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Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay

The extant literature showed that interaction between cryptocurrency and stock markets was not comprehensively supported during the COVID-19 pandemic. This study aims to examine the relationship of bitcoin and international stock markets to evaluate how the role of cryptocurrency has changed over th...

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Main Author: Tay, Bee Hoong
Format: Article
Language:English
Published: UiTM Cawangan Kedah 2022
Subjects:
Money and prices. Inflation. Deflation. Purchasing power
Investment, capital formation, speculation
Online Access:https://ir.uitm.edu.my/id/eprint/65316/1/65316.pdf
https://ir.uitm.edu.my/id/eprint/65316/
https://voa.uitm.edu.my
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spelling my.uitm.ir.653162022-09-22T01:32:14Z https://ir.uitm.edu.my/id/eprint/65316/ Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay Tay, Bee Hoong Money and prices. Inflation. Deflation. Purchasing power Investment, capital formation, speculation The extant literature showed that interaction between cryptocurrency and stock markets was not comprehensively supported during the COVID-19 pandemic. This study aims to examine the relationship of bitcoin and international stock markets to evaluate how the role of cryptocurrency has changed over the COVID-19 period. Using the daily data of 12 international stock markets from the advanced economies and emerging economies, the study showed that cryptocurrency as measured by the price dynamics of bitcoin had more interactions with the international stock markets during the onset of COVID-19. Bitcoin was a hedge asset for the Japan stock market prior to COVID-19. In the period of COVID-19, bitcoin has important portfolio diversification implications for seven international stock market indices, i.e., US, UK, France, Germany, Thailand, India and Turkey, but it is neither a hedge asset nor safe haven for the remainder of the markets in advanced economies and emerging economies. The study further revealed that negative shocks have a larger effect on the conditional volatility of the stock than positive shocks in the observed samples and confirmed the existence of the asymmetric effect on the international stock markets during the pandemic COVID-19 period. This study contributes to complement the existing body of knowledge on the bitcoin and stock markets nexus pre and during the COVID-19 period. UiTM Cawangan Kedah 2022 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/65316/1/65316.pdf Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay. (2022) Voice of Academia, 18 (2). pp. 59-69. ISSN 1985-5079 https://voa.uitm.edu.my
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Money and prices. Inflation. Deflation. Purchasing power
Investment, capital formation, speculation
spellingShingle Money and prices. Inflation. Deflation. Purchasing power
Investment, capital formation, speculation
Tay, Bee Hoong
Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
description The extant literature showed that interaction between cryptocurrency and stock markets was not comprehensively supported during the COVID-19 pandemic. This study aims to examine the relationship of bitcoin and international stock markets to evaluate how the role of cryptocurrency has changed over the COVID-19 period. Using the daily data of 12 international stock markets from the advanced economies and emerging economies, the study showed that cryptocurrency as measured by the price dynamics of bitcoin had more interactions with the international stock markets during the onset of COVID-19. Bitcoin was a hedge asset for the Japan stock market prior to COVID-19. In the period of COVID-19, bitcoin has important portfolio diversification implications for seven international stock market indices, i.e., US, UK, France, Germany, Thailand, India and Turkey, but it is neither a hedge asset nor safe haven for the remainder of the markets in advanced economies and emerging economies. The study further revealed that negative shocks have a larger effect on the conditional volatility of the stock than positive shocks in the observed samples and confirmed the existence of the asymmetric effect on the international stock markets during the pandemic COVID-19 period. This study contributes to complement the existing body of knowledge on the bitcoin and stock markets nexus pre and during the COVID-19 period.
format Article
author Tay, Bee Hoong
author_facet Tay, Bee Hoong
author_sort Tay, Bee Hoong
title Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
title_short Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
title_full Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
title_fullStr Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
title_full_unstemmed Stock returns-bitcoin Nexus: evidence from pre and during Covid-19 outbreak / Bee-Hoong Tay
title_sort stock returns-bitcoin nexus: evidence from pre and during covid-19 outbreak / bee-hoong tay
publisher UiTM Cawangan Kedah
publishDate 2022
url https://ir.uitm.edu.my/id/eprint/65316/1/65316.pdf
https://ir.uitm.edu.my/id/eprint/65316/
https://voa.uitm.edu.my
_version_ 1744651621410799616
score 13.211869

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