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Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis

Yıl 2022, Cilt 17, Sayı 3, 911 - 933, 01.12.2022
https://doi.org/10.17153/oguiibf.1145664

Öz

This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators.

Kaynakça

  • Adekoya, O. B. and Oliyide, J. A. (2021), “How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques”, Resources Policy, Vol. 70, 101898.
  • Aydoğan, B., Vardar, G. and Taçoğlu, C. (2022), “Volatility spillovers among G7, E7 stock markets and cryptocurrencies”, Journal of Economic and Administrative Sciences.
  • Bouri, E., Das, M., Gupta, R. and Roubaud, D. (2018), “Spillovers between Bitcoin and other assets during bear and bull markets”, Applied Economics, Vol. 50 (55), pp. 5935-5949. https://doi.org/10.1080/00036846.2018.1488075
  • Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L. I. (2017a), “On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198. https://doi.org/10.1016/j.frl.2016.09.025
  • Bouri, E., Gupta, R., Tiwari, A. K. and Roubaud, D. (2017b), “Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions”, Finance Research Letters, Vol. 23 No. 4, pp.87-95. https://doi.org/10.1016/j.frl.2017.02.009
  • Ciaian, P. and Rajcaniova, M. (2018), “Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets”, Journal of International Financial Markets, Institutions and Money, Vol. 52, pp. 173-195.
  • Conlon, T., Corbet, S. and McGee, R. J. (2020), “Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic”, Research in International Business and Finance, Vol. 54, 101248.
  • Conlon, T. and McGee, R. (2020), “Safe haven or risky hazard? Bitcoin during the COVID-19 bear market”, Finance Research Letters, 35, 101607.
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L. (2018), “Exploring the dynamic relationships between cryptocurrencies and other financial assets”, Economics Letters, 165, pp. 28-34.
  • Dyhrberg, A. H. (2016), “Bitcoin, gold and the dollar–A GARCH volatility analysis”, Finance Research Letters, Vol. 16, pp. 85-92. https://doi.org/10.1016/j.frl.2015.10.008.
  • Engle R. F. and Kroner K. F. (1995), “Multivariate Simultaneous Generalized ARCH Econometric Theory”, Vol. 11, pp. 122-150.
  • Fasanya, I. O., Oyewole, O. and Odudu, T. (2021), “Returns and volatility spillovers among cryptocurrency portfolios”, International Journal of Managerial Finance, Vol. 17 No. 2, pp. 327-341.
  • Franc´es, C.J., Grau-Carles, P. and Arellano, D. J. (2018), “The cryptocurrency market: A network analysis”, Esic Market Economics and Business Journal, Vol. 49 No. 3, pp. 569-583.
  • Frankovic, J., Liu, B. and Suardi, S. (2021), “On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: evidence from Australia”, Global Finance Journal, 100642.
  • Fry, J., and Cheah, E. T. (2016), “Negative bubbles and shocks in cryptocurrency markets”, International Review of Financial Analysis, Vol. 47, pp. 343-352.
  • Ghorbel, A. and Jeribi, A. (2021), “Investigating the relationship between volatilities of cryptocurrencies and other financial assets”, Decisions in Economics and Finance, pp. 1-27. https://doi.org/10.1007/s10203-020-00312-9
  • Gil-Alana, L. A., Abakah, E. J. A., and Rojo, M. F. R. (2020), “Cryptocurrencies and stock market indices. Are they related?”, Research in International Business and Finance, Vol. 51, 101063.
  • Goodell, J. W. and Goutte, S. (2020), “Diversifying with cryptocurrencies during COVID-19”, Available at SSRN 3631971
