Research Article
BibTex RIS Cite

Bitcoin, Petrol ile Borsalar Arasındaki Volatilite Analizi

Year 2024, Volume: 14 Issue: 1, 19 - 35, 28.07.2024

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.

References

  • Adekoya, O. B., Akinseye, A. B., Antonakakis, N., Chatziantoniou, I., Gabauer, D., & Oliyide, J. (2022). Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies. Resources Policy, 78, 102877.
  • Adekoya, O. B., & Oliyide, J. A. (2021). How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques. Resources Policy, 70, 101898.
  • Akkuş, H. T., & Doğan, M. (2023) Analysis of dynamic connectedness relationships between cryptocurrency, NFT and DeFi assets: TVP-VAR approach, Applied Economics Letters, DOI: 10.1080/13504851.2023.2216437
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084
  • Antonakakis, N. & Gabauer, D. (2017). Refined measures of dynamic connectedness based on TVPVAR (MPRA Working Paper No. 78282). Retrieved from https://mpra.ub.uni-muenchen.de/78282/
  • Attarzadeh, A., & Balcilar, M. (2022). On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis. Environmental Science and Pollution Research, 29(43), 65185-65196.
  • Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.
  • Bilir, H., & Çay, Ş. (2016). Elektronik para ve finansal piyasalar arasındaki ilişki.Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 21-31.
  • Bhowmik, R., & Wang, S. (2020). Stock market volatility and return analysis: A systematic literature review. Entropy, 22(5), 522. MDPI AG. Retrieved from http://dx.doi.org/10.3390/e22050522
  • Cao, G., & Xie, W. (2022). Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach. Finance Research Letters, 49, 103070.
  • Dahir, A. M., Mahat, F., Amin Noordin, B. A., & Hisyam Ab Razak, N. (2020). Dynamic connectedness between Bitcoin and equity market information across BRICS countries: Evidence from TVP-VAR connectedness approach. International Journal of Managerial Finance, 16(3), 357-371.
  • Diebold, F. X. & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171. Doi: https://doi.org/10.1111/j.1468-0297.2008.02208.x
  • Diebold, F. X. ve Yılmaz, K. (2014). On the network topology of variance decompositions: measuring the connectedness of financial firms. Journal of econometrics, 182(1), 119-134. Doi: https://doi.org/10.1016/ j.jeconom.2014.04.012
  • Dizkırıcı, A. S., & Gökgöz, A. (2018). Kripto para birimleri ve Türkiye'de Bitcoin muhasebesi. Journal of Accounting, Finance and Auditing Studies,4(2), 92-105.
  • Doğan, M., Raikhan, S., Zhanar, N., & Gulbagda, B. (2023). Analysis of dynamic connectedness relationships among clean energy, carbon emission allowance, and BIST indexes. Sustainability, 15(7), 6025. https://doi.org/10.3390/su15076025
  • Dutta, S., Kayal, P., & Balasubramnaian, G. (2023). Volatility spillover and directionality in cryptocurrency and metal markets. Journal of Emerging Market Finance, 22(4), 464-485.
  • Elsayed, A. H., Gozgor, G., & Lau, C. K. M. (2022). Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. International Review of Financial Analysis, 81, 102069.
  • Elsayed, A. H., & Sousa, R. M. (2022). International monetary policy and cryptocurrency markets: dynamic and spillover effects. The European Journal of Finance, 1-21.
  • Gökgöz, H., & Kayahan, C. (2023). Bitcoin ile gelişmiş ve gelişmekte olan ülkeler arasındaki volatilite yayılım etkisinin TVP-VAR ile analizi. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 41 (1), 109-125.
  • Görmez, Y . & Budd, C. H. (2012). Electronic money free banking and some implications for central banking, Türkiye Cumhuriyet Merkez Bankası, Central Bank Review, 4(1), 67-105.
