AN EMPIRICAL ANALYSIS OF SPECULATIVE BEHAVIOR AND THE SPILLOVER EFFECT IN CRYPTOCURRENCY MARKETS

Emrah Doğan

Makale detayları

AN EMPIRICAL ANALYSIS OF SPECULATIVE BEHAVIOR AND THE SPILLOVER EFFECT IN CRYPTOCURRENCY MARKETS

Yazarlar:

Emrah Doğan

Yayıncı:

Marmara University

Ana Başlıklar:

Economics

Dergi:

Journal of Research in Economics Vol.7 Issue 1, pp.1-21

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001285623

pISSN:

2636-8307

Anahtar kelimeler:

Özet:

 For risk management and stable pricing in the cryptocurrency market, it is necessary to determine the interdependence of speculative behaviour and crypto assets. The correlation and high volatility caused by the interdependence of financial assets in the cryptocurrency market can lead to spreading risks. The study aims to measure the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. The study used the SADF test, the generalized Dickey-Fuller test GSADF, and the frequency domain causality test of Breitung and Candelon 2006 to determine the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. Empirical evidence of speculative bubble formation between January 1, 2018, and December 2021 for the cryptocurrency assets covered in the study ADA, BNB, BTC, DOGE, ETH, XLM, and XRP is presented. Moreover, the frequency domain causality results obtained in the study show a contagion and spillover effect between crypto assets. The results provide essential information on the development of speculative behaviour and spread risk in the formation of financial asset prices in the cryptocurrency market.

 For risk management and stable pricing in the cryptocurrency market, it is necessary to determine the interdependence of speculative behaviour and crypto assets. The correlation and high volatility caused by the interdependence of financial assets in the cryptocurrency market can lead to spreading risks. The study aims to measure the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. The study used the SADF test, the generalized Dickey-Fuller test GSADF, and the frequency domain causality test of Breitung and Candelon 2006 to determine the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. Empirical evidence of speculative bubble formation between January 1, 2018, and December 2021 for the cryptocurrency assets covered in the study ADA, BNB, BTC, DOGE, ETH, XLM, and XRP is presented. Moreover, the frequency domain causality results obtained in the study show a contagion and spillover effect between crypto assets. The results provide essential information on the development of speculative behaviour and spread risk in the formation of financial asset prices in the cryptocurrency market.

 For risk management and stable pricing in the cryptocurrency market, it is necessary to determine the interdependence of speculative behaviour and crypto assets. The correlation and high volatility caused by the interdependence of financial assets in the cryptocurrency market can lead to spreading risks. The study aims to measure the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. The study used the SADF test, the generalized Dickey-Fuller test GSADF, and the frequency domain causality test of Breitung and Candelon 2006 to determine the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. Empirical evidence of speculative bubble formation between January 1, 2018, and December 2021 for the cryptocurrency assets covered in the study ADA, BNB, BTC, DOGE, ETH, XLM, and XRP is presented. Moreover, the frequency domain causality results obtained in the study show a contagion and spillover effect between crypto assets. The results provide essential information on the development of speculative behaviour and spread risk in the formation of financial asset prices in the cryptocurrency market.

 For risk management and stable pricing in the cryptocurrency market, it is necessary to determine the interdependence of speculative behaviour and crypto assets. The correlation and high volatility caused by the interdependence of financial assets in the cryptocurrency market can lead to spreading risks. The study aims to measure the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. The study used the SADF test, the generalized Dickey-Fuller test GSADF, and the frequency domain causality test of Breitung and Candelon 2006 to determine the speculative behaviour and spillover effect in the prices of financial assets in the cryptocurrency market. Empirical evidence of speculative bubble formation between January 1, 2018, and December 2021 for the cryptocurrency assets covered in the study ADA, BNB, BTC, DOGE, ETH, XLM, and XRP is presented. Moreover, the frequency domain causality results obtained in the study show a contagion and spillover effect between crypto assets. The results provide essential information on the development of speculative behaviour and spread risk in the formation of financial asset prices in the cryptocurrency market.

Makale detayları

AN EMPIRICAL ANALYSIS OF SPECULATIVE BEHAVIOR AND THE SPILLOVER EFFECT IN CRYPTOCURRENCY MARKETS

Yazarlar:

Emrah Doğan

Yayıncı:

Marmara University

Ana Başlıklar:

Economics

Dergi:

Journal of Research in Economics Vol.7 Issue 1, pp.1-21

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001285623

pISSN:

2636-8307

Cryptocurrency Markets

Bubbles

Spread Risks

Right-tailed Unit Root Tests

Frequency Domain Causality

Sayı

Makale detayları

AN EMPIRICAL ANALYSIS OF SPECULATIVE BEHAVIOR AND THE SPILLOVER EFFECT IN CRYPTOCURRENCY MARKETS

Yazarlar: Emrah Doğan

Yayıncı: Marmara University

Ana Başlıklar: Economics

Dergi: Journal of Research in Economics Vol.7 Issue 1, pp.1-21

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001285623

pISSN: 2636-8307

Cryptocurrency Markets

Bubbles

Spread Risks

Right-tailed Unit Root Tests

Frequency Domain Causality

Sayı

Yazarlar:

Emrah Doğan

Yayıncı:

Marmara University

Ana Başlıklar:

Economics

Dergi:

Journal of Research in Economics Vol.7 Issue 1, pp.1-21

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001285623

pISSN:

2636-8307