Research Article
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The Analysis of Volatility Spillover Effect between Bitcoin and Developed and Developing Countries via The TVP-VAR

Year 2023, Volume: 41 Issue: 1, 109 - 125, 29.03.2023

Halilibrahim Gökgöz , Cantürk Kayahan

https://doi.org/10.17065/huniibf.1098448
Cited By: 3

Abstract

This study is aimed to examine the volatility spillover effect between Bitcoin and the stock markets of developed and developing countries and to evaluate the findings in the context of global events affecting financial markets. For this purpose, time varying parameter vector autoregressive (TVP-VAR) model was applied to the daily data of Bitcoin, MSCI USA, MSCI Europe, and MSCI emerging markets index for the period 03.01.2017-25.03.2022. As a result of the application, it has been observed that Bitcoin is a net volatility receiver against MSCI USA and MSC Europe and a net volatility transmitter against MSCI emerging markets. MSCI USA is a net volatility emitter, and MSCI emerging markets is a net volatility receiver. It has also been observed that Bitcoin is weakly connected to developed and emerging markets. The findings showed that global events affect the whole world during periods of extreme increase-decrease in volatility spillover.

Keywords

Bitcoin Volatility Spillover Financial Markets TVP-VAR

References

  • Aharon, D. Y., & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters 31, 415-424. https://doi.org/10.1016/j.frl.2018.12.004
  • Al Janabi, M. A., Ferrer, R., & Shahzad, S. J. H. (2019). Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach. Physica A: Statistical Mechanics and its Applications 536, 122579. https://doi.org/10.1016/j.physa.2019.122579
  • Antonakakis, N., & Gabauer, D. (2017). Refined measures of dynamic connectedness based on TVP-VAR. MPRA Paper 78282, University Library of Munich, Germany.
  • Aslanidis, N., Bariviera, A. F., & Martinez-Ibanez, O. (2019). An analysis of cryptocurrencies conditional cross correlations. Finance Research Letters, 31, 130-137. https://doi.org/10.1016/j.frl.2019.04.019
  • Bouoiyour, J., & Selmi, R. (2015). What does Bitcoin look like? Annals of Economics and Finance, 16 (2), 449-492. https://doi.org/10.13140/2.1.2839.8089
  • Baur, D. K., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar: A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012
  • Baur, D.G. , & Lucey, B.M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45, 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Bouri, E., Molnar, P., Azzi , G., Roubaud, D., & Hagfors , L. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. http://dx.doi.org/10.1016/j.frl.2016.09.025
  • Bouri, E., Shahzad, S. J., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156-164. https://doi.org/10.1016/j.qref.2020.03.004
  • Bri`ere, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with Bitcoin. Journal of Asset Management, 16, 365–373. http://dx.doi.org/10.2139/ssrn.2324780
  • Chan, W. H., Le, M., & Wu, W. Y. (2019). Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. The Quarterly Review of Economics and Finance, 71, 107-113. https://doi.org/10.1016/j.qref.2018.07.004
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. https://doi.org/10.1016/j.econlet.2018.01.004
  • Diebold, F. X., & Yılmaz, K. (2012). Better to Give than to Receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28 (1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Dyhrberg, A. H. (2016). Bitcoin, Gold and the Dollar – A GARCH Volatility. Finance Research Letters, 16, 85-92. http://dx.doi.org/10.1016/j.frl.2015.10.008
  • Eisl, A., Gasser, S., & Weinmayer, K. (2015). Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? http://dx.doi.org/10.2139/ssrn.2408997
  • Elsayed, A. H., Gozgor, G., & Lau, C. K. M. (2022). Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. International Review of Financial Analysis, 81, 102069. https://doi.org/10.1016/j.irfa.2022.102069
  • Fang, T., Sub, Z., & Yin, L. (2020). Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. International Review of Financial Analysis, 71, 101566. https://doi.org/10.1016/j.irfa.2020.101566
  • Georgoula, I., Pournarakis, D., Bilanakos, C., Sotiropoulos, D., & Giaglis, G. (2015). Using time-series and sentiment analysis to detect the determinants of Bitcoin prices. Working Paper. Retrieved from http://dx.doi.org/10.2139/ssrn.2607167
  • Gil-Alana, L. A., Abakah, E. J. A., & Rojo, M. F. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51, 101063. https://doi.org/10.1016/j.ribaf.2019.101063
  • Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio Diversification with virtual currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437. https://doi.org/10.1016/j.irfa.2018.03.004
  • Ji, Q., Bouri, E., Gupta, R., & Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. Quarterly Review of Economics and Finance, 70, 203-213. https://doi.org/10.1016/j.qref.2018.05.016
  • Kandemir, T., & Gökgöz, H. (2022). Bitcoin emtialar için çeşitlendiriciden fazlası mı? Aralığa dayalı CDCC-GARCH ile analizi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(2), 227-240. https://doi.org/10.29106/fesa.1092764
  • Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 4(1), 119–147.
  • Li, S., & Huang, Y. (2020). Do cryptocurrencies increase the systemic risk of the global financial market? China & World Economy, 28 (1), 122–143. http://dx.doi.org/10.1111/cwe.12314
  • Nekhili, R., & Sultan, J. (2021). Hedging Bitcoin with conventional assets. Borsa Istanbul Review, in press. https://doi.org/10.1016/j.bir.2021.09.003
  • Pal, D., Mitra, S. (2019). Hedging bitcoin with other financial assets. Finance Research Letters, 30, 30-36. https://doi.org/10.1016/j.frl.2019.03.034
  • Pesaran, H. H. & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58 (1), 17–29.
  • Shahzad, S.J.H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than Gold and commodities? International Review of Financial Analysis, 63, 322–330. https://doi.org/10.1016/j.irfa.2019.01.002
  • Trabelsi, N., 2018. Are there any volatility spill-over effects among cryptocurrencies and widely traded asset classes? Journal of Risk and Financial Management, 11 (4), 66. https://doi.org/10.3390/jrfm11040066
  • Urom, C., Abid, I., Guesmi, K., & Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230–258. https://doi.org/10.1016/j.econmod.2020.07.013

BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ

Year 2023, Volume: 41 Issue: 1, 109 - 125, 29.03.2023

Halilibrahim Gökgöz , Cantürk Kayahan

https://doi.org/10.17065/huniibf.1098448
Cited By: 3

Abstract

Bu çalışmada, Bitcoin ile gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasaları arasındaki volatilite yayılım ilişkisinin incelenmesi ve bulguların finansal piyasaları etkileyen küresel olaylar bağlamında değerlendirilmesi amaçlanmıştır. Bu amaçla 03.01.2017-25.03.2022 dönemi, Bitcoin, MSCI ABD, MSCI Avrupa ve MSCI gelişmekte olan piyasalar endeksi günlük verilerine zamanla değişen parametre vektör otoregresif (TVP-VAR) modeli uygulanmıştır. Uygulama sonucunda Bitcoin’in MSCI ABD ve MSC Avrupa karşsısında net volatilite alıcısı olduğu ve MSCI gelişmekte olan piyasalar karşısında net volatilite yayıcısı olduğu gözlenmiştir. MSCI ABD’nin net volatililite yayıcısı ve MSCI gelişmekte olan piyasaların ise net volatilite alıcısı olduğu tespit edilmiştir. Ayrıca Bitcoin’in gelişmiş ve gelişmekte olan piyasalarla zayıf bağlantılı olduğu gözlenmiştir. Bulgular, volatilite yayılımının aşırı artış-azalış gösterdiği dönemlerde tüm dünyayı etkileyen küresel olaylar olduğunu göstermiştir.

