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

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 appl...

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Detalles Bibliográficos
Autor principal: Nguyen, Khanh Quoc
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994444/
https://www.ncbi.nlm.nih.gov/pubmed/35431674
http://dx.doi.org/10.1016/j.frl.2021.102284
Descripción
Sumario: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.

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