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Kripto Para ve Borsalar Arasında Getiri ve Oynaklık Yayılımı: Türkiye'den Kanıtlar

Year 2022, Issue: 93, 117 - 126, 17.01.2022
https://doi.org/10.25095/mufad.1024160

Abstract

Çalışmanın amacı, 07.08.2015-20.05.2021 tarihleri arasında günlük verileri kullanarak
Borsa Istanbul Stock Exchange 100 Index (BIST100) ve Bitcoin (BTC), Ethereum (ETH),
Ripple (XRP) ile Litecoin (LTH) arasındaki getiri ve oynaklık dinamikleri ile koşullu
korelasyonları VAR-DCC-GARCH modeli ile araştırmaktadır. Çalışmada, BIST100 ile kripto
para birimleri arasında her iki yönlü herhangi bir getiri yayılımı tespit edilmemiştir.
Çalışmanın oynaklık yayılım sonuçları doğrultusunda, BIST100’den BTC’ye, XRP’ye ve
LTH’a doğru tek yönlü şok iletimi olduğu ve BIST100’den BTC’ye ve ETH’a doğru tek yönlü
oynaklık aktarımı olduğu tespit edilmiştir. Ayrıca çalışmada, BIST100 ile dört kripto para
birimi arasındaki dinamik koşullu korelasyonların zaman içinde oldukça değişken bir yapıda
olduğu ve ortalamasının sıfıra oldukça yakın olduğu tespit edilmiştir. Ancak olası panik
dönemlerinde durum tersine dönmektedir.

References

  • Akhtaruzzaman, Md – Sensoy, Ahmet – Corbet, Shaen (2020), “The Influence of Bitcoin on Portfolio Diversification and Design”, Finance Research Letters, 37, 101344, pp. 1-8. https://doi.org/10.1016/j.frl.2019.101344.
  • Chang, Chia-Lin – McAleer, Michael – Tansuchat, Roengchai (2011), “Crude Oil Hedging Strategies Using Dynamic Multivariate Garch”, Energy Economics, 33(5), pp. 912-923. https://doi.org/10.1016/j.eneco.2011.01.009.
  • Charfeddine, Lanouar – Benlagha, Noureddine – Maouchi, Youcef (2020), “Investigating the Dynamic Relationship between Cryptocurrencies and Conventional Assets: Implications for Financial Investors”, Economic Modelling, 85, pp. 198-217. https://doi.org/10.1016/j.econmod.2019.05.016.
  • Conrad, Christian – Custovic, Anessa – Ghysels, Eric (2018), “Long-and Short-Term Cryptocurrency Volatility Components: A Garch-Midas Analysis”, Journal of Risk and Financial Management, 11(2), 23. https://doi.org/10.3390/jrfm11020023.
  • Engle, Robert (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models” Journal of Business & Economic Statistics, 20(3), pp. 339-350. https://doi.org/10.1198/073500102288618487.
  • Guesmi, Khaled – Saadi, Samir – Abid, Ilyes – Zied Ftiti (2019), “Portfolio Diversification with Virtual Currency: Evidence from Bitcoin”, International Review of Financial Analysis, 63, pp. 431-437. https://doi.org/10.1016/j.irfa.2018.03.004.
  • Klein, Tony – Thu, Hien Pham – Walther, Thomas (2018), “Bitcoin Is Not the New Gold–a Comparison of Volatility, Correlation, and Portfolio Performance”, International Review of Financial Analysis, 59, pp. 105-116. https://doi.org/10.1016/j.irfa.2018.07.010.
  • Ling, Shiqing – McAleer, Michael (2003), “Asymptotic Theory for a Vector Arma-Garch Model”, Econometric Theory, 19(2), pp. 280-310. https://doi.org/10.1017/S0266466603192092.
  • Liu, Jinan – Serletis, Apostolos (2019), “Volatility in the Cryptocurrency Market”, Open Economies Review, 30(4), pp. 779-811. https://doi.org/10.1007/s11079-019-09547-5.
  • Mariana, Christy Dwita – Ekaputra, Irwan Adi – Husodo, Zaäfri Ananto (2021), “Are Bitcoin and Ethereum Safe-Havens for Stocks During the Covid-19 Pandemic?”, Finance Research Letters, 38, 101798, pp.1-7. https://doi.org/10.1016/j.frl.2020.101798.
  • Nakamoto, Satoshi (2008), “Bitcoin: A Peer-to-Peer Electronic Cash System”, Decentralized Business Review , 21260. https://doi.org/10.1.1.221.9986.
  • Sadorsky, Perry (2012), “Correlations and Volatility Spillovers between Oil Prices and the Stock Prices of Clean Energy and Technology Companies”, Energy Economics, 34(1), pp. 248-255. https://doi.org/10.1016/j.eneco.2011.03.006.
  • Uzonwanne, Godfrey (2021), “Volatility and Return Spillovers between Stock Markets and Cryptocurrencies”, The Quarterly Review of Economics and Finance, 82, pp. 30-36. https://doi.org/10.1016/j.qref.2021.06.018.
  • Yousaf, Imran – Ali, Shoaib – Bouri, Elie – Saeed, Tareq (2021), “Information Transmission and Hedging Effectiveness for the Pairs Crude Oil-Gold and Crude Oil-Bitcoin During the Covid-19 Outbreak”, Economic Research-Ekonomska Istraživanja, pp. 1-22. https://doi.org/10.1080/1331677X.2021.1927787

Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey

Year 2022, Issue: 93, 117 - 126, 17.01.2022
https://doi.org/10.25095/mufad.1024160

Abstract

The aim of the study investigates the return and volatility spillovers and conditional
correlations between Borsa Istanbul Stock Exchange 100 Index (BIST100) and Bitcoin (BTC),
Ethereum (ETH), Ripple (XRP), and Litecoin (LTH) using daily data for the period between August
07, 2015 and May 20, 2021 with VAR-DCC-GARCH model. We find no bidirectional return spillovers
between BIST100 and cryptocurrencies. In line with the volatility spillover results of the study, it has
been determined that there is a unidirectional shock transmission from BIST100 to BTC, XRP and
LTH, and a unidirectional volatility spillover from BIST100 to BTC and ETH. Also, in the study, it has
been determined that the dynamic conditional correlations between BIST100 and four
cryptocurrencies have a highly variable over time and their average is very close to zero. However, in
possible panic periods, the situation is reversed

References

  • Akhtaruzzaman, Md – Sensoy, Ahmet – Corbet, Shaen (2020), “The Influence of Bitcoin on Portfolio Diversification and Design”, Finance Research Letters, 37, 101344, pp. 1-8. https://doi.org/10.1016/j.frl.2019.101344.
  • Chang, Chia-Lin – McAleer, Michael – Tansuchat, Roengchai (2011), “Crude Oil Hedging Strategies Using Dynamic Multivariate Garch”, Energy Economics, 33(5), pp. 912-923. https://doi.org/10.1016/j.eneco.2011.01.009.
  • Charfeddine, Lanouar – Benlagha, Noureddine – Maouchi, Youcef (2020), “Investigating the Dynamic Relationship between Cryptocurrencies and Conventional Assets: Implications for Financial Investors”, Economic Modelling, 85, pp. 198-217. https://doi.org/10.1016/j.econmod.2019.05.016.
  • Conrad, Christian – Custovic, Anessa – Ghysels, Eric (2018), “Long-and Short-Term Cryptocurrency Volatility Components: A Garch-Midas Analysis”, Journal of Risk and Financial Management, 11(2), 23. https://doi.org/10.3390/jrfm11020023.
  • Engle, Robert (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models” Journal of Business & Economic Statistics, 20(3), pp. 339-350. https://doi.org/10.1198/073500102288618487.
  • Guesmi, Khaled – Saadi, Samir – Abid, Ilyes – Zied Ftiti (2019), “Portfolio Diversification with Virtual Currency: Evidence from Bitcoin”, International Review of Financial Analysis, 63, pp. 431-437. https://doi.org/10.1016/j.irfa.2018.03.004.
  • Klein, Tony – Thu, Hien Pham – Walther, Thomas (2018), “Bitcoin Is Not the New Gold–a Comparison of Volatility, Correlation, and Portfolio Performance”, International Review of Financial Analysis, 59, pp. 105-116. https://doi.org/10.1016/j.irfa.2018.07.010.
  • Ling, Shiqing – McAleer, Michael (2003), “Asymptotic Theory for a Vector Arma-Garch Model”, Econometric Theory, 19(2), pp. 280-310. https://doi.org/10.1017/S0266466603192092.
