| dc.description.abstract | This study investigates the dynamics of risk and return relationships among Bitcoin, the S&P 500 Index, and government bonds using a vector autoregression approach, covering the period from 2020 to 2024. Employing daily return data, the analysis utilizes a vector autoregression of two lags model to explore return relationships between the aforementioned assets. For the risk analysis, a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is applied to the daily returns, followed by first differencing of the GARCH outputs for each variable and subsequent analysis of vector autoregression of two lags. The results indicate an absence of significant risk and return relationships between Bitcoin and both the S&P 500 and government bonds. The lack of significant findings prompts further investigation into the unique characteristics of Bitcoin. Additional analyses are conducted on Bitcoin's risk and return dynamics with meme stocks and its return relationship with macroeconomic indicators. The findings contribute to understanding the complex interplay between traditional financial assets and cryptocurrencies, highlighting the distinctive behavior of Bitcoin in the financial markets. This study enriches the existing literature on asset class interactions under different market conditions and advances our comprehension of the underlying factors influencing these relationship. | |
