Cryptocurrency Interdependencies and COVID-19: The Diebold-Yilmaz and the Frequency Connectedness Approaches

Yıl 2022, Cilt: 30 Sayı: 51, 283 - 300, 31.01.2022

Onur Polat , Gözde Eş Polat

https://doi.org/10.17233/sosyoekonomi.2022.01.14

Cited By: 1

Öz

It is well-known that financial connectedness tends to surge during financial/geopolitical turmoils. To this end, this study examines the impact of the COVID-19 pandemic on cryptocurrency connectedness by employing the Diebold-Yilmaz and the frequency connectedness approaches. Total spillover indexes estimated by both methodologies create proper signs to the 2017/2018 cryptocurrency bubble and gradually escalate around March 2020, which coincides with the WHO's official announcement of the COVID-19. The study contributes to the literature by gauging the COVID-19 connectedness among eight major cryptocurrencies on different frequency bands and 200-day moving windows by employing two novel methodologies.

Anahtar Kelimeler

COVID-19, Cryptocurrency, Diebold-Yilmaz Connectedness, Frequency Connectedness

Kriptopara Bağlantılılığı ve COVID-19: Diebold-Yılmaz ve Frekans Bağlantılılığı Yöntemleri

Öz

Finansal/jeopolitik karmaşa dönemlerinde finansal bağlantılılığın yükselme eğiliminde olduğu bilinmektedir. Bu bağlamda çalışma, COVID-19 küresel salgınının finansal sistemin önemli bir bileşeni olan kriptopara piyasası bağlantılılığına olan etkisini Diebold-Yilmaz ve frekans bağlantılılığı yöntemleriyle 02/10/2017-03/01/2021 döneminde incelemektedir. Her iki yöntemle de elde edilen toplam yayılma endeksleri, 2017/2018 kriptopara piyasası balonuna anlamlı bir şekilde tepki vermekte ve yazınla uyumlu olarak COVID-19’un DSÖ tarafından resmi olarak küresel salgın ilan edildiği 2020 Mart döneminde anlamlı bir seviyeye yükselmektedirler. Çalışma en yüksek piyasa işlem hacmine sahip 8 kriptopara arasındaki COVID-19 dönemi bağlantılılığını farklı frekanslarda ve 200-günlük kayan pencerelerde iki yeni metodoloji ile ölçerek literatüre katkı sunmaktadır.

Anahtar Kelimeler

COVID-19, Kriptopara, Diebold-Yılmaz Bağlantılılığı, Frekans Bağlantılılığı

Kaynakça

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