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

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dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Economía Financeira e Contabilidade
dc.contributor.authorLópez Cabarcos, María Ángeles
dc.contributor.authorPérez Pico, Ada María
dc.contributor.authorPiñeiro Chousa, Juan Ramón
dc.contributor.authorŠević, Aleksandar
dc.date.accessioned2025-09-05T06:51:36Z
dc.date.available2025-09-05T06:51:36Z
dc.date.issued2021
dc.description.abstractBitcoin 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.
dc.description.peerreviewedSI
dc.identifier.citationLópez-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
dc.identifier.doi10.1016/J.FRL.2019.101399
dc.identifier.essn1544-6131
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/10347/42755
dc.journal.titleFinance Research Letters
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttps://doi.org/10.1016/J.FRL.2019.101399
dc.rights© 2021 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license
dc.rightsAttribution 4.0 Internationalen
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectBitcoin
dc.subjectS&P500
dc.subjectSocial network sentiment
dc.subjectVIX
dc.titleBitcoin volatility, stock market and investor sentiment. Are they connected?
dc.typejournal article
dc.type.hasVersionVoR
dc.volume.number38
dspace.entity.typePublication
relation.isAuthorOfPublication3704bf2a-cf26-4009-be11-6e1d16ce1d67
relation.isAuthorOfPublicationab8ad298-c621-4f3c-bcb7-0672508cbc88
relation.isAuthorOfPublication744c8ed0-d8bd-45fa-a142-71950cac5fff
relation.isAuthorOfPublication.latestForDiscovery3704bf2a-cf26-4009-be11-6e1d16ce1d67

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