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A Study on the Relationship Between Bitcoin and Stock Market Volatility under Different Policy Environments — Comparison Between Chinese and US Markets

Zhang, Yangmin LU and zhang, yingkun (2024) NEKN02 20241
Department 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.
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author
Zhang, Yangmin LU and zhang, yingkun
supervisor
organization
course
NEKN02 20241
year
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}},
}