The influence of Taiwan’s stock market on Bitcoin’s price under Taiwan’s monetary policy threshold

Lori Tzu Yi Yang

Applied Economics, 2020, vol. 52, issue 45, 4967-4975

Abstract: This study uses a smooth transition autoregressive model with exogenous variables (STARX) to investigate whether there is a nonlinear relationship between Bitcoin and Taiwan’s stock market taking into account Taiwan’s monetary policy threshold during 2 February 2012 to 31 August 2019. The statistical results show there is a threshold effect and confirm a nonlinear relationship between Taiwan’s stock market and Bitcoin, with variations over time and across Bitcoin and Taiwan’s stock market. Specifically, we find that Bitcoin responds asymmetrically to Taiwan’s stock market according to the threshold value. Furthermore, the return on the closing price of TAIEX with a lag of two periods under Taiwan’s monetary policy threshold has a nonlinear impact on the return on the closing price of Bitcoin.

Date: 2020
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DOI: 10.1080/00036846.2020.1751802

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