The Effect of Bitcoin Prices on US Dollar Index Price

  • I. Antoniadis
  • N. Sariannidis
  • S. Kontsas
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


The purpose of this paper is to explore the effects of Bitcoin (crude oil) and financial (equity, gold and stock prices) markets on the US dollar index. A GJR-GARCH model is used to test these relationships for the period August 2010 to September 2016 using monthly data. The results suggest that bitcoin gold and stock prices (DSJI) affect negatively and statistically significantly the returns of the US dollar index. There is also some evidence that there is asymmetry in the bitcoin market and its relation with the US dollar index and that the latter could be considered as a possible safe haven for gold, stock and bitcoin.


Cryptocurrency Bitcoin DSJI Gold US dollar index GJR-GARCH 

JEL Classification

F39 G10 G11 G15 


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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Department of Business AdministrationWestern Macedonia University of Applied SciencesKozaniGreece
  2. 2.Department of Accounting and FinanceWestern Macedonia University of Applied SciencesKozaniGreece
  3. 3.Department of Business AdministrationWestern Macedonia University of Applied SciencesGrevenaGreece

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