  • Hu, B., McInish, T., Miller, J. and Zeng, L. (2019), “Intraday price behavior of cryptocurrencies”, Finance Research Letters, Vol. 28, pp. 337-342.
  • Ji, Q., Bouri, E., Roubaud, D. and Kristoufek, L., (2019), “Information interdependence among energy, cryptocurrency and major commodity markets”, Energy Economics, Vol. 81, pp. 1042-1055.
  • Ji, Q., Zhang, D., and Zhao, Y. (2020), “Searching for safe-haven assets during the COVID-19 pandemic”, International Review of Financial Analysis, Vol. 71, 101526.
  • Katsiampa, P., (2018a), “An empirical investigation of volatility dynamics in the cryptocurrency market”, Research in International Business and Finance, Vol. 50, pp. 322-335.
  • Katsiampa, P., (2018b), “Volatility co-movement between bitcoin and ether”, Finance Research Letter, Vol. 30, pp. 221-227. https://doi.org/10.1016/j.frl.2018.10.005.
  • Katsiampa, P., Corbet, S. and Lucey, B. (2019), “Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis”, Finance Research Letters, Vol. 29, pp. 68-74.
  • Klein, T., Thu, H. P. and Walther, T. (2018), “Bitcoin is not the New Gold–A comparison of volatility, correlation, and portfolio performance”, International Review of Financial Analysis, Vol. 59, pp. 105-116.
  • Koutmos, D., (2018), “Return and volatility spillovers among cryptocurrencies”, Economics Letter, Vol.173, pp. 122-127.
  • Kumar, A. S., and Anandarao, S. (2019), “Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis”, Physica A: Statistical Mechanics and its Applications, Vol. 524, pp. 448-458.
  • Lahmiri, S. and Bekiros, S. (2020), “The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets”, Chaos, Solitons and Fractals, Vol. 138, 109936.
  • Mokni, K. and Ajmi, A. N. (2021), “Cryptocurrencies vs. US dollar: Evidence from causality in quantiles analysis”, Economic Analysis and Policy, Vol. 69, pp. 238-252.
  • Moratis, G. (2021). Quantifying the spillover effect in the cryptocurrency market. Finance Research Letters, 38, 101534.
  • Naeem, M. A., Hasan, M., Arif, M. and Shahzad, S. J. H. (2020), “Can bitcoin glitter more than gold for investment styles?”, SAGE Open, Vol. 10 No. 2, 2158244020926508.
  • Okorie, D. I. and Lin, B. (2020), “Crude oil price and cryptocurrencies: evidence of volatility connectedness and hedging strategy”, Energy Economics, Vol. 87, 104703.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D. and Kristoufek, L. (2020), “Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin”, Economic Modelling, Vol. 87, pp. 212–224.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D. and Kristoufek, L. and Lucey, B. (2019), “Is Bitcoin a better safe-haven investment than gold and commodities?”, International Review of Financial Analysis, Vol. 63, pp. 322–330.
  • Smales, L. A. (2019), “Bitcoin as a safe haven: Is it even worth considering?”, Finance Research Letters, Vol. 30, pp. 385-393. https://doi.org/10.1016/j.frl.2018.11.002
  • Urquhart, A. and Zhang, H. (2019), “Is Bitcoin a hedge or safe haven for currencies? An intraday analysis”, International Review of Financial Analysis, Vol. 63, pp. 49-57. https://doi.org/10.1016/j.irfa.2019.02.009
  • Van de Klashorst, B.P. (2018), “Volatility Spillovers and Other Market Dynamics between Cryptocurrencies and the Equity Market”, Available from: https://www.semanticscholar.org/paper/Volatilityspillovers-and-other-market-dynamics-and-Klashorst/60f439cf42f b4f55ae3c55d513b873d0ae381ff2
  • Yi, S., Xu, Z. and Wang, G.-J., (2018), “Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?”, International Review of Financial Analysis, Vol. 60, pp. 98-114.

