series. The summary statistics of the indicators are shown

in Table 1. A detailed description of the on-chain indicators is provided in Appendix

A in Table 7 and 8 .

The first indicators potentially related to the bitcoin price are variables covering

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general on-chain activity. We look at the volume moved on-chain (spent values) during
a given day in terms of bitcoin and US dollar (Spent Vol BTC and Spent Vol USD): how
many bitcoin have been moved within the Bitcoin network during a day and how much

that is in US dollars. We expect bitcoin price activity to be higher during days when a
lot of bitcoin are moved. Additionally, to capture more extreme events, a dummy that
takes the value one if the observed value is above the mean of the time series for both

variables is calculated (D. Spent Vol BTC and D. Spent Vol USD).

Table 1: Descriptive statistics of on-chain activity metrics & Bitcoin price return
Volatility
Variable Obs Mean Std. Dev. Min Max
BTC Price Volatility 2403 16.202 12.543 5.825 157.766
Spent Vol BTC 2403 2015270.4 1587656.5 296104.08 24526970
D.Spent Vol BTC 2403 .367 .482 0 1
Spent Vol USD. (in million) 2403 44905.645 68697.314 936.555 738047.38
D.Spent Vol USD 2403 .272 .445 0 1
CDD 2403 .673 .981 .074 22.833
D.CDD 2403 .289 .453 0 1
Exch Inf CDD (in thousand) 2403 1190.682 6365.178 17.503 253242.22
D.Exch Inf CD 2403 .186 .389 0 1
Fund Flow Ratio 2403 .074 .041 .004 .49
SOPR Positive 2403 .007 .011 0 .105
SOPR Negative 2403 .004 .01 0 .127
ST SOPR 2403 1.006 .034 .841 1.263
ST SOPR Positive 2403 .015 .025 0 .263
ST SOPR Negative 2403 .009 .017 0 .159
LT SOPR 2403 2.571 3.114 .273 56.203
LT SOPR Positive 2403 1.661 3.061 0 55.203
LT SOPR Negative 2403 .089 .166 0 .727

Note: The table reports the descriptive statistics for the period 01.01.2017 – 31.07.2023.

Second coin days destroyed (CDD) measures are considered. This metric takes the
amount of bitcoin moved during a given day and multiplies each of these with the days
they have not been moved. For example, if ten bitcoin have not moved for ten days, the

CDD for it will be 100 (10x10) if they are moved again or 1000 if they become active
after 100 days (10*100). The variable captures long-term holder behaviour. High CDD

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values could indicate periods of high volatility, as that means older coins are becoming
active again. We use the CDD measure adjusted for the total bitcoin supply to account
for the increasing bitcoin supply over time. Similarly to the spent volume metrics, a

dummy is calculated for values above the mean over the observation period (D.CDD).
A more specified CDD measure is the exchange inflow coin days destroyed measure
(Exch Inf CDD). This metric only considers bitcoin flows that are related to exchanges.

The data provider identifies bitcoin wallets belonging to exchanges, allowing us to ob-
serve users depositing their bitcoin onto exchanges. We expect the exchange-related
CDD indicator to be particularly relevant for bitcoin price volatility. For example, one

would expect people depositing their bitcoin to exchanges to either sell or use them for
other trading activities, in both cases affecting bitcoin prices. Once again, a dummy is
also calculated that captures values above the mean (D. Exch Inf CDD).

As exchanges are an important factor in price activity, if not the most important
factor, one further exchange-related on-chain indicator is considered: the fund flow ra-

tio. It covers the bitcoin transferred related to exchanges (bitcoin exchange inflows +
exchange outflows) relative to all bitcoin transferred within the bitcoin network. High
values of the indicator indicate that people are actively using exchanges and are sending

bitcoin to exchanges and are withdrawing bitcoin from exchanges.

Lastly, we look at spent output profit ratios (SOPR). These ratios measure if coins

are predominantly moved at a profit or a loss. We know the bitcoin price when a
bitcoin transaction has been conducted, meaning we can attach a US dollar value to
that transaction. If these coins are moved again, we can observe the bitcoin price.

