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Year 2021, Volume 29 , Issue 47, Pages 107 - 118 2021-01-25

Hisse Senedi Getirileri, Bitcoin Getirileri ve Riskten Kaçınma Arasındaki İlişki: Çok Değişkenli Bir GARCH Modelinden Kanıtlar
The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model

Ayşen SİVRİKAYA [1] , Perihan İREN [2] , Tolga UMAY [3]

Abstract

Bu çalışma, çok değişkenli bir GARCH modeli kullanarak ABD Dow Jones Borsasında işlem gören hisse senedi getirileri, Bitcoin getirileri ve bunların belirsizlikleri arasındaki ilişkileri araştırmaktadır. Özellikle, yüksek ve düşük olmak üzere farklı risk iştahının ve getirilerde belirsizliğin yüksek olduğu dönemlerde Bitcoin ve ABD hisse senedi getirilerinin verdiği tepkileri karşılaştırmaktadır. Sonuçlar, Bitcoin getirisinin riskten kaçınılan veya yüksek belirsizliğin olduğu dönemlerde hisse senedi gibi tepki verdiğini, ancak iki getiri arasındaki ilişkinin sürdürülebilir olmadığını göstermektedir. Öte yandan, ABD borsa yatırımcıları tüm örneklem dönemi boyunca riskten kaçınma davranışını gösterirken, Bitcoin yatırımcıları aynı davranışı göstermemektedir.
This study explores the relationship between the U.S. stock returns, Bitcoin returns and their uncertainties by using a multivariate GARCH model. Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites. The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable. Moreover, the U.S. stock market investors are found to be risk averse throughout the entire sample period while Bitcoin investors are not.

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Details

Primary Language en
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0003-2199-3593
Author: Ayşen SİVRİKAYA (Primary Author)
Institution: HACETTEPE ÜNİVERSİTESİ
Country: Turkey

Orcid: 0000-0002-5631-4135
Author: Perihan İREN
Institution: Zayed University
Country: United Arab Emirates

Orcid: 0000-0003-0263-2258
Author: Tolga UMAY
Institution: ATILIM UNIVERSITY
Country: Turkey
Dates

Publication Date : January 25, 2021

Cite

Bibtex @research article { sosyoekonomi737427, journal = {Sosyoekonomi}, issn = {1305-5577}, address = {}, publisher = {Sosyoekonomi Society}, year = {2021}, volume = {29}, pages = {107 - 118}, doi = {10.17233/sosyoekonomi.2021.01.05}, title = {The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model}, key = {cite}, author = {Sivrikaya, Ayşen and İren, Perihan and Umay, Tolga} }
APA Sivrikaya, A , İren, P , Umay, T . (2021). The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model . Sosyoekonomi , 29 (47) , 107-118 . DOI: 10.17233/sosyoekonomi.2021.01.05
MLA Sivrikaya, A , İren, P , Umay, T . "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model" . Sosyoekonomi 29 (2021 ): 107-118 <https://dergipark.org.tr/en/pub/sosyoekonomi/issue/59997/737427>
Chicago Sivrikaya, A , İren, P , Umay, T . "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model". Sosyoekonomi 29 (2021 ): 107-118
RIS TY - JOUR T1 - The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model AU - Ayşen Sivrikaya , Perihan İren , Tolga Umay Y1 - 2021 PY - 2021 N1 - doi: 10.17233/sosyoekonomi.2021.01.05 DO - 10.17233/sosyoekonomi.2021.01.05 T2 - Sosyoekonomi JF - Journal JO - JOR SP - 107 EP - 118 VL - 29 IS - 47 SN - 1305-5577- M3 - doi: 10.17233/sosyoekonomi.2021.01.05 UR - https://doi.org/10.17233/sosyoekonomi.2021.01.05 Y2 - 2020 ER -
EndNote %0 Sosyoekonomi The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model %A Ayşen Sivrikaya , Perihan İren , Tolga Umay %T The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model %D 2021 %J Sosyoekonomi %P 1305-5577- %V 29 %N 47 %R doi: 10.17233/sosyoekonomi.2021.01.05 %U 10.17233/sosyoekonomi.2021.01.05
ISNAD Sivrikaya, Ayşen , İren, Perihan , Umay, Tolga . "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model". Sosyoekonomi 29 / 47 (January 2021): 107-118 . https://doi.org/10.17233/sosyoekonomi.2021.01.05
AMA Sivrikaya A , İren P , Umay T . The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi. 2021; 29(47): 107-118.
Vancouver Sivrikaya A , İren P , Umay T . The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi. 2021; 29(47): 107-118.
IEEE A. Sivrikaya , P. İren and T. Umay , "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model", Sosyoekonomi, vol. 29, no. 47, pp. 107-118, Jan. 2021, doi:10.17233/sosyoekonomi.2021.01.05
Authors of the Article
Ayşen SİVRİKAYA [1]
Perihan İREN [2]
Tolga UMAY [3]
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