Önde Gelen Kriptopara Birimleri Arasında Getiri ve Oynaklık Yayılımlarının Ölçülmesi: VAR-BEKK-GARCH Analizi

Yıl 2022, Cilt 17, Sayı 3, 911 - 933, 01.12.2022
https://doi.org/10.17153/oguiibf.1145664

Öz

Bu çalışma sekiz ana kripto para birimlerinden Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano ve EOS arasındaki yayılma etkilerini VAR-BEKK-GARCH modeli ile araştırmaktadır. Çalışmanın sonuçları, kripto para birimleri arasında çift ve tek yönlü yayılma etkilerinin olduğuna işaret etmektedir. Ayrıca, sonuçlar bazı kripto para birimlerinin verici görevi görürken, bazılarının ise alıcı görevi gördüğünü ve analiz edilen kripto para birimleri arasında Litecoin'in en yüksek verici, Stellar'ın ise alıcı görevi gören tek kripto para birimi olduğunu göstermektedir. Kripto para birimlerinin birbirleriyle entegre olmaları aralarındaki bağımlılığı desteklemektedir ve bu sonuçlar yatırımcılar için yatırım stratejileri ve düzenleyiciler için politika çıkarımları sağlamalarına neden olmaktadır.

Kaynakça

  • Adekoya, O. B. and Oliyide, J. A. (2021), “How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques”, Resources Policy, Vol. 70, 101898.
  • Aydoğan, B., Vardar, G. and Taçoğlu, C. (2022), “Volatility spillovers among G7, E7 stock markets and cryptocurrencies”, Journal of Economic and Administrative Sciences.
  • Bouri, E., Das, M., Gupta, R. and Roubaud, D. (2018), “Spillovers between Bitcoin and other assets during bear and bull markets”, Applied Economics, Vol. 50 (55), pp. 5935-5949. https://doi.org/10.1080/00036846.2018.1488075
  • Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L. I. (2017a), “On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?”, Finance Research Letters, Vol. 20, pp. 192-198. https://doi.org/10.1016/j.frl.2016.09.025
  • Bouri, E., Gupta, R., Tiwari, A. K. and Roubaud, D. (2017b), “Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions”, Finance Research Letters, Vol. 23 No. 4, pp.87-95. https://doi.org/10.1016/j.frl.2017.02.009
  • Ciaian, P. and Rajcaniova, M. (2018), “Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets”, Journal of International Financial Markets, Institutions and Money, Vol. 52, pp. 173-195.
  • Conlon, T., Corbet, S. and McGee, R. J. (2020), “Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic”, Research in International Business and Finance, Vol. 54, 101248.
  • Conlon, T. and McGee, R. (2020), “Safe haven or risky hazard? Bitcoin during the COVID-19 bear market”, Finance Research Letters, 35, 101607.
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L. (2018), “Exploring the dynamic relationships between cryptocurrencies and other financial assets”, Economics Letters, 165, pp. 28-34.
  • Dyhrberg, A. H. (2016), “Bitcoin, gold and the dollar–A GARCH volatility analysis”, Finance Research Letters, Vol. 16, pp. 85-92. https://doi.org/10.1016/j.frl.2015.10.008.
  • Engle R. F. and Kroner K. F. (1995), “Multivariate Simultaneous Generalized ARCH Econometric Theory”, Vol. 11, pp. 122-150.
  • Fasanya, I. O., Oyewole, O. and Odudu, T. (2021), “Returns and volatility spillovers among cryptocurrency portfolios”, International Journal of Managerial Finance, Vol. 17 No. 2, pp. 327-341.
  • Franc´es, C.J., Grau-Carles, P. and Arellano, D. J. (2018), “The cryptocurrency market: A network analysis”, Esic Market Economics and Business Journal, Vol. 49 No. 3, pp. 569-583.
  • Frankovic, J., Liu, B. and Suardi, S. (2021), “On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: evidence from Australia”, Global Finance Journal, 100642.
  • Fry, J., and Cheah, E. T. (2016), “Negative bubbles and shocks in cryptocurrency markets”, International Review of Financial Analysis, Vol. 47, pp. 343-352.
  • Ghorbel, A. and Jeribi, A. (2021), “Investigating the relationship between volatilities of cryptocurrencies and other financial assets”, Decisions in Economics and Finance, pp. 1-27. https://doi.org/10.1007/s10203-020-00312-9
  • Gil-Alana, L. A., Abakah, E. J. A., and Rojo, M. F. R. (2020), “Cryptocurrencies and stock market indices. Are they related?”, Research in International Business and Finance, Vol. 51, 101063.
  • Goodell, J. W. and Goutte, S. (2020), “Diversifying with cryptocurrencies during COVID-19”, Available at SSRN 3631971
