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The Relationship Between Bitcoin and Stock Market

Author

Listed:
  • Xin Wang

    (Saint Peter's University, USA)

  • Xi Chen

    (Beijing University of Civil Engineering and Architecture, China)

  • Peng Zhao

    (Intelligentrabbit, LLC, USA)

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, vol. 11(2), pages 22-35, April.
    • Handle: RePEc:igg:joris0:v:11:y:2020:i:2:p:22-35
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    Citations

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    Cited by:

    1. Manevich, Vyacheslav & Peresetsky, Anatoly & Pogorelova, Polina, 2022. "Stock market and cryptocurrency market volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 65-76.
    2. Donoiu Paul Cristian & Iacob Delia, 2023. "The Cryptocurrency Market and the Financial Stability," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 17(1), pages 1769-1778, July.
    3. Aysu Ahmadova & Taghi Guliyev & Khatai Aliyev, 2024. "The Relationship between Bitcoin and Nasdaq, U.S. Dollar Index and Commodities," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 281-289, January.
    4. Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
    6. Longbing Cao, 2021. "AI in Finance: Challenges, Techniques and Opportunities," Papers 2107.09051, arXiv.org.
    7. Sakthivel P. & Rajaswaminathan S., 2024. "Impact of crypto currencies on performance of stock returns: Evidence from BRICS countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(639), S), pages 243-254, Summer.

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