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Bitcoin-to-gold ratio and stock market returns
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| dc.title | Bitcoin-to-gold ratio and stock market returns | en |
| dc.contributor.author | Bouri, Elie | |
| dc.contributor.author | Demir, Ender | |
| dc.relation.ispartof | Finance Research Letters | |
| dc.identifier.issn | 1544-6123 Scopus Sources, Sherpa/RoMEO, JCR | |
| dc.identifier.issn | 1544-6131 Scopus Sources, Sherpa/RoMEO, JCR | |
| dc.date.issued | 2025 | |
| utb.relation.volume | 81 | |
| dc.type | article | |
| dc.language.iso | en | |
| dc.publisher | Elsevier Ltd | |
| dc.identifier.doi | 10.1016/j.frl.2025.107456 | |
| dc.relation.uri | https://www.sciencedirect.com/science/article/pii/S1544612325007159 | |
| dc.relation.uri | https://www.sciencedirect.com/science/article/pii/S1544612325007159/pdfft?md5=d0e2c2a6fab214a1754e0125d7be0fdc&pid=1-s2.0-S1544612325007159-main.pdf | |
| dc.subject | Bitcoin | en |
| dc.subject | gold | en |
| dc.subject | Ethereum | en |
| dc.subject | US and European stock market returns | en |
| dc.subject | quantile regression | en |
| dc.subject | risk aversion | en |
| dc.subject | COVID-19 outbreak | en |
| dc.description.abstract | 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. | en |
| utb.faculty | Faculty of Management and Economics | |
| dc.identifier.uri | http://hdl.handle.net/10563/1012480 | |
| utb.identifier.scopus | 2-s2.0-105004272013 | |
| utb.identifier.wok | 001490967900005 | |
| utb.source | j-scopus | |
| dc.date.accessioned | 2025-10-16T07:25:44Z | |
| dc.date.available | 2025-10-16T07:25:44Z | |
| utb.ou | Department of Business Administration | |
| utb.contributor.internalauthor | Demir, Ender | |
| utb.fulltext.sponsorship | - | |
| utb.wos.affiliation | [Bouri, Elie] Lebanese Amer Univ, Sch Business, Beirut, Lebanon; [Bouri, Elie] Korea Univ, Business Sch, Seoul, South Korea; [Demir, Ender] Reykjavik Univ, Sch Social Sci, Dept Business & Econ, Reykjavik, Iceland; [Demir, Ender] Tomas Bata Univ Zlin, Fac Management & Econ, Dept Business Adm, Zlin, Czech Republic | |
| utb.scopus.affiliation | School of Business, Lebanese American University, Lebanon; Korea University Business School, Seoul, South Korea; Department of Business and Economics, School of Social Sciences, Reykjavik University, Reykjavik, Iceland; Department of Business Administration, Faculty of Management and Economics, Tomas Bata University in Zlin, Zlin, Czech Republic | |
| utb.fulltext.projects | - |
