A Study on the Relationship Between Bitcoin and Stock Market Volatility under Different Policy Environments — Comparison Between Chinese and US Markets
(2024) NEKN02 20241Department of Economics
- Abstract
- The increasing integration of Bitcoin with traditional stock markets makes understanding its impact on stock market volatility crucial. This paper constructs a GARCH-MIDAS model using data from the Shanghai Composite Index, the S&P 500 Index, and Bitcoin to investigate Bitcoin's influence under different regulatory environments. The results show that Bitcoin has a significant negative relationship with the volatility of both Chinese and US stock markets, indicating that the relationship between Bitcoin and stock market volatility does not vary significantly across different regulatory environments.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9161212
- author
- Zhang, Yangmin LU and zhang, yingkun
- supervisor
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Bitcoin, Stock Market, GARCH-MIDAS model
- language
- English
- id
- 9161212
- date added to LUP
- 2024-08-12 16:00:23
- date last changed
- 2024-08-12 16:00:23
@misc{9161212, abstract = {{The increasing integration of Bitcoin with traditional stock markets makes understanding its impact on stock market volatility crucial. This paper constructs a GARCH-MIDAS model using data from the Shanghai Composite Index, the S&P 500 Index, and Bitcoin to investigate Bitcoin's influence under different regulatory environments. The results show that Bitcoin has a significant negative relationship with the volatility of both Chinese and US stock markets, indicating that the relationship between Bitcoin and stock market volatility does not vary significantly across different regulatory environments.}}, author = {{Zhang, Yangmin and zhang, yingkun}}, language = {{eng}}, note = {{Student Paper}}, title = {{A Study on the Relationship Between Bitcoin and Stock Market Volatility under Different Policy Environments — Comparison Between Chinese and US Markets}}, year = {{2024}}, }