The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Abstract

This paper aims to examine the relationship between Bitcoin and preeminent financial indicators using Copula-GARCH method. In the study, we use closing prices of Bitcoin and US 10-Year Bond Yield, Gold Spot US Dollar, US Dollar Index, S&P 500, FTSE 100 and NIKKEI 225. To our knowledge, our paper is the first to examine this issue empirically. Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators. These findings provide new information that will benefit policy makers, banks, financial investors, and risk managers in trading activities for both long-term and short-term strategies.