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Table 2: Correlation of on-chain activity metrics & Bitcoin price return volatility
VARIABLES BTC price Spent Vol D.Spent Spent Vol D.Spent CDD D.CDD Exch Inf D.Exch
volatility BTC Vol BTC USD Vol USD CDD Inf CDD

Spent Vol BTC 0.074*** 1

D.Spent Vol BTC 0.081*** 0.695*** 1

Spent Vol USD -0.029 0.751*** 0.513*** 1

D.Spent Vol USD 0.009 0.548*** 0.503*** 0.761*** 1

CDD 0.140*** 0.125*** 0.159*** -0.005 -0.013 1

D.CDD 0.176*** 0.162*** 0.217*** 0.013 0.013 0.518*** 1

Exch Inf CDD 0.050** 0.042** 0.048** -0.018 -0.019 0.424*** 0.152*** 1

D.Exch Inf CDD 0.188*** 0.143*** 0.181*** -0.003 0.011 0.249*** 0.406*** 0.237*** 1

Fund Flow Ratio 0.161*** -0.511*** -0.493*** -0.509*** -0.483*** 0.118*** 0.132*** 0.172*** 0.193***

SOPR 0.081*** 0.047** 0.126*** 0.01 0.045** 0.305*** 0.289*** 0.116*** 0.158***

SOPR Positive 0.186*** -0.028 0.056*** -0.095*** -0.041** 0.526*** 0.502*** 0.233*** 0.308***

SOPR Negative 0.067*** -0.106*** -0.145*** -0.118*** -0.117*** 0.067*** 0.067*** 0.061*** 0.073***

ST SOPR 0.057*** 0.002 0.121*** -0.023 0.003 0.129*** 0.282*** 0.02 0.153***

ST SOPR Positive 0.186*** 0.042** 0.144*** -0.029 0.017 0.225*** 0.408*** 0.045** 0.292***

ST SOPR Negative 0.160*** 0.057*** -0.031 0.004 0.018 0.073*** 0.035* 0.026 0.123***

LT SOPR 0.413*** 0.085*** 0.161*** 0 0.053*** 0.314*** 0.380*** 0.089*** 0.214***

LT SOPR Positive 0.416*** 0.084*** 0.158*** -0.007 0.051** 0.313*** 0.379*** 0.089*** 0.212***

LT SOPR Negative -0.090*** -0.058*** -0.099*** -0.120*** -0.059*** -0.106*** -0.145*** -0.028 -0.094***

VARIABLES Fund Flow SOPR SOPR SOPR ST SOPR ST SOPR ST SOPR LT SOPR LT SOPR
Ratio negative positive positve negative positive

SOPR -0.037* 1

SOPR Positive 0.197*** 0.800*** 1

SOPR Negative 0.269*** -0.769*** -0.232*** 1

ST SOPR -0.050** 0.771*** 0.730*** 0.471*** 1

ST SOPR Positive 0.081*** 0.659*** 0.807*** 0.207*** 0.879*** 1

ST SOPR Negative 0.220*** -0.578*** -0.278*** 0.640*** -0.713*** -0.293*** 1

LT SOPR 0.041** 0.418*** 0.478*** 0.169*** 0.364*** 0.443*** 0.080*** 1

LT SOPR Positive 0.043** 0.399*** 0.470*** 0.146*** 0.357*** 0.438*** 0.073*** 0.999*** 1

LT SOPR Negative 0.035* -0.490*** -0.300*** -0.475*** -0.249*** -0.229*** 0.163*** -0.340*** 0.292***

*** p<0.01, ** p<0.05, * p<0.1

Note: The table reports the correlations for the period 01.01.2017 – 31.07.2023.

Electronic copy available at: https://ssrn.com/abstract=4619010

By comparing both transactions, we can tell whether the coins have been moved at a
profit or a loss. The SOPR aggregates that for all transactions that have taken place
during a day. Values above one mean coins are predominately moved at a profit, below

one at a loss.

Besides the general SOPR, we include the short-term holder spent output profit

ratio (ST SOPR) and the long-term holder spent output profit ratio (LT SOPR) in our
analysis. Coins held by short-term holders are coins that have last been moved between
one hour ago and 155 days ago. Coins attributed to long-term holders have not moved

for at least 155 days.

Both selling bitcoin at a loss and at a profit could be related to increases in market

activity and may affect market activity differently. Thus, in addition to the normal
metrics, we split up the SOPR metrics into an indicator that captures only loss taking
and one that captures profit taking. For the positive SOPR, the indicator takes a pos-

itive value if coins are predominantly moved at a profit and else zero. For the negative
indicator, it takes a positive value if coins are primarily moved at a loss and else zero.

In a first step, we examine the correlations of the selected indicators to assess

whether they are appropriate proxies for network activity. The correlations of the
on-chain activity metrics are shown in Table 2. As expected, the on-chain activity

indicators are primarily positively correlated. The negative SOPR indicators are the
exception where the results are mixed and mostly negatively correlated to the other
indicators.

Overall, the chosen on-chain activity indicators appear to be an appropriate choice

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to approximate network activity and thus to explain bitcoin price activity.

