The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model

被引：0

作者：

Sivrikaya, Aysen ^{[1
]}

Iren, Perihan ^{[2
]}

Omay, Tolga ^{[3
]}

机构：

[1] Hacettepe Univ, Dept Econ, Ankara, Turkey

[2] Zayed Univ, Coll Business, Dubai, U Arab Emirates

[3] Atilim Univ, Dept OfEcon, Ankara, Turkey

来源：

SOSYOEKONOMI | 2021年 / 29卷 / 47期

关键词：

Multivariate GARCH-M; U.S. Stock Price Return; Bitcoin Price Return; Uncertainty; Volatility; World Risk Aversion Index; World Macroeconomic Uncertainty Index;

D O I：

10.17233/sosyoekonomi.2021.01.05

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study explores the relationship between the U.S. stock returns, Bitcoin returns and their uncertainties by using a multivariate GARCH model. Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites. The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable. Moreover, the U.S. stock market investors are found to be risk averse throughout the entire sample period while Bitcoin investors are not.

引用

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页码：107 / 118

页数：12

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