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 Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran

2 Department of management, Allameh Tabataba'i University, Tehran, Iran

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

4 economics faculty of Allameh Tabatabai university of Tehran. Iran

10.22103/jdc.2025.24424.1516

Abstract

Wide fluctuations in the price of Bitcoin and the increase in global demand for it have caused a wide range of research to identify the behavior of Bitcoin and how it is affected by financial variables. Considering this issue, the purpose of this study was to investigate the asymmetric effects of US stock market return, oil price, gold return and nominal interest rate on Bitcoin return with quantile regression approach during the period of 2010-2022 with monthly data.The results of the estimation of the regression model show that the gold returne had a negative and significant effect on the return rate of Bitcoin in the high quantiles, while the nominal interest rate showed a positive effect on the return rate of Bitcoin in the low quantiles, but in the quantiles The above shows a negative and significant impact on the return of Bitcoin. The effect of US stock market returns on Bitcoin returns is negative and significant in the lower quantiles, and this effect is strengthened in the higher quantiles. The yield of oil price has a positive and significant effect on the return rate of Bitcoin, which is strengthened by moving towards high quantiles. This study also showed that the effects of these variables on Bitcoin returns during the study period are asymmetric.

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Journal of Development and Capital

Articles in Press, Accepted Manuscript
Available Online from 29 April 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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