3 Price return volatility and on-chain activity

To analyse the relationship between bitcoin’s price and the above-discussed on-chain
indicators, we estimate a GARCH(1,1) model for the daily returns of the bitcoin price as
proposed by Engle (1982) and Bollerslev (1986). According to the Akaike information

criterion (AIC) and the Bayesian information criterion (BIC), the GARCH(1,1) model
is the best fit.
The general GARCH model takes the following form:

Yt = Xt′ θ + ϵt (1)

Y is the bitcoin price return and X ′ contains the independent variables.

The model has the error term ϵ :

ϵt = σt ut , ut ∼ iid N (0, 1) (2)

The parameter σ is the volatility (standard deviation) of the bitcoin price return series

and u is a random process (white noise).

The volatility is modelled as follows:

q p
X X
σt2 = α0 + αi ϵ2t−i + 2
βj σt−j (3)
i=1 j=1

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 α0 , α1 and β1 take values above zero. Volatility clustering in the data is captured
by the ”persistence” parameter α1 +β1 . As long as α1 +β1 < 1, weak stationarity holds.

The GARCH (1,1) volatility equation takes the form:

σt2 = α0 + α1 ϵ2t−1 + β1 σt−1

2
(4)

with ϵ2t−1 being the autoregressive term and σt−1

2
being the lag of the price return

volatility.

After the estimation of the GARCH (1,1) model and exporting the resulting volatil-

ity series, we regress the on-chain indicators on the volatility series:

σt = γ0 + γ1 σt−1 + γ2 (network activity variable/or variables)t−1 + λt (5)

The bitcoin price return volatility is included as a lag and the lag of the network

activity indicator (two variables for the split-up positive and negative variables), as well
as the error term λ .

The results of the estimations are shown in Table 3 and 4.

In the estimations, the lag of the on-chain activity metrics is used. Using the vari-

ables without a lag does not change the results substantially (see Appendix B Table 9
and 10).

We find the majority of the indicators to have a positive effect on the bitcoin price
return volatility. Albeit the volume moved on-chain in terms of US dollar shows a pos-

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itive sign, it is not significant. In terms of bitcoin, it is both positive and significant. A
reason for that may be that US dollar volumes and our dependent variable both include
the factor price influencing the results.

The exchange inflow CDD metric is only significant for the dummy, suggesting that
the magnitude matters. When exchange-related bitcoin flows are high relative to the

general network activity, we also find bitcoin price return volatility to be positively
affected.

Table 3: Lag Regressions 1 (01.01.2017 – 31.07.2023)

VARIABLES (1) (2) (3) (4) (5) (6) (7) (8) (9)

L.BTC Price Volatility 0.90*** 0.90*** 0.90*** 0.90*** 0.89*** 0.89*** 0.90*** 0.89*** 0.89***
(81.9) (82.8) (80.4) (80.7) (90.6) (83.4) (80.9) (81.9) (72.5)
L.Spent Vol BTC 2.7e-07***
(3.47)
L.D.Spent Vol BTC 1.00***
(3.64)
L.Spent Vol USD 0
(1.18)
L.D.Spent Vol USD 0.38
(1.39)
L.CDD 0.73**
(2.38)
L.D.CDD 1.83***
(5.29)
L.Exch Inf CDD 5.5e-08
(1.14)
L.D.Exch Inf CDD 2.56***
(4.97)
L.Fund Flow Ratio 19.0**
(2.23)
Observations 2,402 2,402 2,402 2,402 2,402 2,402 2,402 2,402 2,402
R-squared 0.812 0.812 0.811 0.811 0.814 0.815 0.812 0.817 0.815
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

Considering the SOPR metrics in Table 4, the unformatted variables, not split up in
profit and loss taking, do not appear to be as relevant in explaining our dependent

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variable. Only the LT SOPR shows a significant and positive result.

Table 4: Lag Regressions 2 (01.01.2017 – 31.07.2023)

VARIABLES (1) (2) (3) (4) (5) (6)

L.BTC Price Volatility 0.90*** 0.88*** 0.90*** 0.86*** 0.88*** 0.88***

(86.0) (80.6) (86.7) (62.6) (92.1) (90.6)
L.SOPR 3.06
(0.11)
L.SOPR Positive 96.8**
(2.57)
L.SOPR Negative 98.4*
(1.79)
L.ST SOPR 2.83
(0.20)
L.ST SOPR Positive 58.1***
(2.76)
L. ST SOPR Negative 94.9***
(2.91)
L.LT SOPR 0.19**
(2.03)
L.LT SOPR Positive 0.21**
(2.02)
L.LT SOPR Negative 0.53
(0.58)
Observations 2,402 2,402 2,402 2,402 2,402 2,402
R-squared 0.811 0.820 0.811 0.831 0.813 0.813
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

Taking into account the positive and negative values, we find both profit-taking and
loss-taking increase bitcoin price return volatility. Similar results can be observed for

the ST SOPR. For the LT SOPR, only profit-taking affects bitcoin price return volatil-
ity significantly.

