Bitcoin-to-gold ratio and stock market returns

被引：0

作者：

Bouri, Elie ^{[1
,2
]}

Demir, Ender ^{[3
,4
]}

机构：

[1] Lebanese Amer Univ, Sch Business, Beirut, Lebanon

[2] Korea Univ, Business Sch, Seoul, South Korea

[3] Reykjavik Univ, Sch Social Sci, Dept Business & Econ, Reykjavik, Iceland

[4] Tomas Bata Univ Zlin, Fac Management & Econ, Dept Business Adm, Zlin, Czech Republic

来源：

FINANCE RESEARCH LETTERS | 2025年 / 81卷

关键词：

Bitcoin; Gold; Ethereum; US and European stock market returns; Quantile regression; Risk aversion; COVID-19; outbreak; SAFE HAVEN; COVID-19; PLATINUM; DYNAMICS; HEDGE;

D O I：

10.1016/j.frl.2025.107456

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using linear and quantile regressions and daily data covering August 7, 2015, to December 30, 2024, we show that the ratio of Bitcoin-to-gold (BG) prices exerts a significantly positive effect on U.S. stock returns during the COVID-19 pandemic and post-pandemic periods, which holds when accounting for volatility, term spread, default spread, inflation, and liquidity. No significant impact is observed in pre-pandemic. To provide more economic explanations, we reveal that the significant impact of the BG ratio on stock returns during and post-pandemic stems from the channel of risk aversion (appetite). When Bitcoin is replaced with Ethereum, the results remain robust.

引用

页数：9

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