【Author】
Khanh Quoc Nguyen
【Source】FINANCE RESEARCH LETTERS
【Abstract】This research examined the impact of the stock market on Bitcoin during COVID-19 and other uncertainty periods. Based on the quantile regression results, during periods of high uncertainty, such as COVID-19, the S&P 500 returns significantly affected Bitcoin returns. Moreover, this research applied the VAR (1)-GARCH (1, 1) model to investigate the spillover effect from the stock market to Bitcoin. According to the findings, the shocks from the stock market also influenced Bitcoin's volatility during COVID-19 and other periods of turmoil.
【Keywords】Bitcoin; Uncertainty; Conditional variance; COVID-19; Safe-haven
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