The Relationship Between Bitcoin and Stock Market-Reference-Cited by-同舟云学术

The Relationship Between Bitcoin and Stock Market

Published:2020-04 Issue:2 Volume:11 Page:22-35
ISSN:1947-9328
Container-title:International Journal of Operations Research and Information Systems
language:en
Short-container-title:

Author:

Wang Xin¹,Chen Xi²,Zhao Peng³

Affiliation:

1. Saint Peter's University, USA

2. Beijing University of Civil Engineering and Architecture, China

3. Intelligentrabbit, LLC., USA

Abstract

This article analyzes the relationship between Bitcoin and the stock market by using a vector autoregressive model. To enhance the impulse response signal, the Sliding Window technique is applied. Study results show the relationship between Bitcoin and the stock market. First, the S&P 500 has a relatively significant effect on Bitcoin, while the influence caused by the S&P 500 is weak. In addition, after involving the Sliding Window technique, the effects caused by the standard deviation of the S&P 500 and the mean of the Dow Jones are remarkably strong on the mean of Bitcoin and the standard deviation of the S&P 500 has a comparatively significant effect on the standard deviation of Bitcoin as well. Generally, the S&P 500 and the Dow Jones indexes have an advantageous effect on Bitcoin. Financial investment can be made based on this model and conclusion.

Publisher

IGI Global

Subject

Information Systems and Management,Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Information Systems,Management Information Systems

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