Bitcoin volatility, stock market and investor sentiment. Are they connected?

M. Ángeles López-Cabarcos, Ada M. Pérez-Pico, Juan Piñeiro-Chousa and Aleksandar Šević

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Bitcoin is the cryptocurrency with the largest market capitalization, and many studies have examined its role in financial markets. In this manuscript, we contribute to the extant body of knowledge by analyzing the Bitcoin behavior and the effect that investor sentiment, S&P 500 returns, and VIX returns have on Bitcoin volatility using GARCH and EGARCH models. The results suggest that Bitcoin volatility is more unstable in speculative periods. In stable periods, S&P 500 returns, VIX returns, and sentiment influence Bitcoin volatility.

Keywords: Bitcoin; S&P500; Social network sentiment; VIX (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309274

DOI: 10.1016/j.frl.2019.101399

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