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

Junming Zhao and Tianding Zhang

Finance Research Letters, 2023, vol. 58, issue PA

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 (search for similar items in EconPapers)
JEL-codes: C22 E42 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323007146

DOI: 10.1016/j.frl.2023.104342

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