比特币与黄金的比率和股市回报

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-04-25 DOI:10.1016/j.frl.2025.107456

Elie Bouri , Ender Demir

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引用次数: 0

摘要

利用线性和分位数回归以及覆盖2015年8月7日至2024年12月30日的每日数据，我们表明，在COVID-19大流行期间和大流行后时期，比特币与黄金（BG）价格的比率对美国股票回报产生了显著的正影响，当考虑波动性、期限价差、违约价差、通货膨胀和流动性时，这一影响是成立的。在大流行前未观察到重大影响。为了提供更多的经济解释，我们揭示了BG比率在大流行期间和之后对股票回报的重大影响源于风险厌恶（偏好）的渠道。当比特币被以太坊取代时，结果仍然强劲。

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Bitcoin-to-gold ratio and stock market returns

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.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance