The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Binali Selman Eren; Mustafa Erek

doi:10.36484/liberal.662625

TR EN

The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Abstract

This paper aims to examine the relationship between Bitcoin and preeminent financial indicators using Copula-GARCH method. In the study, we use closing prices of Bitcoin and US 10-Year Bond Yield, Gold Spot US Dollar, US Dollar Index, S&P 500, FTSE 100 and NIKKEI 225. To our knowledge, our paper is the first to examine this issue empirically. Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators. These findings provide new information that will benefit policy makers, banks, financial investors, and risk managers in trading activities for both long-term and short-term strategies.

Keywords

bitcoin , copula-garch , financial markets

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

İşletme

Bölüm

Araştırma Makalesi

Yazarlar

Binali Selman Eren
Türkiye

Mustafa Erek ^*
Türkiye

Yayımlanma Tarihi

26 Haziran 2020

Gönderilme Tarihi

20 Aralık 2019

Kabul Tarihi

29 Haziran 2020

Yayımlandığı Sayı

Yıl 2020 Cilt: 25 Sayı: 98

DOI

https://doi.org/10.36484/liberal.662625

IZ

https://izlik.org/JA86GE42CM

APA

Eren, B. S., & Erek, M. (2020). The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach. Liberal Düşünce Dergisi, 25(98), 35-63. https://doi.org/10.36484/liberal.662625

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Waterfall: Salto Collazo. High-Level Design of Tokenomics

Advances in Science, Technology and Engineering Systems Journal

https://doi.org/10.25046/aj080326

The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Finansal Piyasalar ve Bitcoin Bağımlılığı: Copula-Garch Yaklaşımı

Öz

Anahtar Kelimeler

The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Abstract

Keywords

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster

Cited By

BORSA, FAİZ, DÖVİZ KURU, ALTIN, PETROL VE BİTCOİN ARASINDAKİ VOLATİLİTE YAYILIMLARI

Waterfall: Salto Collazo. High-Level Design of Tokenomics