PurposeThis paper aims to quantify the volatility spillover impact and the directional predictability from stock market indexes to Bitcoin.Design/methodology/approachDaily data of 15 developed and 15 emerging stock markets are used for the period March 2017–December 2021.; The author uses vector autoregressive (VAR) model, Granger causality test and impulse response function (IRF) to estimate the results of the study.FindingsEmpirical results show a significant unidirectional volatility spillover impact from emerging markets to Bitcoin and only six stock markets are powerful predictors of Bitcoin return in the short term. Additionally, there is no a difference between developed and developing markets regarding the directional predictability however there is difference in the reaction of Bitcoin return to shocks in the emerging markets compared to developed ones.Originality/valueThe paper proposes different econometric techniques from prior research and presents a comparative analysis between developed and emerging markets.
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