The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods

【Author】 Khanh Quoc Nguyen

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【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

【发表时间】2022 MAY

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币