Relationship between Bitcoin, stocks, and strategic commodity returns: Evidence from wavelet-based quantile regression

One of the most mentioned topics in the financial world in recent years is cryptocurrencies. Bitcoin is the best-known and the highest dominance with a rate of 43% cryptocurrency in the cryptocurrency market. In this context, the relationship between Bitcoin's other stocks and strategic commodities is important. In this study, the relationship between the returns of Bitcoin, which is a crypto currency developed with blockchain technology, and the returns of important stocks and strategically important commodities is examined by wavelet-based quantile regression analysis. In this context, days without transactions between January 1, 2016 and May 1, 2022 are excluded, the daily prices of Bitcoin as a basis; BIST-100 for Turkey, NYSE Composite, S&P 500, BİSTDowJones and Nasdaq for USA, London (London Stock Exchange Group) for UK, DAX for Germany, Shanghai (Shanghai Composite) for China, Tokyo (Tokyo Stock Exchange REIT) for Japan, Bovespa for Brazil the stock market indices and gold, silver, crude oil and natural gas return at different time frequencies (2–4, 4–8, 8–16, 16–32, 32-64 and 64–128 days) are obtained. Then, the relationship between Bitcoin returns at different time frequencies and stocks and strategic commodity returns is presented in different quantiles. As a result of the evidence obtained, Bitcoin returns; Gold, silver and crude oil commodity returns and BIST-100, S&P 500, NYSE, Dow Jones, Nasdaq, London, DAX, Bovespa and Tokyo stock market index returns are positive, Shanghai stock index returns are generally positive in low quantiles and negative in high quantiles, on the other hand natural gas returns negatively in high quantiles was found to be affected. Keywords: Bitcoin, Stocks, Commodities, Quantile