期刊
FINANCE RESEARCH LETTERS
卷 38, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2019.101399
关键词
Bitcoin; S&P500; Social network sentiment; VIX
Bitcoin volatility is more unstable in speculative periods, while in stable periods, it is influenced by S&P 500 returns, VIX returns, and sentiment.
Bitcoin is the cryptocurrency with the largest market capitalization, and many studies have examined its role in financial markets. In this manuscript, we contribute to the extant body of knowledge by analyzing the Bitcoin behavior and the effect that investor sentiment, S&P 500 returns, and VIX returns have on Bitcoin volatility using GARCH and EGARCH models. The results suggest that Bitcoin volatility is more unstable in speculative periods. In stable periods, S&P 500 returns, VIX returns, and sentiment influence Bitcoin volatility.
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