Exploring the time-varying dependence between Bitcoin and the global stock market: Evidence from a TVP-VAR approach

【Author】 Zhao, Junming; Zhang, Tianding

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study examines the return dependence between Bitcoin and major international stock markets from January 1, 2018, to September 30, 2021. Utilizing a time-varying parameter VAR (TVP-VAR) model with stochastic volatility, we analyze the dynamics of the dependence structure while considering market uncertainty indices (UCRY Policy, UCRY Price and VIX) before and after the outbreak of COVID-19 pandemic. Our findings indicate that Bitcoin's role as a safe haven for stock markets has yet to be observed during the post-COVID-19 period. Furthermore, we observe varying impacts of the return correlation between different stock markets and Bitcoin, suggesting an asymmetric dependence. These results contribute to the ongoing discussion regarding Bitcoin's role as a safe haven asset and provide valuable insight for investors and policymakers.

【Keywords】Dependence; Bitcoin; Stock market; TVP-VAR

【发表时间】2023 DEC

【收录时间】2023-09-28

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析