  • Liu, Jinan – Serletis, Apostolos (2019), “Volatility in the Cryptocurrency Market”, Open Economies Review, 30(4), pp. 779-811. https://doi.org/10.1007/s11079-019-09547-5.
  • Mariana, Christy Dwita – Ekaputra, Irwan Adi – Husodo, Zaäfri Ananto (2021), “Are Bitcoin and Ethereum Safe-Havens for Stocks During the Covid-19 Pandemic?”, Finance Research Letters, 38, 101798, pp.1-7. https://doi.org/10.1016/j.frl.2020.101798.
  • Nakamoto, Satoshi (2008), “Bitcoin: A Peer-to-Peer Electronic Cash System”, Decentralized Business Review , 21260. https://doi.org/10.1.1.221.9986.
  • Sadorsky, Perry (2012), “Correlations and Volatility Spillovers between Oil Prices and the Stock Prices of Clean Energy and Technology Companies”, Energy Economics, 34(1), pp. 248-255. https://doi.org/10.1016/j.eneco.2011.03.006.
  • Uzonwanne, Godfrey (2021), “Volatility and Return Spillovers between Stock Markets and Cryptocurrencies”, The Quarterly Review of Economics and Finance, 82, pp. 30-36. https://doi.org/10.1016/j.qref.2021.06.018.
  • Yousaf, Imran – Ali, Shoaib – Bouri, Elie – Saeed, Tareq (2021), “Information Transmission and Hedging Effectiveness for the Pairs Crude Oil-Gold and Crude Oil-Bitcoin During the Covid-19 Outbreak”, Economic Research-Ekonomska Istraživanja, pp. 1-22. https://doi.org/10.1080/1331677X.2021.1927787
There are 14 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Erkan Ustaoğlu 0000-0002-4932-356X

Publication Date January 17, 2022
Submission Date November 15, 2021
Published in Issue Year 2022 Issue: 93

Cite

APA Ustaoğlu, E. (2022). Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe Ve Finansman Dergisi(93), 117-126. https://doi.org/10.25095/mufad.1024160
AMA Ustaoğlu E. Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi. January 2022;(93):117-126. doi:10.25095/mufad.1024160
Chicago Ustaoğlu, Erkan. “Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey”. Muhasebe Ve Finansman Dergisi, no. 93 (January 2022): 117-26. https://doi.org/10.25095/mufad.1024160.
EndNote Ustaoğlu E (January 1, 2022) Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi 93 117–126.
IEEE E. Ustaoğlu, “Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey”, Muhasebe ve Finansman Dergisi, no. 93, pp. 117–126, January 2022, doi: 10.25095/mufad.1024160.
ISNAD Ustaoğlu, Erkan. “Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey”. Muhasebe ve Finansman Dergisi 93 (January 2022), 117-126. https://doi.org/10.25095/mufad.1024160.
JAMA Ustaoğlu E. Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi. 2022;:117–126.
MLA Ustaoğlu, Erkan. “Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey”. Muhasebe Ve Finansman Dergisi, no. 93, 2022, pp. 117-26, doi:10.25095/mufad.1024160.
Vancouver Ustaoğlu E. Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi. 2022(93):117-26.