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

Creative Commons License

Gemici E., Polat M., Gök R., Khan M. A., Khan M. A., KILIÇ Y.

SAGE Open, vol.13, no.2, 2023 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 13 Issue: 2
  • Publication Date: 2023
  • Doi Number: 10.1177/21582440231178666
  • Journal Name: SAGE Open
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, Academic Search Premier, ERIC (Education Resources Information Center), Directory of Open Access Journals
  • Keywords: Bitcoin, bubbles, cryptocurrencies, GSADF, stock markets
  • Akdeniz University Affiliated: Yes


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