Bitcoin-to-gold ratio and stock market returns

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F25%3A63595918" target="_blank" >RIV/70883521:28120/25:63595918 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612325007159" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612325007159</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2025.107456" target="_blank" >10.1016/j.frl.2025.107456</a>

Result language
angličtina
Original language name
Bitcoin-to-gold ratio and stock market returns
Original language description
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.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50204 - Business and management

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)