The Relationship Between Bitcoin And Stock Market - IDEAS/RePEc

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Printed from https://ideas.repec.org/a/igg/joris0/v11y2020i2p22-35.html My bibliography Save this article The Relationship Between Bitcoin and Stock Market

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Author

Listed:

• Xin Wang

  (Saint Peter's University, USA)

• Xi Chen

  (Beijing University of Civil Engineering and Architecture, China)

• Peng Zhao

  (Intelligentrabbit, LLC, USA)

Registered:

Abstract

This article analyzes the relationship between Bitcoin and the stock market by using a vector autoregressive model. To enhance the impulse response signal, the Sliding Window technique is applied. Study results show the relationship between Bitcoin and the stock market. First, the S&P 500 has a relatively significant effect on Bitcoin, while the influence caused by the S&P 500 is weak. In addition, after involving the Sliding Window technique, the effects caused by the standard deviation of the S&P 500 and the mean of the Dow Jones are remarkably strong on the mean of Bitcoin and the standard deviation of the S&P 500 has a comparatively significant effect on the standard deviation of Bitcoin as well. Generally, the S&P 500 and the Dow Jones indexes have an advantageous effect on Bitcoin. Financial investment can be made based on this model and conclusion.

Suggested Citation

Xin Wang & Xi Chen & Peng Zhao, 2020. "The Relationship Between Bitcoin and Stock Market," International Journal of Operations Research and Information Systems (IJORIS), IGI Global Scientific Publishing, vol. 11(2), pages 22-35, April.

Handle: RePEc:igg:joris0:v:11:y:2020:i:2:p:22-35 as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF JSON

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