Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets

In this paper, we examine the effect of explosive behaviors in Bitcoin market on top 10 largest stock markets developed and emerging countries. The daily dataset, including Dow Jones Industrial Index (DJIA), Nasdaq (NSQ), Shanghai Composite (SSE), Nikkei 225 (N225), Hang Seng (HSI), Shenzhen (SZSE), Euronext Amsterdam (AEX), London Stock Exchange (LSE), Toronto (TSX), Bombay (BSE), spans July 21, 2010, to December 9, 2022. We first investigate existence price using bubble detection test Phillips Shi results provide evidence multiple episodes, coinciding with monetary policy actions FED ECB. Then, address question whether detected affect variance equity returns by employing a GARCH model. impact is negative, albeit its magnitude significance vary among indices.