Bitcoin volatility, stock market and investor sentiment. Are they connected?

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URI: https://hdl.handle.net/10347/42755
ISSN: 1544-6123
E-ISSN: 1544-6131
DOI: 10.1016/J.FRL.2019.101399

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2021

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Elsevier
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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. In stable periods, S&P 500 returns, VIX returns, and sentiment influence Bitcoin volatility.

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Bitcoin| S&P500| Social network sentiment| VIX

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López-Cabarcos, M. Á., Pérez-Pico, A. M., Piñeiro-Chousa, J., & Šević, A. (2021). Bitcoin volatility, stock market and investor sentiment. Are they connected?. Finance Research Letters, 38, 101399. https://doi.org/10.1016/J.FRL.2019.101399

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© 2021 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license
Attribution 4.0 International

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CVSO
Economía Financeira e Contabilidade
Organización de Empresas e Comercialización