Bitcoin volatility, stock market and investor sentiment. Are they connected?
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...
| Autores: | , , , |
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| Tipo de documento: | artigo |
| Data de publicação: | 2021 |
| País: | España |
| Recursos: | Universidad de Santiago de Compostela (USC) |
| Repositório: | Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela |
| Idioma: | inglês |
| OAI Identifier: | oai:minerva.usc.gal:10347/42755 |
| Acesso em linha: | https://hdl.handle.net/10347/42755 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Bitcoin S&P500 Social network sentiment VIX |
| Resumo: | 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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