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

Khanh Quoc Nguyen

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: 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.

Keywords: Bitcoin; Uncertainty; Conditional variance; COVID-19; Safe-haven (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003238

DOI: 10.1016/j.frl.2021.102284

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