A Study on the Relationship Between Bitcoin and Stock Market Volatility under Different Policy Environments

Abstract

The increasing integration of Bitcoin with traditional stock markets makes understanding its impact on stock market volatility crucial. This paper constructs a GARCH-MIDAS model using data from the Shanghai Composite Index, the S&P 500 Index, and Bitcoin to investigate Bitcoin's influence under different regulatory environments. The results show that Bitcoin has a significant negative relationship with the volatility of both Chinese and US stock markets, indicating that the relationship between Bitcoin and stock market volatility does not vary significantly across different regulatory environments.