Bitcoin and S&P500: Co-movements of high-order moments in the time-frequency domain

【Author】 Bouri, Elie; Kristoufek, Ladislav; Azoury, Nehme

【Source】PLOS ONE

【影响因子】3.752

【Abstract】Interactions between stock and cryptocurrency markets have experienced shifts and changes in their dynamics. In this paper, we study the connection between S&P500 and Bitcoin in higher-order moments, specifically up to the fourth conditional moment, utilizing the time-scale perspective of the wavelet coherence analysis. Using data from 19 August 2011 to 14 January 2022, the results show that the co-movement between Bitcoin and S&P500 is moment-dependent and varies across time and frequency. There is very weak or even nonexistent connection between the two markets before 2018. Starting 2018, but mostly 2019 onwards, the interconnections emerge. The co-movements between the volatility of Bitcoin and S&P500 intensified around the COVID-19 outbreak, especially at mid-term scales. For skewness and kurtosis, the co-movement is stronger and more significant at mid- and long-term scales. A partial-wavelet coherence analysis underlines the intermediating role of economic policy uncertainty (EPU) in provoking the Bitcoin-S&P500 nexus. These results reflect the co-movement between US stock and Bitcoin markets beyond the second moment of return distribution and across time scales, suggesting the relevance and importance of considering fat tails and return asymmetry when jointly considering US equity-Bitcoin trading or investments and the policy formulation for the sake of US market stability.

【Keywords】

【发表时间】2022 NOV 22

【收录时间】2023-01-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币