TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

Zekai Şenol

Makale detayları

TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

Yazarlar:

Zekai Şenol

Yayıncı:

Erciyes University

Ana Başlıklar:

Finans

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 66, pp.29-35

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307625

pISSN:

1301-3688

Anahtar kelimeler:

Özet:

 Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and decentralization compared to traditional investment instruments such as stocks and commodities. From their emergence to the present day, cryptocurrencies have increased in price, volume and value and have begun to take their place in portfolios. The relationships of cryptocurrencies with traditional investment instruments can have implications for portfolio management. In this study, it were examined that volatility spillovers between bitcoin and commodities consisting of gold, oil, natural gas and commodity indices. Daily data for the period of 24 August 2016  13 January 2023 were used in the study. The data were analyzed with causality in variance and time-varying causality test developed by Lu, Hong, Wang, Lai, and Liu 2014. In the study, unidirectional volatility spillover from bitcoin to gold and commodity index and from natural gas to bitcoin was observed. A low level of time-varying volatility spillover has been identified between Bitcoin and commodities. The results are important in terms of portfolio management, portfolio risk management and investment decisions.

 Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and decentralization compared to traditional investment instruments such as stocks and commodities. From their emergence to the present day, cryptocurrencies have increased in price, volume and value and have begun to take their place in portfolios. The relationships of cryptocurrencies with traditional investment instruments can have implications for portfolio management. In this study, it were examined that volatility spillovers between bitcoin and commodities consisting of gold, oil, natural gas and commodity indices. Daily data for the period of 24 August 2016  13 January 2023 were used in the study. The data were analyzed with causality in variance and time-varying causality test developed by Lu, Hong, Wang, Lai, and Liu 2014. In the study, unidirectional volatility spillover from bitcoin to gold and commodity index and from natural gas to bitcoin was observed. A low level of time-varying volatility spillover has been identified between Bitcoin and commodities. The results are important in terms of portfolio management, portfolio risk management and investment decisions.

 Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and decentralization compared to traditional investment instruments such as stocks and commodities. From their emergence to the present day, cryptocurrencies have increased in price, volume and value and have begun to take their place in portfolios. The relationships of cryptocurrencies with traditional investment instruments can have implications for portfolio management. In this study, it were examined that volatility spillovers between bitcoin and commodities consisting of gold, oil, natural gas and commodity indices. Daily data for the period of 24 August 2016  13 January 2023 were used in the study. The data were analyzed with causality in variance and time-varying causality test developed by Lu, Hong, Wang, Lai, and Liu 2014. In the study, unidirectional volatility spillover from bitcoin to gold and commodity index and from natural gas to bitcoin was observed. A low level of time-varying volatility spillover has been identified between Bitcoin and commodities. The results are important in terms of portfolio management, portfolio risk management and investment decisions.

 Kripto varlıklar pay senetleri ve emtialar gibi geleneksel yatırım araçlarıyla karşılaştırıldığında daha az düzenleme, düşük işlem maliyetleri, merkeziyetsizlik gibi bazı avantajlara sahiptirler. Kripto varlıklar ortaya çıkışlarından günümüze kadar fiyat, hacim ve değer bakımından artarak portföylerde kendilerine yer edinmeye başlamışlardır. Kripto varlıkların geleneksel yatırım araçlarıyla olan ilişkileri portföy yönetimi açısından sonuçlar ortaya çıkarabilir. Bu çalışmada bitcoin ile altın, petrol, doğal gaz ve emtia endeksinden oluşan emtialar arasındaki volatilite yayılımları incelenmiştir. Çalışmada 24 Ağustos 2016  13 Ocak 2023 dönemine ait günlük veriler varyansta nedensellik ve Lu, Hong, Wang, Lai ve Liu 2014 tarafından geliştirilen zamanla değişen varyansta nedensellik testiyle incelenmiştir. Çalışmada bitcoinden altın ve emtia endeksine doğru ve doğal gazdan bitcoine doğru tek yönlü volatilite yayılımı görülmüştür. Bitcoin ile emtilar arasında düşük düzeyde zamanla değişen volatilite yayılımı belirlenmiştir. Sonuçlar portföy yönetimi, portföy riskinin yönetilmesi, yatırım kararları açısından önem taşımaktadır.

Makale detayları

TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

Yazarlar:

Zekai Şenol

Yayıncı:

Erciyes University

Ana Başlıklar:

Finans

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 66, pp.29-35

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307625

pISSN:

1301-3688

Bitcoin

Gold

Oil

Commodity

Volatility SpilloverBitcoin

Altın

Petrol

Emtia

Volatilite Yayılımı

Sayı

Makale detayları

Yazarlar: Zekai Şenol

Yayıncı: Erciyes University

Ana Başlıklar: Finans

Dergi: Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 66, pp.29-35

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001307625

pISSN: 1301-3688

Sayı

Yazarlar:

Zekai Şenol

Yayıncı:

Erciyes University

Ana Başlıklar:

Finans

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 66, pp.29-35

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307625

pISSN:

1301-3688