Hisse Senedi Getirileri, Bitcoin Getirileri ve Riskten Kaçınma Arasındaki İlişki: Çok Değişkenli Bir GARCH Modelinden Kanıtlar

Year 2021, Volume: 29 Issue: 47, 107 - 118, 25.01.2021

Ayşen Sivrikaya Perihan İren Tolga Umay

https://doi.org/10.17233/sosyoekonomi.2021.01.05

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.

Keywords

Çok Değişkenli GARCH-M, Dow Jones Hisse Senedi Getirisi, Bitcoin Getirisi, Belirsizlik, Volatilite, Dünya Riskten Kaçınma Endeksi, Dünya Makroekonomik Belirsizlik Endeksi

The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model

Abstract

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.

Keywords

Multivariate GARCH-M, US Stock Price Return, Bitcoin Price Return, Uncertainty, Volatility, World Risk Aversion Index, World Macro Uncertainty Index

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