Petti, Danilo and Sergio, Ivan (2024) Bank Crisis Boosts Bitcoin Price. Journal of Risk and Financial Management, 17 (4). p. 134. DOI https://doi.org/10.3390/jrfm17040134
Petti, Danilo and Sergio, Ivan (2024) Bank Crisis Boosts Bitcoin Price. Journal of Risk and Financial Management, 17 (4). p. 134. DOI https://doi.org/10.3390/jrfm17040134
Petti, Danilo and Sergio, Ivan (2024) Bank Crisis Boosts Bitcoin Price. Journal of Risk and Financial Management, 17 (4). p. 134. DOI https://doi.org/10.3390/jrfm17040134
Abstract
Bitcoin (BTC) represents an emerging asset class, offering investors an alternative avenue for diversification across various units of exchange. The recent global banking crisis of 9 March 2023 has provided an opportunity to reflect on how Bitcoin’s perception as a speculative asset may be evolving. This paper analyzes the volatility behavior of BTC in comparison to gold and the traditional financial market using GARCH models. Additionally, we have developed and incorporated a bank index within our volatility analysis framework, aiming to isolate the impact of financial crises while minimizing idiosyncratic risk. The aim of this work is to understand Bitcoin’s perception among investors and, more importantly, to determine whether BTC can be considered a new asset class. Our findings show that in terms of volatility and price, BTC and gold have responded in very similar ways. Counterintuitively, the financial market seems not to have experienced high volatility and significant price swings in response to the March 9th crisis. This suggests a consumer tendency to seek refuge in both Bitcoin and gold.
Item Type: | Article |
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Uncontrolled Keywords: | Bitcoin; bank crisis; cryptocurrency; GARCH; gold |
Subjects: | Z Bibliography. Library Science. Information Resources > ZZ OA Fund (articles) |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 25 Mar 2024 15:05 |
Last Modified: | 25 Mar 2024 15:15 |
URI: | http://repository.essex.ac.uk/id/eprint/38071 |
Available files
Filename: PettiDacaricareRIS.pdf
Licence: Creative Commons: Attribution 4.0