  • Ha, L. T. (2023). Interlinkages of cryptocurrency and stock markets during COVID-19 pandemic by applying a TVP-VAR extended joint connected approach. Journal of Economic Studies, 50(3), 407-428.
  • Ha, L.T., & Nham, N. T. H. (2022). An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis. Technological Forecasting and Social Change, 183, 121909.
  • Höl, A. Ö. (2023). Covid-19 döneminde Türkiye’de finansal varlıklar arasındaki volatilite yayılımı: TVP-VAR uygulaması. İktisadi İdari ve Siyasal Araştırmalar Dergisi (İKTİSAD), 8(21), 339-357.
  • Huang, J., Chen, B., Xu, Y., & Xia, X. (2023). Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. Finance Research Letters, 53, 103634.
  • Huang, J., Dong, X., Chen, J., & Zhong, M. (2022). Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework. International Review of Economics & Finance, 78, 433-445.
  • Jiang, S., Li, Y., Lu, Q., Wang, S., & Wei, Y. (2022). Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets. Research in International Business and Finance, 59, 101543.
  • Kahraman, İ. K., Küçükşahin, H., & Çağlak, H. (2019). Kripto para birimlerinin volatilite yapısı: GARCH modelleri karşılaştırması. Fiscaoeconomia 2:21-45.
  • Khemakhem, I., Bahloul, S., & Bouzgarrou, H. (2023). The Impact of Russia-Ukraine war on the volatility connectedness between commodities and financial assets: An asymmetric GARCH and Tvp-Var approach. Available at SSRN 4415634.
  • Koop, G., Leon-Gonzalez, R. & Strachan, R. W. (2009). On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33(4), 997-1017. Doi: https://doi.org/10.1016/ j.jedc.2008.11.003
  • Kuzu, S. (2019). Volatilite endeksi (VIX) ile BIST 100 arasındaki Johansen Eş-Bütünleşme ve frekans alanı nedensellik analizi. Electronic Turkish Studies, 14(1).479-493.
  • Liu, T., & Gong, X. (2020). Analyzing time-varying volatility spillovers between the crude oil markets using a new method. Energy Economics, 87, 104711.
  • Mishra, A. K., Arunachalam, V., Olson, D., & Patnaik, D. (2023). Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 82, 103490.
  • Naeem, M. A., Lucey, B. M., Karim, S., & Ghafoor, A. (2022). Do financial volatilities mitigate the risk of cryptocurrency indexes?. Finance Research Letters, 50, 103206.
  • Nakamoto, S. (2008).Bitcoin:APeer-to-PeerElectronicCashSystem.
  • Özdemir Höl, A., Akyıldırım, E., Kılıcaslan, Ş., & Çınar, K. (2022). Baltık kuru yük endeksi, petrol, altın, dolar, MSCI dünya endeksi arasındaki volatilite yayılımı. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(2), 386-406. https://doi.org/10.30784/epfad.1089836
  • Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58, 17-29.
  • Thanh, T. T., Ha, L. T., Huyen, N. T. T., & Ngoc, T. A. (2023). An Application of a TVP-VAR extended joint connected approach to investigate dynamic spillover interrelations of cryptocurrency and stock market in Vietnam. Journal of International Commerce, Economics and Policy, 14(01), 2250017.
  • Tuna, K. & İsabetli, İ. (2014). Finansal piyasalarda volatilite ve Bist‐100 örneği. Kocaeli Üniversitesi Sosyal Bilimler Dergisi, (27), 21-31. Retrieved from https://dergipark.org.tr/en/pub/kosbed/issue/25692/271136
  • Umar, Z., Jareño, F., & Escribano, A. (2021). Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. Resources Policy, 73, 102147.
  • Urom, C., Abid, I., Guesmi, K., & Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230-258.
  • Yousaf, I., Riaz, Y., & Goodell, J. W. (2023). Energy cryptocurrencies: Assessing connectedness with other asset classes. Finance Research Letters, 52, 103389.
  • Zhao, J., & Zhang, T. (2023). Exploring the time-varying dependence between Bitcoin and the global stock market: Evidence from a TVP-VAR approach. Finance Research Letters, 58, 104342.

