The Volatility Transmission Between Cryptocurrency And Global Stock Market Indices: Case Of Covid-19 Period

Year 2022, Volume: 37 Issue: 2, 443 - 459, 05.06.2022

Sinem Atıcı Ustalar Enes Ayar Selim Şanlısoy

https://doi.org/10.24988/ije.1034580

Cited By: 2

Abstract

The uncertainty originated by the COVID-19 pandemic and the unpredictability of both real and financial market indicators have increased the volatility of global financial markets. As a result of globalization, the determination of risk and information transfer between financial markets has gained importance during the pandemic process. In this context, the spread of volatility between the cryptocurrency market and the global stock markets was analyzed by considering the pandemic process. Bitcoin, which represents 42% of the total market cap, was used to represent the cryptocurrency market in the analysis. S&P500, FTSE100, SSEC and NIKKEI indices, which are among the world's leading indices in terms of market cap, were used to represent the global stock market. Constant Conditional Correlation Multivariate GARCH model was used for the analysis of volatility transmission. Daily closing prices covering the date range from 1st December 2019 to 1st July 202 were used for the analyses. The model results were positive and significant for all predicted conditional correlation parameters. In this context, there is volatility transmission and information transfer between BTC and stock returns. The model findings are expected to be a supporting element for financial market participants to make the right decision in the optimal portfolio allocation process.

Keywords

Cryptocurrencies Market, Stock Market, Volatility Transmission, Constant Conditional Correlation, Multivariate GARCH Model

Kripto Para Ve Küresel Borsa Endeksleri Arasındaki Volatilite Aktarımı: Covid-19 Dönemi Örneği

Abstract

COVID-19 pandemisinin yarattığı belirsizlik ortamının yanı sıra hem reel hem de finansal piyasa göstergelerininin öngörülememesi küresel finans piyasalarının oynaklığını arttırmıştır. Küreselleşmenin de bir sonucu olarak, finansal piyasalar arasındaki risk ve bilgi aktarımının belirlenmesi pandemi sürecinde önem kazanmıştır. Bu bağlamda çalışmada, kripto para piyasası ile küresel hisse senedi piyasaları arasındaki oynaklık yayılımı pandemi süreci dikkate alınarak analiz edilmiştir. Analizde kripto para piyasasını temsilen toplam piyasa değerinin %42'sini temsil eden Bitcoin kullanılmıştır. Küresel hisse senedi piyasasını temsil etmesi için ise piyasa değeri açısından dünyanın önde gelen endekslerinden S&P500, FTSE100, SSEC ve NIKKEI endeksleri kullanılmıştır. Oynaklık yayılımının analizi için Sabit Koşullu Korelasyon Çok Değişkenli GARCH modeli kullanılmıştır. Analizlerimiz 1 Aralık 2019 ile 1 Temmuz 2021 tarih aralığını kapsayan günlük kapanış fiyatları kullanılarak gerçekleştirilmiştir. Model sonuçları, tahmin edilen tüm koşullu korelasyon parametrelerinin pozitif ve anlamlı elde edilmiştir. Bu bağlamda, BTC ve hisse senedi getirileri arasında bir oynaklık yayılımı ve bilgi aktarımı vardır. Model bulgularının, finansal piyasa katılımcılarının optimal portföy tahsis sürecinde doğru karar vermeleri için destekleyici bir unsur olması beklenmektedir.

Keywords

Kripto Para Piyasası, Hisse Senedi Piyasas, Oynaklık Geçişkenliği, Sabit Koşullu Korelasyon, Çok Değişkenli GARCH Modeli

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