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

Creative Commons License

SİVRİKAYA A., Iren P., Omay T.

SOSYOEKONOMI, cilt.29, sa.47, ss.107-118, 2021 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 29 Sayı: 47
  • Basım Tarihi: 2021
  • Doi Numarası: 10.17233/sosyoekonomi.2021.01.05
  • Dergi Adı: SOSYOEKONOMI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.107-118
  • Hacettepe Üniversitesi Adresli: Evet

Özet

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.