Volatility Analysis Between Bitcoin, Oil and Selected Stock Markets

Year 2024, Volume: 14 Issue: 1, 19 - 35, 28.07.2024

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.

References

  • Adekoya, O. B., Akinseye, A. B., Antonakakis, N., Chatziantoniou, I., Gabauer, D., & Oliyide, J. (2022). Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies. Resources Policy, 78, 102877.
  • Adekoya, O. B., & Oliyide, J. A. (2021). How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques. Resources Policy, 70, 101898.
  • Akkuş, H. T., & Doğan, M. (2023) Analysis of dynamic connectedness relationships between cryptocurrency, NFT and DeFi assets: TVP-VAR approach, Applied Economics Letters, DOI: 10.1080/13504851.2023.2216437
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51
  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84. https://doi.org/10.3390/jrfm13040084
  • Antonakakis, N. & Gabauer, D. (2017). Refined measures of dynamic connectedness based on TVPVAR (MPRA Working Paper No. 78282). Retrieved from https://mpra.ub.uni-muenchen.de/78282/
  • Attarzadeh, A., & Balcilar, M. (2022). On the dynamic return and volatility connectedness of cryptocurrency, crude oil, clean energy, and stock markets: a time-varying analysis. Environmental Science and Pollution Research, 29(43), 65185-65196.
  • Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219.
  • Bilir, H., & Çay, Ş. (2016). Elektronik para ve finansal piyasalar arasındaki ilişki.Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 21-31.
  • Bhowmik, R., & Wang, S. (2020). Stock market volatility and return analysis: A systematic literature review. Entropy, 22(5), 522. MDPI AG. Retrieved from http://dx.doi.org/10.3390/e22050522
  • Cao, G., & Xie, W. (2022). Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach. Finance Research Letters, 49, 103070.
  • Dahir, A. M., Mahat, F., Amin Noordin, B. A., & Hisyam Ab Razak, N. (2020). Dynamic connectedness between Bitcoin and equity market information across BRICS countries: Evidence from TVP-VAR connectedness approach. International Journal of Managerial Finance, 16(3), 357-371.
  • Diebold, F. X. & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171. Doi: https://doi.org/10.1111/j.1468-0297.2008.02208.x
  • Diebold, F. X. ve Yılmaz, K. (2014). On the network topology of variance decompositions: measuring the connectedness of financial firms. Journal of econometrics, 182(1), 119-134. Doi: https://doi.org/10.1016/ j.jeconom.2014.04.012
  • Dizkırıcı, A. S., & Gökgöz, A. (2018). Kripto para birimleri ve Türkiye'de Bitcoin muhasebesi. Journal of Accounting, Finance and Auditing Studies,4(2), 92-105.
  • Doğan, M., Raikhan, S., Zhanar, N., & Gulbagda, B. (2023). Analysis of dynamic connectedness relationships among clean energy, carbon emission allowance, and BIST indexes. Sustainability, 15(7), 6025. https://doi.org/10.3390/su15076025
  • Dutta, S., Kayal, P., & Balasubramnaian, G. (2023). Volatility spillover and directionality in cryptocurrency and metal markets. Journal of Emerging Market Finance, 22(4), 464-485.
  • Elsayed, A. H., Gozgor, G., & Lau, C. K. M. (2022). Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. International Review of Financial Analysis, 81, 102069.
  • Elsayed, A. H., & Sousa, R. M. (2022). International monetary policy and cryptocurrency markets: dynamic and spillover effects. The European Journal of Finance, 1-21.
  • Gökgöz, H., & Kayahan, C. (2023). Bitcoin ile gelişmiş ve gelişmekte olan ülkeler arasındaki volatilite yayılım etkisinin TVP-VAR ile analizi. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 41 (1), 109-125.
  • Görmez, Y . & Budd, C. H. (2012). Electronic money free banking and some implications for central banking, Türkiye Cumhuriyet Merkez Bankası, Central Bank Review, 4(1), 67-105.
  • Ha, L. T. (2023). Interlinkages of cryptocurrency and stock markets during COVID-19 pandemic by applying a TVP-VAR extended joint connected approach. Journal of Economic Studies, 50(3), 407-428.
