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
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author Nguyen, Khanh Quoc
author_facet Nguyen, Khanh Quoc
author_sort Nguyen, Khanh Quoc
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description 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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spelling pubmed-89944442022-04-11 The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods Nguyen, Khanh Quoc Financ Res Lett Article 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. Elsevier Inc. 2022-05 2021-07-04 /pmc/articles/PMC8994444/ /pubmed/35431674 http://dx.doi.org/10.1016/j.frl.2021.102284 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Nguyen, Khanh Quoc
The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title_full The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title_fullStr The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title_full_unstemmed The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title_short The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods
title_sort correlation between the stock market and bitcoin during covid-19 and other uncertainty periods
topic Article
url 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
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