Dollar Index

Over the past few years, Bitcoin's price has fluctuated significantly, making it a hot topic in finance research. Numerous studies have been conducted to determine whether Bitcoin is a reliable currency. This study aims to investigate how the Dollar Index and Gold Return Rate affect Bitcoin's price, using a non-linear approach with the NARDL method. The findings show that the Gold Return Rate (G) and Dollar Index Return Rate significantly negatively impact Bitcoin's return. Additionally, based on non-linear and asymmetric tests, the assumption of symmetry in the results for all variables, except nominal interest rate and commodity index return, is rejected. This indicates that the impact of the Gold Return Rate, nominal interest rate, fluctuations in the US stock market, and oil price return is asymmetric. These results confirm the non-linear nature of these relationships. They also demonstrate that Bitcoin's return has been able to protect itself to a certain degree against the US dollar or some other investments.

One of the main concepts in finance is portfolio diversification and optimization. Typically, investors use the risk and return approach to diversify their portfolios. However, risk spillovers and market connectivity should also be considered when making investment decisions, especially during times of crisis. The TVP-VAR approach is used in this study to analyze risk spillovers and connectivity between the S&P 500 index, green bond, real estate, oil market, and dollar index in the USA from 2016 to July 2022. The TVP-VAR model is a time-varying model that may consider current political and economic circumstances. As a result, investors can choose wisely when it comes to their portfolios. According to comparisons with other markets, the S&P 500 index and the real estate market are the two most significant sources of volatility in the system. In fact, they not only transmit greater volatility, but they also take it in more. After 2020, there will likely be a significant increase in the volatility of the real estate market and the S&P 500 index due to the COVID-19 epidemic. Additionally, as anticipated, other markets have an impact on the green bond market. It does not, however, transmit them.