TY  - JOUR
TI  - The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model
AB  - This study explores the relationship between the U.S. stock returns, Bitcoin returns and their uncertainties by using a multivariate GARCH model. Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites. The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable. Moreover, the U.S. stock market investors are found to be risk averse throughout the entire sample period while Bitcoin investors are not.
AU  - Sivrikaya, Ayşen
AU  - Omay, Tolga
AU  - Iren, Perihan
DO  - 10.17233/sosyoekonomi.2021.01.05
PY  - 2021
JO  - Sosyoekonomi
VL  - 29
IS  - 47
SN  - 1305-5577
SP  - 107
EP  - 118
DB  - TRDizin
UR  - http://search/yayin/detay/412874
ER  -