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.

ISSN

1305-5577

Volume

29

Issue

47

First Page

29

Last Page

47

Disciplines

Business

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

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