Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey
Yıl: 2022 Cilt: 0 Sayı: 93 Sayfa Aralığı: 117 - 126 Metin Dili: İngilizce DOI: 10.25095/mufad.1024160 İndeks Tarihi: 09-06-2022
Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey
Öz: The aim of the study investigates the return and volatility spillovers and conditional
correlations between Borsa Istanbul Stock Exchange 100 Index (BIST100) and Bitcoin (BTC),
Ethereum (ETH), Ripple (XRP), and Litecoin (LTH) using daily data for the period between August
07, 2015 and May 20, 2021 with VAR-DCC-GARCH model. We find no bidirectional return spillovers
between BIST100 and cryptocurrencies. In line with the volatility spillover results of the study, it has
been determined that there is a unidirectional shock transmission from BIST100 to BTC, XRP and
LTH, and a unidirectional volatility spillover from BIST100 to BTC and ETH. Also, in the study, it has
been determined that the dynamic conditional correlations between BIST100 and four
cryptocurrencies have a highly variable over time and their average is very close to zero. However, in
possible panic periods, the situation is reversed.
Anahtar Kelime: Kripto Para ve Borsalar Arasında Getiri ve Oynaklık Yayılımı: Türkiye'den Kanıtlar
Öz: Çalışmanın amacı, 07.08.2015-20.05.2021 tarihleri arasında günlük verileri kullanarak
Borsa Istanbul Stock Exchange 100 Index (BIST100) ve Bitcoin (BTC), Ethereum (ETH),
Ripple (XRP) ile Litecoin (LTH) arasındaki getiri ve oynaklık dinamikleri ile koşullu
korelasyonları VAR-DCC-GARCH modeli ile araştırmaktadır. Çalışmada, BIST100 ile kripto
para birimleri arasında her iki yönlü herhangi bir getiri yayılımı tespit edilmemiştir.
Çalışmanın oynaklık yayılım sonuçları doğrultusunda, BIST100’den BTC’ye, XRP’ye ve
LTH’a doğru tek yönlü şok iletimi olduğu ve BIST100’den BTC’ye ve ETH’a doğru tek yönlü
oynaklık aktarımı olduğu tespit edilmiştir. Ayrıca çalışmada, BIST100 ile dört kripto para
birimi arasındaki dinamik koşullu korelasyonların zaman içinde oldukça değişken bir yapıda
olduğu ve ortalamasının sıfıra oldukça yakın olduğu tespit edilmiştir. Ancak olası panik
dönemlerinde durum tersine dönmektedir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Ustaoglu E (2022). Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. , 117 - 126. 10.25095/mufad.1024160 |
| Chicago | Ustaoglu Erkan Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. (2022): 117 - 126. 10.25095/mufad.1024160 |
| MLA | Ustaoglu Erkan Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. , 2022, ss.117 - 126. 10.25095/mufad.1024160 |
| AMA | Ustaoglu E Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. . 2022; 117 - 126. 10.25095/mufad.1024160 |
| Vancouver | Ustaoglu E Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. . 2022; 117 - 126. 10.25095/mufad.1024160 |
| IEEE | Ustaoglu E "Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey." , ss.117 - 126, 2022. 10.25095/mufad.1024160 |
| ISNAD | Ustaoglu, Erkan. "Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey". (2022), 117-126. https://doi.org/10.25095/mufad.1024160 |
| APA | Ustaoglu E (2022). Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi, 0(93), 117 - 126. 10.25095/mufad.1024160 |
| Chicago | Ustaoglu Erkan Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi 0, no.93 (2022): 117 - 126. 10.25095/mufad.1024160 |
| MLA | Ustaoglu Erkan Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi, vol.0, no.93, 2022, ss.117 - 126. 10.25095/mufad.1024160 |
| AMA | Ustaoglu E Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi. 2022; 0(93): 117 - 126. 10.25095/mufad.1024160 |
| Vancouver | Ustaoglu E Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey. Muhasebe ve Finansman Dergisi. 2022; 0(93): 117 - 126. 10.25095/mufad.1024160 |
| IEEE | Ustaoglu E "Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey." Muhasebe ve Finansman Dergisi, 0, ss.117 - 126, 2022. 10.25095/mufad.1024160 |
| ISNAD | Ustaoglu, Erkan. "Return and Volatility Spillover Between Cryptocurrency and Stock Markets: Evidence from Turkey". Muhasebe ve Finansman Dergisi 93 (2022), 117-126. https://doi.org/10.25095/mufad.1024160 |
