Abstract
This study examines the return dependence between Bitcoin and major international stock markets from January 1, 2018, to September 30, 2021. Utilizing a time-varying parameter VAR (TVP-VAR) model with stochastic volatility, we analyze the dynamics of the dependence structure while considering market uncertainty indices (UCRY Policy, UCRY Price and VIX) before and after the outbreak of COVID-19 pandemic. Our findings indicate that Bitcoin's role as a safe haven for stock markets has yet to be observed during the post-COVID-19 period. Furthermore, we observe varying impacts of the return correlation between different stock markets and Bitcoin, suggesting an asymmetric dependence. These results contribute to the ongoing discussion regarding Bitcoin's role as a safe haven asset and provide valuable insight for investors and policymakers.
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