  • Ha, L.T., & Nham, N. T. H. (2022). An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis. Technological Forecasting and Social Change, 183, 121909.
  • Höl, A. Ö. (2023). Covid-19 döneminde Türkiye’de finansal varlıklar arasındaki volatilite yayılımı: TVP-VAR uygulaması. İktisadi İdari ve Siyasal Araştırmalar Dergisi (İKTİSAD), 8(21), 339-357.
  • Huang, J., Chen, B., Xu, Y., & Xia, X. (2023). Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. Finance Research Letters, 53, 103634.
  • Huang, J., Dong, X., Chen, J., & Zhong, M. (2022). Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework. International Review of Economics & Finance, 78, 433-445.
  • Jiang, S., Li, Y., Lu, Q., Wang, S., & Wei, Y. (2022). Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets. Research in International Business and Finance, 59, 101543.
  • Kahraman, İ. K., Küçükşahin, H., & Çağlak, H. (2019). Kripto para birimlerinin volatilite yapısı: GARCH modelleri karşılaştırması. Fiscaoeconomia 2:21-45.
  • Khemakhem, I., Bahloul, S., & Bouzgarrou, H. (2023). The Impact of Russia-Ukraine war on the volatility connectedness between commodities and financial assets: An asymmetric GARCH and Tvp-Var approach. Available at SSRN 4415634.
  • Koop, G., Leon-Gonzalez, R. & Strachan, R. W. (2009). On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33(4), 997-1017. Doi: https://doi.org/10.1016/ j.jedc.2008.11.003
  • Kuzu, S. (2019). Volatilite endeksi (VIX) ile BIST 100 arasındaki Johansen Eş-Bütünleşme ve frekans alanı nedensellik analizi. Electronic Turkish Studies, 14(1).479-493.
  • Liu, T., & Gong, X. (2020). Analyzing time-varying volatility spillovers between the crude oil markets using a new method. Energy Economics, 87, 104711.
  • Mishra, A. K., Arunachalam, V., Olson, D., & Patnaik, D. (2023). Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 82, 103490.
  • Naeem, M. A., Lucey, B. M., Karim, S., & Ghafoor, A. (2022). Do financial volatilities mitigate the risk of cryptocurrency indexes?. Finance Research Letters, 50, 103206.
  • Nakamoto, S. (2008).Bitcoin:APeer-to-PeerElectronicCashSystem.
  • Özdemir Höl, A., Akyıldırım, E., Kılıcaslan, Ş., & Çınar, K. (2022). Baltık kuru yük endeksi, petrol, altın, dolar, MSCI dünya endeksi arasındaki volatilite yayılımı. Ekonomi Politika ve Finans Araştırmaları Dergisi, 7(2), 386-406. https://doi.org/10.30784/epfad.1089836
  • Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58, 17-29.
  • Thanh, T. T., Ha, L. T., Huyen, N. T. T., & Ngoc, T. A. (2023). An Application of a TVP-VAR extended joint connected approach to investigate dynamic spillover interrelations of cryptocurrency and stock market in Vietnam. Journal of International Commerce, Economics and Policy, 14(01), 2250017.
  • Tuna, K. & İsabetli, İ. (2014). Finansal piyasalarda volatilite ve Bist‐100 örneği. Kocaeli Üniversitesi Sosyal Bilimler Dergisi, (27), 21-31. Retrieved from https://dergipark.org.tr/en/pub/kosbed/issue/25692/271136
  • Umar, Z., Jareño, F., & Escribano, A. (2021). Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. Resources Policy, 73, 102147.
  • Urom, C., Abid, I., Guesmi, K., & Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230-258.
  • Yousaf, I., Riaz, Y., & Goodell, J. W. (2023). Energy cryptocurrencies: Assessing connectedness with other asset classes. Finance Research Letters, 52, 103389.
  • Zhao, J., & Zhang, T. (2023). Exploring the time-varying dependence between Bitcoin and the global stock market: Evidence from a TVP-VAR approach. Finance Research Letters, 58, 104342.
There are 43 citations in total.

Details

Primary Language Turkish
Subjects Applied Macroeconometrics
Journal Section Research Articles
Authors

Burhan Erdoğan 0000-0002-6171-0554

Publication Date July 28, 2024
Submission Date November 30, 2023
Acceptance Date July 1, 2024
Published in Issue Year 2024 Volume: 14 Issue: 1

Cite

APA Erdoğan, B. (2024). Bitcoin, Petrol ile Borsalar Arasındaki Volatilite Analizi. İstatistik Araştırma Dergisi, 14(1), 19-35.