  • Hu, B., McInish, T., Miller, J. and Zeng, L. (2019), “Intraday price behavior of cryptocurrencies”, Finance Research Letters, Vol. 28, pp. 337-342.
  • Ji, Q., Bouri, E., Roubaud, D. and Kristoufek, L., (2019), “Information interdependence among energy, cryptocurrency and major commodity markets”, Energy Economics, Vol. 81, pp. 1042-1055.
  • Ji, Q., Zhang, D., and Zhao, Y. (2020), “Searching for safe-haven assets during the COVID-19 pandemic”, International Review of Financial Analysis, Vol. 71, 101526.
  • Katsiampa, P., (2018a), “An empirical investigation of volatility dynamics in the cryptocurrency market”, Research in International Business and Finance, Vol. 50, pp. 322-335.
  • Katsiampa, P., (2018b), “Volatility co-movement between bitcoin and ether”, Finance Research Letter, Vol. 30, pp. 221-227. https://doi.org/10.1016/j.frl.2018.10.005.
  • Katsiampa, P., Corbet, S. and Lucey, B. (2019), “Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis”, Finance Research Letters, Vol. 29, pp. 68-74.
  • Klein, T., Thu, H. P. and Walther, T. (2018), “Bitcoin is not the New Gold–A comparison of volatility, correlation, and portfolio performance”, International Review of Financial Analysis, Vol. 59, pp. 105-116.
  • Koutmos, D., (2018), “Return and volatility spillovers among cryptocurrencies”, Economics Letter, Vol.173, pp. 122-127.
  • Kumar, A. S., and Anandarao, S. (2019), “Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis”, Physica A: Statistical Mechanics and its Applications, Vol. 524, pp. 448-458.
  • Lahmiri, S. and Bekiros, S. (2020), “The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets”, Chaos, Solitons and Fractals, Vol. 138, 109936.
  • Mokni, K. and Ajmi, A. N. (2021), “Cryptocurrencies vs. US dollar: Evidence from causality in quantiles analysis”, Economic Analysis and Policy, Vol. 69, pp. 238-252.
  • Moratis, G. (2021). Quantifying the spillover effect in the cryptocurrency market. Finance Research Letters, 38, 101534.
  • Naeem, M. A., Hasan, M., Arif, M. and Shahzad, S. J. H. (2020), “Can bitcoin glitter more than gold for investment styles?”, SAGE Open, Vol. 10 No. 2, 2158244020926508.
  • Okorie, D. I. and Lin, B. (2020), “Crude oil price and cryptocurrencies: evidence of volatility connectedness and hedging strategy”, Energy Economics, Vol. 87, 104703.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D. and Kristoufek, L. (2020), “Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin”, Economic Modelling, Vol. 87, pp. 212–224.
  • Shahzad, S. J. H., Bouri, E., Roubaud, D. and Kristoufek, L. and Lucey, B. (2019), “Is Bitcoin a better safe-haven investment than gold and commodities?”, International Review of Financial Analysis, Vol. 63, pp. 322–330.
  • Smales, L. A. (2019), “Bitcoin as a safe haven: Is it even worth considering?”, Finance Research Letters, Vol. 30, pp. 385-393. https://doi.org/10.1016/j.frl.2018.11.002
  • Urquhart, A. and Zhang, H. (2019), “Is Bitcoin a hedge or safe haven for currencies? An intraday analysis”, International Review of Financial Analysis, Vol. 63, pp. 49-57. https://doi.org/10.1016/j.irfa.2019.02.009
  • Van de Klashorst, B.P. (2018), “Volatility Spillovers and Other Market Dynamics between Cryptocurrencies and the Equity Market”, Available from: https://www.semanticscholar.org/paper/Volatilityspillovers-and-other-market-dynamics-and-Klashorst/60f439cf42f b4f55ae3c55d513b873d0ae381ff2
  • Yi, S., Xu, Z. and Wang, G.-J., (2018), “Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?”, International Review of Financial Analysis, Vol. 60, pp. 98-114.

Ayrıntılar

Birincil Dil İngilizce
Konular Sosyal
Bölüm Makaleler
Yazarlar

Gülin VARDAR>
IZMIR UNIVERSITY OF ECONOMICS
0000-0001-5458-9568
Türkiye


Caner TAÇOĞLU>
IZMIR UNIVERSITY OF ECONOMICS
0000-0001-7489-1318
Türkiye


Berna AYDOĞAN> (Sorumlu Yazar)
IZMIR UNIVERSITY OF ECONOMICS
0000-0002-5232-597X
Türkiye

Yayımlanma Tarihi 1 Aralık 2022
Gönderilme Tarihi 21 Temmuz 2022
Kabul Tarihi 2 Kasım 2022
Yayınlandığı Sayı Yıl 2022, Cilt 17, Sayı 3

Kaynak Göster

APA Vardar, G. , Taçoğlu, C. & Aydoğan, B. (2022). Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 17 (3) , 911-933 . DOI: 10.17153/oguiibf.1145664