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- Publisher
- Emerald Publishing
- Copyright
- © Emerald Publishing Limited
- ISSN
- 1086-7376
- eISSN
- 1755-6791
- DOI
- 10.1108/sef-03-2024-0137
- Publisher site
- See Article on Publisher Site
Abstract
The purpose of this study is to examine Bitcoin's price behavior across market conditions, focusing on the influence of Bitcoin's historical prices, news sentiment and market indicators like oil prices, gold and the S&P index. The authors also assess the stability of Bitcoin-inclusive hedging portfolios under different market conditions, for example, bearish, bullish and moderate market states.Design/methodology/approachThis study uses the Quantile Autoregressive Distributed Lag model to explore the effects of different factors on Bitcoin's prices across various market situations. This method allows for a detailed analysis of historical trends, investor expectations and external market influences on Bitcoin's price movements and systematic stability.FindingsKey findings reveal historical prices and investor expectations significantly influence Bitcoin in all market scenarios, with news sentiment exhibiting substantial volatility. This study indicates that oil prices have minimal impacts on Bitcoin, whereas gold is a stabilizing asset in bear markets, with the S&P index influencing short-term fluctuations. At the same time, Bitcoin's volatility varies with market conditions, proving more efficient as a hedging tool in bear and stable markets than in bull ones.Originality/valueThis study highlights the intrinsic correlation between Bitcoin's prices, news sentiment and financial market indicators, enhancing understanding of Bitcoin's market dynamics. The authors demonstrate Bitcoin's weak direct correlation with commodities like oil, the stabilizing role of gold in crypto portfolios and the stock market's indirect effect on Bitcoin prices. By examining these factors' impacts across various market conditions, the findings offer strategies for investors to improve hedging and portfolio management in cryptocurrency markets.
Journal
Studies in Economics and Finance – Emerald Publishing
Published: Nov 14, 2024
Keywords: Sentiment index; Portfolio analysis; Hedging market; Quantile autoregressive distributed lag model