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The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods

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  • Nguyen, Khanh Quoc

Abstract

This research examined the impact of the stock market on Bitcoin during COVID-19 and other uncertainty periods. Based on the quantile regression results, during periods of high uncertainty, such as COVID-19, the S&P 500 returns significantly affected Bitcoin returns. Moreover, this research applied the VAR (1)–GARCH (1, 1) model to investigate the spillover effect from the stock market to Bitcoin. According to the findings, the shocks from the stock market also influenced Bitcoin's volatility during COVID-19 and other periods of turmoil.

Suggested Citation

  • Nguyen, Khanh Quoc, 2022. "The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003238
    DOI: 10.1016/j.frl.2021.102284
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Uncertainty; Conditional variance; COVID-19; Safe-haven;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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