Regression of monthly bitcoin returns over monthly stock market returns for the entire sample period

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

1. Generate summary statistics.

2. Univariate analysis of average returns for bitcoin across stock market investor sentiment quartiles

3. Regression of monthly bitcoin returns over monthly stock market returns for the entire sample period

4. Regression of monthly bitcoin returns over monthly stock market returns for each year

5. Regression of monthly bitcoin returns over stock market investor sentiment for the entire sample period

6. Regression of monthly bitcoin returns over stock market investor sentiment for each year

7. Variables: a. Use S&P 500 return as a proxy for market returns b. Use Nasdaq return as an additional proxy for market returns in robustness analysis c. Use a cryptocurrency index as an additional robustness check d. Use High/Low stock market investor Sentiment as a robustness test Please find the clean data in the attachment. To run a balanced annual regression, the sample covers between January 2011 and December 2021. Please include year dummies when you run a regression over the whole sample. Please add this in regression table.

 

Attachments:

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