Bitcoin volatility, stock market and investor sentiment. Are they connected?
Abstract
Bitcoin is the cryptocurrency with the largest market capitalization, and many studies have examined its role in financial markets. In this manuscript, we contribute to the extant body of knowledge by analyzing the Bitcoin behavior and the effect that investor sentiment, S&P 500 returns, and VIX returns have on Bitcoin volatility using GARCH and EGARCH models. The results suggest that Bitcoin volatility is more unstable in speculative periods....
Paper Details
Title
Bitcoin volatility, stock market and investor sentiment. Are they connected?
Published Date
Jan 1, 2021
Journal
Volume
38
Pages
101399 - 101399
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