INTERNATIONAL CAPITAL FLOWS AND THE CRYPTOCURRENCY EFFECT

Year 2021, Volume: 13 Issue: 24, 16 - 35, 31.01.2021

Murat Akbalık , Nicholas Apergıs Melis Zeren Ömer Sarıgül

https://doi.org/10.14784/marufacd.879164

Abstract

Bu makale, 132 ülkeden oluşan küresel bir panelde ve Asya, Avrupa Birliği (AB), Amerika gibi farklı bölgelerdeki AR (1) – CGARCH modelinin metodolojisi aracılığıyla Bitcoin dalgalanmasının uluslararası sermaye girişleri üzerindeki etkisini araştırmaktadır. Bulgular, Bitcoin dalgalanmasının küresel uluslararası sermaye girişlerinin yanı sıra Amerika ve Asya vakalarında güçlü bir etkisi olduğunu belgeliyor. Ancak sonuçlar, AB ve Afrika ülkelerinin durumları için istatistiksel olarak önemsiz bir etkiyi gösteriyor.

Keywords

Uluslararası sermaye akışları, Bitcoin getirisi, AR(1)-CGARCH modellemsi

INTERNATIONAL CAPITAL FLOWS AND THE CRYPTOCURRENCY EFFECT

Abstract

The paper investigates the impact of Bitcoin volatility on international capital inflows through the methodology
of an AR(1)-CGARCH model across a global panel of 132 countries, as well as across different regions, i.e.
Asia, European Union (EU), America (including the US, Canada and Latin American countries), and Africa.
The findings document that there is a strong impact of Bitcoin volatility on global international capital inflows,
as well as in the cases of the American and Asian cases. However, the results document a statistically insignificant
effect for the cases of the EU and African countries.

Keywords

International capital inflows, Bitcoin returns, AR(1)-CGARCH modelling

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