A Quantile Regression Analysis of the Global Return Effects of Parallel Markets on Cryptocurrency Returns: A Case Study of Bitcoin

Articles in Press

Document Type : Research Paper

Authors

1 Department of Economics, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.

2 Department of Finance and Banking, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran.

3 Department of Economics, Faculty of Economics, Allameh Tabataba'i University, Tehran, Iran.

10.22103/jdc.2025.24424.1516

Abstract

Objective: The present study aims to asymmetrically examine the effects of global parallel market returns on cryptocurrency returns.
 
Method: The significant volatility in Bitcoin prices and the increasing global demand for it have led to extensive research aimed at understanding Bitcoin's behavior and its sensitivity to financial variables. Accordingly, this study investigates the asymmetric effects of U.S. stock market returns, oil prices, gold returns, and nominal interest rates on Bitcoin returns using a quantile regression approach with monthly data from 2010 to 2024.
 
Results: The estimated regression model reveals that global gold returns and the U.S. dollar returns have a significant negative impact on Bitcoin returns in higher quantiles. In contrast, the nominal interest rate has a positive effect on Bitcoin returns in lower quantiles but a significant negative impact in higher quantiles. The effect of U.S. stock market returns on Bitcoin returns is negative and significant in lower quantiles, and this effect strengthens in higher quantiles. Oil price returns have a significant positive effect on Bitcoin returns, which intensifies as we move toward higher quantiles.
 
Conclusion: The findings suggest that Bitcoin can serve as a hedge against gold, the U.S. dollar, and some other investments, particularly during periods of higher returns.

Keywords

Main Subjects

References

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Journal of Development and Capital

Articles in Press, Accepted Manuscript
Available Online from 22 December 2025

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History

  • Receive Date: 25 November 2024
  • Revise Date: 01 April 2025
  • Accept Date: 29 April 2025

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