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Bank Crisis Boosts Bitcoin Price

Author

Listed:
  • Danilo Petti

    (School of Mathematics, Statistics and Actuarial Science, University of Essex, Wivenhoe Park, Colchester CO42SQ, UK
    These authors contributed equally to this work.)

  • Ivan Sergio

    (Hamburg Institute of International Economics (HWWI), Mönkedamm 9, 20457 Hamburg, Germany
    Leibniz-Fachhochschule, Expo Plaza 11, 30539 Hannover, Germany
    These authors contributed equally to this work.)

Abstract

Bitcoin (BTC) represents an emerging asset class, offering investors an alternative avenue for diversification across various units of exchange. The recent global banking crisis of 9 March 2023 has provided an opportunity to reflect on how Bitcoin’s perception as a speculative asset may be evolving. This paper analyzes the volatility behavior of BTC in comparison to gold and the traditional financial market using GARCH models. Additionally, we have developed and incorporated a bank index within our volatility analysis framework, aiming to isolate the impact of financial crises while minimizing idiosyncratic risk. The aim of this work is to understand Bitcoin’s perception among investors and, more importantly, to determine whether BTC can be considered a new asset class. Our findings show that in terms of volatility and price, BTC and gold have responded in very similar ways. Counterintuitively, the financial market seems not to have experienced high volatility and significant price swings in response to the March 9th crisis. This suggests a consumer tendency to seek refuge in both Bitcoin and gold.

Suggested Citation

  • Danilo Petti & Ivan Sergio, 2024. "Bank Crisis Boosts Bitcoin Price," JRFM, MDPI, vol. 17(4), pages 1-16, March.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:134-:d:1362213
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    References listed on IDEAS

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