The Relationship Between Bitcoin and Stock Market

Xin Wang, Xi Chen and Peng Zhao
Additional contact information
Xin Wang: Saint Peter's University, USA
Xi Chen: Beijing University of Civil Engineering and Architecture, China
Peng Zhao: Intelligentrabbit, LLC, USA

International Journal of Operations Research and Information Systems (IJORIS), 2020, vol. 11, issue 2, 22-35

Abstract: This article analyzes the relationship between Bitcoin and the stock market by using a vector autoregressive model. To enhance the impulse response signal, the Sliding Window technique is applied. Study results show the relationship between Bitcoin and the stock market. First, the S&P 500 has a relatively significant effect on Bitcoin, while the influence caused by the S&P 500 is weak. In addition, after involving the Sliding Window technique, the effects caused by the standard deviation of the S&P 500 and the mean of the Dow Jones are remarkably strong on the mean of Bitcoin and the standard deviation of the S&P 500 has a comparatively significant effect on the standard deviation of Bitcoin as well. Generally, the S&P 500 and the Dow Jones indexes have an advantageous effect on Bitcoin. Financial investment can be made based on this model and conclusion.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:igg:joris0:v:11:y:2020:i:2:p:22-35

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