Bitcoin-to-gold ratio and stock market returns

Elie Bouri and Ender Demir

Finance Research Letters, 2025, vol. 81, issue C

Abstract: Using linear and quantile regressions and daily data covering August 7, 2015, to December 30, 2024, we show that the ratio of Bitcoin-to-gold (BG) prices exerts a significantly positive effect on U.S. stock returns during the COVID-19 pandemic and post-pandemic periods, which holds when accounting for volatility, term spread, default spread, inflation, and liquidity. No significant impact is observed in pre-pandemic. To provide more economic explanations, we reveal that the significant impact of the BG ratio on stock returns during and post-pandemic stems from the channel of risk aversion (appetite). When Bitcoin is replaced with Ethereum, the results remain robust.

Keywords: Bitcoin; Gold; Ethereum; U.S. and European stock market returns; Quantile regression; Risk aversion; COVID-19 outbreak (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325007159

DOI: 10.1016/j.frl.2025.107456

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