Exploring the Time-Varying Dependence between Bitcoin and the Global Stock Market: Evidence from a TVP-VAR Approach

This study examines the relationship between Bitcoin and global stock markets before and after the Covid-19 pandemic. Utilizing a time-varying parameter VAR (TVP-VAR) model with stochastic volatility, we analyze the dynamics of the relationship while considering the effects of two cryptocurrency uncertainty indices and the VIX. Our findings indicate that Bitcoin's role as a safe haven for stock markets has yet to be observed during the post-Covid-19 period. Furthermore, we observe significant heterogeneity in the impact of different stock markets on Bitcoin, suggesting an asymmetric dependence. Finally, we provide valuable insights for investors and policymakers.