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 Overall, most of the chosen network activity indicators increase bitcoin price return
volatility.

As a robustness check, we estimate the regressions with an alternative volatility

measure, the annualised volatility.

The results are shown in Table 5 and 6.

Table 5: Annualized Realized Volatility Regressions 1 (01.01.2017 – 31.07.2023)

VARIABLES (1) (2) (3) (4) (5) (6) (7) (8) (9)

L.BTC Price Volatility 0.15*** 0.15*** 0.16*** 0.16*** 0.15*** 0.13*** 0.17*** 0.12*** 0.15***
(6.73) (6.83) (7.41) (7.30) (6.74) (5.81) (7.55) (5.41) (6.61)
L.Spent Vol BTC 1.2e-06***
(6.04)
L.D.Spent Vol BTC 3.77***
(5.77)
L.Spent Vol USD 0.000014***
(3.46)
L.D.Spent Vol USD 2.35***
(3.41)
L.CDD 1.58***
(2.88)
L.D.CDD 6.09***
(8.40)
L.Exch Inf CDD 0.000051
(0.62)
L.D.Exch Inf CDD 7.54***
(8.28)
L.Fund Flow Ratio 53.5***
(5.96)
Observations 2,401 2,401 2,401 2,401 2,401 2,401 2,401 2,401 2,401
R-squared 0.045 0.043 0.033 0.033 0.039 0.060 0.029 0.064 0.049
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

We find the results to be comparable to the GARCH estimations, with the coeffi-

cients being largely significant and positive. One exception is the negative LT SOPR,

12

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which was previously positive but insignificant. For the annualised volatility estima-
tions, the coefficient is significant and negative. Overall, the results are not sensitive to
the selected volatility metric.

Table 6: Annualized Realized Volatility Regressions 2 (01.01.2017 – 31.07.2023)

VARIABLES (1) (2) (3) (4) (5) (6)

L.BTC Price Volatility 0.16*** 0.13*** 0.17*** 0.070*** 0.13*** 0.13***

(7.33) (5.62) (7.52) (3.01) (5.73) (5.65)
L.SOPR 59.0**
(2.37)
L.Positive 242***
(6.62)
L.SOPR Negative 138***
(2.77)
L.ST SOPR 15.3
(1.23)
L.ST SOPR Positive 149***
(8.54)
L. ST SOPR Negative 218***
(8.42)
L.LT SOPR 0.91***
(7.26)
L.LT SOPR Positive 0.85***
(6.64)
L.LT SOPR Negative -4.10**
(-2.21)
Observations 2,401 2,401 2,401 2,401 2,401 2,401
R-squared 0.032 0.057 0.030 0.105 0.062 0.063
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

4 Conclusion

In this paper, we introduced several on-chain activity metrics that can be used to ex-

plain bitcoin price activity going beyond traditional metrics such as financial market
variables (e.g. equities or gold), economic uncertainty (e.g. VIX or economic policy

13

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uncertainty), market sentiment, bitcoin trading volume or the futures market.

We show that most of the on-chain activity metrics considered in this paper are

positively correlated. This indicates that they are good proxies to measure activity by
Bitcoin users.

Our results, based on a GARCH (1,1) model, show that many of the selected in-
dicators positively affect bitcoin price dynamics and that investors and policymakers
could use them to analyse market dynamics.

This result offers several avenues for future research. Given the rich literature on
bitcoin forecasting, a straightforward extension would correspond to volatility forecasts

based on activity measures of the bitcoin market. This also includes the possibility
of adopting alternative volatility measures. From a more general perspective, activity
measures offer the possibility to gain a deeper understanding of characteristics of the

bitcoin market, for example, about possible determinants of trading activity.

