The Relationship Between Bitcoin and Stock Market

Abstract

This article analyzes the relationship between Bitcoin and the stock market by using a vector autoregressive model. To enhance the impulse response signal, the Sliding Window technique is applied. Study results show the relationship between Bitcoin and the stock market. First, the S&P 500 has a relatively significant effect on Bitcoin, while the influence caused by the S&P 500 is weak. In addition, after involving the Sliding Window technique, the effects caused by the standard deviation of the S&P 500 and the mean of the Dow Jones are remarkably strong on the mean of Bitcoin and the standard deviation of the S&P 500 has a comparatively significant effect on the standard deviation of Bitcoin as well. Generally, the S&P 500 and the Dow Jones indexes have an advantageous effect on Bitcoin. Financial investment can be made based on this model and conclusion.