Bitcoin and stock markets: a revisit of relationship

Hassanudin Mohd Thas Thaker · Abdollah Ah Mand

21 citations0/0 files storedJournal of Derivatives and Quantitative Studies 선물연구

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

The volatility of bitcoin (BTC) and time horizon is the center point for investment decisions. However, attention is not often drawn to the relationship between BTC and equity indices. Thus, the purpose of this paper is to investigate the volatility and time frequency domain of BTC with stock markets.

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References

2002Dynamic Conditional Correlation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2016On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 2016The Inefficiency of Bitcoin

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