IS BITCOIN MORE THAN A DIVERSIFIER FOR COMMODITIES? RANGE-BASED ANALYSIS VIA cDCC-GARCH

Year 2022, , 227 - 240, 30.06.2022

Tuğrul Kandemir , Halilibrahim Gökgöz

https://doi.org/10.29106/fesa.1092764

Cited By: 4

Abstract

The purpose of this study is to examine the diversifying role of Bitcoin for commodities and its interaction with commodities. Within the scope of the study, the daily data set consisting of Bitcoin, gold, silver, commodity index, crude oil, and energy commodities index variables covering the period 17.09.2014 - 24.11.2021 was transformed into Garman-Klass series, and dynamic conditional correlation models were applied. As a result of the application, it was observed that the most suitable model to test the interaction between Bitcoin and commodities was cDCC-GARCH. The interaction between Bitcoin and commodities (excluding silver) was negative; It has been determined that the interaction between the commodities is positive. The findings show that Bitcoin is a better diversifier for commodities (except silver) than other commodities and acts as a hedge when included in a portfolio of commodities.

Keywords

Bitcoin, Cryptocurrency, Commodity, Portfolio Diversification, Safe Haven, cDCC-GARCH, Volatility, Volatility Spillover, Garman-Klass

BİTCOİN, EMTİALAR İÇİN ÇEŞİTLENDİRİCİDEN FAZLASI MI? ARALIĞA DAYALI cDCC-GARCH İLE ANALİZİ

Abstract

Bu çalışmanın amacı Bitcoin’in emtialar için çeşitlendirici rolünün ve emtialarla etkileşiminin incelenmesidir. İnceleme kapsamında Bitcoin, altın, gümüş, emtia endeksi, ham petrol ve enerji emtiaları endeksi değişkenlerinden oluşan 17.09.2014 - 24.11.2021 dönemini kapsayan günlük veri seti Garman-Klass serilerine dönüştürülmüş ve dinamik koşullu korelasyon modelleri uygulanmıştır. Uygulama sonucunda Bitcoin ile emtialar arasındaki etkileşimi test etmek için en uygun modelin cDCC-GARCH olduğu gözlenmiş ve Bitcoin ile emtialar (gümüş hariç) arasındaki etkileşimin negatif yönlü; emtiaların kendi aralarındaki etkileşimin pozitif yönlü olduğu tespit edilmiştir. Bulgular, Bitcoin’in emtialar için (gümüş hariç) diğer emtialara göre daha iyi bir çeşitlendirici olduğunu ve Bitcoin’in emtia bulunduran portföye dahil edildiğinde hedge etme görevi üstlendiğini göstermektedir.

Keywords

Bitcoin, Kripto Para, Emtia, Portföy Çeşitlendirmesi, Güvenli Liman, cDCC-GARCH, Volatilite, Volatilite Yayılımı, Garman-Klass

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