Volatility Analysis Between Bitcoin, Oil and Selected Stock Markets

Abstract

The aim of this study is to analyse the dynamic interconnectedness of Bitcoin, a cryptocurrency, and BRENT oil prices, which have a global impact, on the stock market indices of developed and developing countries. In order to carry out the analysis, Bitcoin and BRENT oil prices between 12.11.2017 and 19.11.2023, Bitcoin, BRENT oil, S&P500 stock index from the United States, CAC stock index from France, DAX stock index from Germany, NIKKEI225 stock index from Japan, IBEX35 stock index from Spain, The weekly data of BIST100 stock market index from Turkey, S&PBMV stock market index from Mexico, IDX stock market index from Indonesia and TADAWUL stock market index variables from Saudi Arabia are analysed with the TVP-VAR method. The findings of the study revealed that crisis periods increase the dynamic interconnectedness between assets and that Bitcoin and BRENT oil variables are affected by other stock market indices. In addition, it is also revealed that the stock market indices of the developed countries examined affect other variables in all periods, and the Saudi Arabia stock market index has an outlook that affects the stock market indices more than other developing countries.

Keywords

• Cryptocurrency
• Bitcoin
• Oil
• TVP-VAR
• Developed Countries
• Developing Countries

Bitcoin, Petrol ile Borsalar Arasındaki Volatilite Analizi

Abstract

Bu çalışmanın amacı kripto para birimi olan Bitcoin ve küresel bir etki gücüne sahip olan BRENT petrol fiyatlarının gelişmiş ve gelişmekte olan ülkelerin borsa endeksleri üzerindeki dinamik bağlantılılığının analizini gerçekleştirmektir. Analizi gerçekleştirmek amacıyla 12.11.2017 ile 19.11.2023 tarihleri arasındaki Bitcoin, BRENT petrol, Amerika Birleşik Devletleri’nden S&P500 borsa endeksi, Fransa’dan CAC borsa endeksi, Almanya’dan DAX borsa endeksi, Japonya’dan NIKKEI225 borsa endeksi, İspanya’dan IBEX35 borsa endeksi, Türkiye’den BIST100 borsa endeksi, Meksika’dan S&PBMV borsa endeksi, Endonezya’dan IDX borsa endeksi ve Suudi Arabistan’dan TADAWUL borsa endeks değişkenlerine ait haftalık veriler TVP-VAR yöntemi ile analiz edilmiştir. Çalışma sonucunda elde edilen bulgular kriz dönemlerinin varlıklar arasındaki dinamik bağlantılık ilişkisini artırmakta olduğunu ve Bitcoin ve BRENT petrol değişkenlerinin diğer borsa endeksleri tarafından etkilendiğini ortaya koymuştur. Ayrıca incelenen gelişmiş ülke borsa endekslerinin tüm dönemler itibariyle diğer değişkenleri etkilediğini bunun yanında Suudi Arabistan borsa endeksinin de diğer gelişmekte olan ülkelere göre borsa endekslerini daha fazla etkileyen bir görünüme sahip olduğunu ortaya koymuştur.

Keywords

• Kripto Paralar
• Bitcoin
• Petrol
• TVP-VAR
• Gelişmiş Ülkeler
• Gelişmekte Olan Ülkeler

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