CAN BITCOIN BE A SAFE HAVEN IN FEAR SENTIMENT?
采用滚动窗口格兰杰因果检验，发现恐惧情绪（VIX）对比特币价格有负向影响，表明比特币不能作为恐惧情绪中的安全港，但比特币价格可作为恐惧指数的参考指标。
This paper explores how fear sentiment affects the price of Bitcoin by employing the rolling-window Granger causality tests. The analysis reveals negative influences from the volatility index (VIX) to Bitcoin price (BTC), which ascertains that Bitcoin can not be considered a haven in fear sentiment. Due to the liquidity in economic downside risks, BTC may decrease with high VIX to hedge losses, increasing during low VIX periods. The empirical results conflict with the intertemporal capital asset pricing model, which underlines that the increasing VIX can promote the price of Bitcoin. In turn, BTC positively impacts VIX, which shows that Bitcoin price can be treated as the main indicator for a more comprehensive analysis of the fear index. Under severe global uncertainty and changeable fluctuation of market sentiment, investors can optimize investment decisions based on market fear sentiment. The government can also consider VIX to grasp the trend of BTC to participate in cryptocurrency speculation effectively.