We investigate how sensitive developed and emerging equity markets are to volatility dynamics of Bitcoin during tranquil, bear, and bull market regimes. Intraday price fluctuations of Bitcoin are represented by three measures of realized volatility, viz. total variance, upside semivariance, and downside semivariance. Our empirical analysis relies on a quantile regression framework, after orthogonalizing raw returns with respect to an array of relevant global factors and accounting for structural shifts in the series. The results suggest that developed-market returns are positively related to the realized variance proxy across various market conditions, while emerging-market returns are positively (negatively) correlated with realized variance during bear (normal and bull) market periods. The upside (downside) component of realized variance has a negative (positive) influence on returns of either market category, and the dependence structure is highly asymmetric across the return distribution. Additionally, we document that developed and emerging markets are more sensitive to downside volatility than to upside volatility when they enter tranquil or bull territory. Our results offer practical implications for policymakers and investors.

我们研究了在平静，熊市和牛市时期，发达和新兴股票市场对比特币波动动态的敏感程度。比特币的日内价格波动通过已实现波动率的三种度量来表示。总方差，上半方差和下半方差。我们的经验分析依赖于分位数回归框架，在此基础上，将原始回报相对于一系列相关的全球因素进行正交处理，并考虑了该系列中的结构性变化。结果表明，发达市场收益与各种市场条件下的已实现方差代理呈正相关，而新兴市场收益在熊市（正常和牛市）期间与已实现方差呈正（负）相关。已实现方差的向上（向下）部分对任一市场类别的收益均具有负面（正）影响，并且依赖结构在收益分布上高度不对称。此外，我们记录到，发达市场和新兴市场进入平静或牛市时，对下行波动比对上行波动更敏感。我们的结果对政策制定者和投资者具有实际意义。