Answers are grounded in this paper and cite their sources.
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.
No takes yet. Share an insight, caveat, or question.
Zhang et al. (2024) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: