Abstract

The purpose of this paper is to explore the effects of Bitcoin (crude oil) and financial (equity, gold and stock prices) markets on the US dollar index. A GJR-GARCH model is used to test these relationships for the period August 2010 to September 2016 using monthly data. The results suggest that bitcoin gold and stock prices (DSJI) affect negatively and statistically significantly the returns of the US dollar index. There is also some evidence that there is asymmetry in the bitcoin market and its relation with the US dollar index and that the latter could be considered as a possible safe haven for gold, stock and bitcoin.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call