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Long, H., Zaremba, A., Demir, E., Szczygielski, J. J., & Vasenin, M. (2020). Seasonality in the Cross-Section of Cryptocurrency Returns. Finance Research Letters, 35, 101566.
https://doi.org/10.1016/j.frl.2020.101566

has been cited by the following article:

• TITLE: Bitcoin and Stock Returns: An Empirical Study

  AUTHORS: Chikashi Tsuji

  KEYWORDS: Bitcoin, Cryptocurrency, Return, US Equity, Volatility

  JOURNAL NAME: iBusiness, Vol.15 No.2, June 12, 2023

  ABSTRACT: This paper investigates the profitability of Bitcoin and US equity. More concretely, we inspect the performances of the S&P 500 index and Bitcoin by comparing their returns and volatilities. As a result, we obtain the following significant findings. First, our regression analysis clarifies that for the period after the sudden appearance of COVID-19, there was a weak nexus between the S&P 500 index and Bitcoin returns. In addition, our return and return spread analysis evidences that for this period, on average, Bitcoin returns were much higher than the S&P 500 index returns. Moreover, our volatility and volatility spread analysis reveals that for this period, on average, the volatilities of Bitcoin returns were much higher than those of the S&P 500 index returns.