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5 Appendix A

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Table 7: Definition of on-chain activity Variables 1
Variable Definition
spent volume BTC/USD The amount of bitcoin moved on the Bitcoin network
during a given day either measured in bitcoin or in US
dollar at the daily price when the transfer took place.
Both variables are also used as a dummy that takes the
value one if the value is above the mean of the time
series and else zero.

coin days destroyed (CDD)
Takes into account the time a coin has not moved before
it is moved again. For example, if 10 bitcoin have not
been moved for 100 days and are being moved again 1000
coin days are destroyed. Coin days destroyed sum these
up for all transactions in a given day. High values of
the measure indicate that coins that have been held for
a longer time-span are becoming active again. Here the
supply-adjusted measure is used that takes into account
the increase in bitcoin supply. The variable is also used
as a dummy that takes the value one if the value is above
the mean of the time series and else zero.

exchange inflow coin days Similar concept as for the CDD measure, but here only
destroyed bitcoin flows to exchange wallets are considered (people
depositing bitcoin to exchanges). The variable is also
used as a dummy that takes the value one if the value
is above the mean of the time series and else zero.

fund flow ratio Is a ratio between exchange-related bitcoin flows and

the total amount of bitcoin transferred on the bitcoin
network:

T otal Exchange Inf lows + Outf lows (in bitcoin)

T otal bitcoin transf erred (whole network)

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Table 8: Definition of on-chain activity Variables 2
Variable
spent output profit ratio (SOPR) Measures whether bitcoin are predominantly moved at
short-term holder spent
output profit ratio (ST
SOPR)
long-term holder spent output
profit ratio (LT SOPR)
Positive and negative SOPR
(relevant for the SOPR, ST
SOPR and LT SOPR)
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Definition
a loss or a profit. For instance, if a transaction is tak-
ing place, we know what the bitcoin price was at that
time. If these coins are moved again, we also know the
price at the time they are being moved. Comparing both
transactions tells us whether these coins in the second
transaction have been moved at a loss. The SOPR ag-
gregates this for the whole network for all transactions
made in a day.
The ST SOPR is calculated similarly to the SOPR, but
only for coins that fall under the short-term holder cat-
egory. Short-term holder: All coins that have last been
moved between 1 hour ago and 155 days. If a coin that
falls into this category becomes active again, it will be
considered in the ST SOPR.
LT SOPR is calculated similarly to the SOPR but only
for coins that fall under the long-term holder category.
Long-term holder: All coins that have not been moved
for at least 155 days. If a coin that falls into this category
becomes active again, it will be considered in the ST
SOPR.
The SOPR metrics are split up into two variables. One
that only takes into account periods where coins have
predominantly been moved at a profit and one where
they have predominantly been moved at a loss. The
variables are rescaled so that both variables take positive
values when either coins are moved at a profit or at a
loss respectively, else the variables take the value zero.
18
6 Appendix B

Table 9: Regressions 1 (01.01.2017 – 31.07.2023)

VARIABLES (1) (2) (3) (4) (5) (6) (7) (8) (9)

L.BTC Price Volatility 0.90*** 0.90*** 0.90*** 0.90*** 0.90*** 0.89*** 0.90*** 0.89*** 0.90***
(80.5) (82.3) (80.5) (80.3) (82.9) (82.9) (80.5) (81.3) (78.4)
Spent Vol BTC 1.4e-07*
(1.65)
D.Spent Vol BTC 0.43*
(1.82)
Spent Vol USD -2.0e-08
(-0.016)
D.Spent Vol BTC 0.088
(0.42)
CDD 0.30**
(2.10)
D.CDD 1.12***
(3.36)
Exch Inf CDD 0.000013
(1.20)
D.Exch Inf CDD 1.45***
(2.94)
Fund Flow Ratio 10.2*
(1.89)
Observations 2,402 2,402 2,402 2,402 2,402 2,402 2,402 2,402 2,402
R-squared 0.811 0.811 0.811 0.811 0.812 0.813 0.811 0.813 0.812
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

19

Electronic copy available at: https://ssrn.com/abstract=4619010

Table 10: Regressions 1 (01.01.2017 – 31.07.2023)
VARIABLES (1) (2) (3) (4) (5) (6)

L.BTC Price Volatility 0.90*** 0.89*** 0.90*** 0.88*** 0.88*** 0.88***

(85.3) (90.4) (84.2) (87.3) (93.9) (92.6)
SOPR 11.3
(0.70)
SOPR Positive 55.7**
(2.00)
SOPR Negative 37.1
(1.56)
ST SOPR 3.86
(0.47)
ST SOPR Positive 32.4**
(2.49)
ST SOPR Negative 47.0***
(3.25)
LT SOPR 0.20**
(2.20)
LT SOPR Positive 0.21**
(2.14)
LT SOPR Negative 0.39
(0.55)
Observations 2,402 2,402 2,402 2,402 2,402 2,402
R-squared 0.811 0.813 0.811 0.817 0.813 0.813
Robust t-statistics in parentheses
*** p<0.01, ** p<0.05, * p<0.1

20

Electronic copy available at: https://ssrn.com/abstract=4619010