The Analysis of Volatility Spillover Effect between Bitcoin and Developed and Developing Countries via The TVP-VAR

Halilibrahim Gökgöz; Cantürk Kayahan

Makale detayları

The Analysis of Volatility Spillover Effect between Bitcoin and Developed and Developing Countries via The TVP-VAR

Yazarlar:

Halilibrahim Gökgöz | Cantürk Kayahan

Yayıncı:

Hacettepe University

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.41 Issue 1, pp.109-125

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286828

pISSN:

1301-8752

Anahtar kelimeler:

Özet:

 This study is aimed to examine the volatility spillover effect between Bitcoin and the stock markets of developed and developing countries and to evaluate the findings in the context of global events affecting financial markets. For this purpose, time varying parameter vector autoregressive TVP-VAR model was applied to the daily data of Bitcoin, MSCI USA, MSCI Europe, and MSCI emerging markets index for the period 03.01.2017-25.03.2022. As a result of the application, it has been observed that Bitcoin is a net volatility receiver against MSCI USA and MSC Europe and a net volatility transmitter against MSCI emerging markets. MSCI USA is a net volatility emitter, and MSCI emerging markets is a net volatility receiver. It has also been observed that Bitcoin is weakly connected to developed and emerging markets. The findings showed that global events affect the whole world during periods of extreme increase-decrease in volatility spillover.

 This study is aimed to examine the volatility spillover effect between Bitcoin and the stock markets of developed and developing countries and to evaluate the findings in the context of global events affecting financial markets. For this purpose, time varying parameter vector autoregressive TVP-VAR model was applied to the daily data of Bitcoin, MSCI USA, MSCI Europe, and MSCI emerging markets index for the period 03.01.2017-25.03.2022. As a result of the application, it has been observed that Bitcoin is a net volatility receiver against MSCI USA and MSC Europe and a net volatility transmitter against MSCI emerging markets. MSCI USA is a net volatility emitter, and MSCI emerging markets is a net volatility receiver. It has also been observed that Bitcoin is weakly connected to developed and emerging markets. The findings showed that global events affect the whole world during periods of extreme increase-decrease in volatility spillover.

 This study is aimed to examine the volatility spillover effect between Bitcoin and the stock markets of developed and developing countries and to evaluate the findings in the context of global events affecting financial markets. For this purpose, time varying parameter vector autoregressive TVP-VAR model was applied to the daily data of Bitcoin, MSCI USA, MSCI Europe, and MSCI emerging markets index for the period 03.01.2017-25.03.2022. As a result of the application, it has been observed that Bitcoin is a net volatility receiver against MSCI USA and MSC Europe and a net volatility transmitter against MSCI emerging markets. MSCI USA is a net volatility emitter, and MSCI emerging markets is a net volatility receiver. It has also been observed that Bitcoin is weakly connected to developed and emerging markets. The findings showed that global events affect the whole world during periods of extreme increase-decrease in volatility spillover.

 Bu çalışmada, Bitcoin ile gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasaları arasındaki volatilite yayılım ilişkisinin incelenmesi ve bulguların finansal piyasaları etkileyen küresel olaylar bağlamında değerlendirilmesi amaçlanmıştır. Bu amaçla 03.01.2017-25.03.2022 dönemi, Bitcoin, MSCI ABD, MSCI Avrupa ve MSCI gelişmekte olan piyasalar endeksi günlük verilerine zamanla değişen parametre vektör otoregresif TVP-VAR modeli uygulanmıştır. Uygulama sonucunda Bitcoinin MSCI ABD ve MSC Avrupa karşsısında net volatilite alıcısı olduğu ve MSCI gelişmekte olan piyasalar karşısında net volatilite yayıcısı olduğu gözlenmiştir. MSCI ABDnin net volatililite yayıcısı ve MSCI gelişmekte olan piyasaların ise net volatilite alıcısı olduğu tespit edilmiştir. Ayrıca Bitcoinin gelişmiş ve gelişmekte olan piyasalarla zayıf bağlantılı olduğu gözlenmiştir. Bulgular, volatilite yayılımının aşırı artış-azalış gösterdiği dönemlerde tüm dünyayı etkileyen küresel olaylar olduğunu göstermiştir.

Makale detayları

The Analysis of Volatility Spillover Effect between Bitcoin and Developed and Developing Countries via The TVP-VAR

Yazarlar:

Halilibrahim Gökgöz | Cantürk Kayahan

Yayıncı:

Hacettepe University

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.41 Issue 1, pp.109-125

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286828

pISSN:

1301-8752

Bitcoin

Volatility Spillover

Financial Markets

TVP-VAR

Bitcoin

Volatilite Yayılımı

Finansal Piyasalar

TVP-VAR

Sayı

Makale detayları

Yazarlar: Halilibrahim Gökgöz | Cantürk Kayahan

Yayıncı: Hacettepe University

Dergi: Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.41 Issue 1, pp.109-125

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001286828

pISSN: 1301-8752

Sayı

Yazarlar:

Halilibrahim Gökgöz | Cantürk Kayahan

Yayıncı:

Hacettepe University

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.41 Issue 1, pp.109-125

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286828

pISSN:

1301-8752