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Bitcoin-to-gold ratio and stock market returns

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  • Bouri, Elie
  • Demir, Ender

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.

Suggested Citation

  • Bouri, Elie & Demir, Ender, 2025. "Bitcoin-to-gold ratio and stock market returns," Finance Research Letters, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325007159
    DOI: 10.1016/j.frl.2025.107456
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