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The Effects Of Gold, Stock Markets And Geopolitical Uncertainty On Bitcoin Prices And Volatility

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  • NIKOLAOS A. KYRIAZIS

    (Department of Economics, University of Thessaly 28th October 78, Volos, P.C. 38333, Greece)

Abstract

This paper investigates the nexus between Bitcoin, gold and highly innovative uncertainty indices by employing alternative Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) specifications. The period examined covers from March 2012 up to March 2020. Econometric outcomes indicate that Bitcoin returns and volatility are positively influenced by gold returns and the S&P500 volatility index (VIX). Nevertheless, it is revealed that the innovative Geopolitical Risk Index by Caldara and Iacoviello (2019) exerts negative impacts on Bitcoin markets. Evidence indicates that the Simple Asymmetric ARCH methodology provides the best fit for the purposes of estimations. Our findings cast light on the important aspects of Bitcoin behavior and provide guidance for decision-making about portfolios that contain Bitcoin and gold. This enables economic agents to ameliorate their risk–return trade-off depending on the fluctuations in stock markets and geopolitical uncertainty.

Suggested Citation

  • Nikolaos A. Kyriazis, 2020. "The Effects Of Gold, Stock Markets And Geopolitical Uncertainty On Bitcoin Prices And Volatility," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-15, December.
    • Handle: RePEc:wsi:gejxxx:v:20:y:2020:i:04:n:s2194565920500207
    DOI: 10.1142/S2194565920500207
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    Citations

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    Cited by:

    1. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    2. Taha Zaghdoudi & Kais Tissaoui & Mohamed Hédi Maâloul & Younès Bahou & Niazi Kammoun, 2024. "Can Economic, Geopolitical and Energy Uncertainty Indices Predict Bitcoin Energy Consumption? New Evidence from a Machine Learning Approach," Energies, MDPI, vol. 17(13), pages 1-15, July.
    3. Zhang, Xiangyu & Chen, Zhuming & Wang, Shengyu, 2024. "A study of the impact of cryptocurrency price volatility on the stock and gold markets," Finance Research Letters, Elsevier, vol. 69(PA).
    4. Yu Song & Bo Chen & Xin-Yi Wang, 2023. "Cryptocurrency technology revolution: are Bitcoin prices and terrorist attacks related?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-20, December.
    5. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

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