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The Relationship Between Bitcoin and Stock Market

The Relationship Between Bitcoin and Stock Market

Xin Wang, Xi Chen, Peng Zhao
Copyright: © 2020 |Volume: 11 |Issue: 2 |Pages: 14
ISSN: 1947-9328|EISSN: 1947-9336|EISBN13: 9781799806547|DOI: 10.4018/IJORIS.2020040102
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MLA

Wang, Xin, et al. "The Relationship Between Bitcoin and Stock Market." IJORIS vol.11, no.2 2020: pp.22-35. http://doi.org/10.4018/IJORIS.2020040102

APA

Wang, X., Chen, X., & Zhao, P. (2020). The Relationship Between Bitcoin and Stock Market. International Journal of Operations Research and Information Systems (IJORIS), 11(2), 22-35. http://doi.org/10.4018/IJORIS.2020040102

Chicago

Wang, Xin, Xi Chen, and Peng Zhao. "The Relationship Between Bitcoin and Stock Market," International Journal of Operations Research and Information Systems (IJORIS) 11, no.2: 22-35. http://doi.org/10.4018/IJORIS.2020040102

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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.