RT Journal Article
T1 Bitcoin volatility, stock market and investor sentiment. Are they connected?
A1 López Cabarcos, María Ángeles
A1 Pérez Pico, Ada María
A1 Piñeiro Chousa, Juan Ramón
A1 Šević, Aleksandar
K1 Bitcoin
K1 S&P500
K1 Social network sentiment
K1 VIX
AB 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.
PB Elsevier
SN 1544-6123
YR 2021
FD 2021
LK https://hdl.handle.net/10347/42755
UL https://hdl.handle.net/10347/42755
LA eng
NO 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
DS Minerva
RD 23 abr 2026