The Dynamic Linkage Among Bitcoin, Clean Energy and Stock Market: Evidence by TVP-VAR

Abstract

Abstract This paper analyses the return and realized volatility spillovers among Bitcoin, wilder hill clean energy index (ECO), S&P 500 as conventional stocks and West Texas Intermediate (WTI) from 11/11/2013 to 30/09/2021. We investigate the transmission mechanism with Time-Varying Parameter Vector Auto regression (TVP-VAR). Our findings indicate that stock markets such as clean energy and conventional transmit return shocks to Bitcoin and oil and receive volatility shocks from Bitcoin and oil. In addition, during non-crisis periods, Bitcoin and other financial markets are weakly related; but, during crisis periods, such as the great cryptocurrency crash in 2018 and the coronavirus pandemic in 2020, their connection increases significantly.