The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model
Document Type
Article
Source of Publication
Sosyoekonomi
Publication Date
1-25-2021
Abstract
This study explores the relationship between the U.S. stock returns, Bitcoin returns and their uncertainties by using a multivariate GARCH model. Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites. The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable. Moreover, the U.S. stock market investors are found to be risk averse throughout the entire sample period while Bitcoin investors are not.
DOI Link
ISSN
Volume
29
Issue
47
First Page
29
Last Page
47
Disciplines
Business
Recommended Citation
Sivrikaya, Ayşen; Iren, Perihan; and Umay, Tolga, "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model" (2021). All Works. 4290.
https://zuscholars.zu.ac.ae/works/4290
Indexed in Scopus
no
Open Access
yes
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license