TITLE:
Bitcoin and Stock Returns: An Empirical Study
AUTHORS:
Chikashi Tsuji
KEYWORDS:
Bitcoin, Cryptocurrency, Return, US Equity, Volatility
JOURNAL NAME:
iBusiness,
Vol.15 No.2,
June
12,
2023
ABSTRACT: This paper investigates the profitability of Bitcoin
and US equity. More concretely, we inspect
the performances of the S&P 500 index and Bitcoin by comparing their
returns and volatilities. As a result, we obtain the following significant
findings. First, our regression analysis clarifies that for the period after
the sudden appearance of COVID-19, there was a weak nexus between the S&P 500 index and Bitcoin returns. In
addition, our return and return spread
analysis evidences that for this period, on average, Bitcoin returns
were much higher than the S&P 500 index returns. Moreover, our volatility
and volatility spread analysis reveals that for this period, on average, the
volatilities of Bitcoin returns were much higher than those of the S&P 500
index returns.