Keywords

Bitcoin Volatilite Yayılımı Finansal Piyasalar TVP-VAR

References

  • Aharon, D. Y., & Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters 31, 415-424. https://doi.org/10.1016/j.frl.2018.12.004
  • Al Janabi, M. A., Ferrer, R., & Shahzad, S. J. H. (2019). Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach. Physica A: Statistical Mechanics and its Applications 536, 122579. https://doi.org/10.1016/j.physa.2019.122579
  • Antonakakis, N., & Gabauer, D. (2017). Refined measures of dynamic connectedness based on TVP-VAR. MPRA Paper 78282, University Library of Munich, Germany.
  • Aslanidis, N., Bariviera, A. F., & Martinez-Ibanez, O. (2019). An analysis of cryptocurrencies conditional cross correlations. Finance Research Letters, 31, 130-137. https://doi.org/10.1016/j.frl.2019.04.019
  • Bouoiyour, J., & Selmi, R. (2015). What does Bitcoin look like? Annals of Economics and Finance, 16 (2), 449-492. https://doi.org/10.13140/2.1.2839.8089
  • Baur, D. K., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar: A replication and extension. Finance Research Letters, 25, 103-110. https://doi.org/10.1016/j.frl.2017.10.012
  • Baur, D.G. , & Lucey, B.M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45, 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Bouri, E., Molnar, P., Azzi , G., Roubaud, D., & Hagfors , L. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. http://dx.doi.org/10.1016/j.frl.2016.09.025
  • Bouri, E., Shahzad, S. J., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156-164. https://doi.org/10.1016/j.qref.2020.03.004
  • Bri`ere, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with Bitcoin. Journal of Asset Management, 16, 365–373. http://dx.doi.org/10.2139/ssrn.2324780
  • Chan, W. H., Le, M., & Wu, W. Y. (2019). Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. The Quarterly Review of Economics and Finance, 71, 107-113. https://doi.org/10.1016/j.qref.2018.07.004
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. https://doi.org/10.1016/j.econlet.2018.01.004
  • Diebold, F. X., & Yılmaz, K. (2012). Better to Give than to Receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28 (1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Dyhrberg, A. H. (2016). Bitcoin, Gold and the Dollar – A GARCH Volatility. Finance Research Letters, 16, 85-92. http://dx.doi.org/10.1016/j.frl.2015.10.008
  • Eisl, A., Gasser, S., & Weinmayer, K. (2015). Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? http://dx.doi.org/10.2139/ssrn.2408997
  • Elsayed, A. H., Gozgor, G., & Lau, C. K. M. (2022). Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties. International Review of Financial Analysis, 81, 102069. https://doi.org/10.1016/j.irfa.2022.102069
  • Fang, T., Sub, Z., & Yin, L. (2020). Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility. International Review of Financial Analysis, 71, 101566. https://doi.org/10.1016/j.irfa.2020.101566
  • Georgoula, I., Pournarakis, D., Bilanakos, C., Sotiropoulos, D., & Giaglis, G. (2015). Using time-series and sentiment analysis to detect the determinants of Bitcoin prices. Working Paper. Retrieved from http://dx.doi.org/10.2139/ssrn.2607167
  • Gil-Alana, L. A., Abakah, E. J. A., & Rojo, M. F. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51, 101063. https://doi.org/10.1016/j.ribaf.2019.101063
  • Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio Diversification with virtual currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437. https://doi.org/10.1016/j.irfa.2018.03.004
  • Ji, Q., Bouri, E., Gupta, R., & Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. Quarterly Review of Economics and Finance, 70, 203-213. https://doi.org/10.1016/j.qref.2018.05.016
  • Kandemir, T., & Gökgöz, H. (2022). Bitcoin emtialar için çeşitlendiriciden fazlası mı? Aralığa dayalı CDCC-GARCH ile analizi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(2), 227-240. https://doi.org/10.29106/fesa.1092764
  • Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 4(1), 119–147.
  • Li, S., & Huang, Y. (2020). Do cryptocurrencies increase the systemic risk of the global financial market? China & World Economy, 28 (1), 122–143. http://dx.doi.org/10.1111/cwe.12314
  • Nekhili, R., & Sultan, J. (2021). Hedging Bitcoin with conventional assets. Borsa Istanbul Review, in press. https://doi.org/10.1016/j.bir.2021.09.003
  • Pal, D., Mitra, S. (2019). Hedging bitcoin with other financial assets. Finance Research Letters, 30, 30-36. https://doi.org/10.1016/j.frl.2019.03.034
  • Pesaran, H. H. & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58 (1), 17–29.
  • Shahzad, S.J.H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than Gold and commodities? International Review of Financial Analysis, 63, 322–330. https://doi.org/10.1016/j.irfa.2019.01.002
  • Trabelsi, N., 2018. Are there any volatility spill-over effects among cryptocurrencies and widely traded asset classes? Journal of Risk and Financial Management, 11 (4), 66. https://doi.org/10.3390/jrfm11040066
  • Urom, C., Abid, I., Guesmi, K., & Chevallier, J. (2020). Quantile spillovers and dependence between Bitcoin, equities and strategic commodities. Economic Modelling, 93, 230–258. https://doi.org/10.1016/j.econmod.2020.07.013
There are 30 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Halilibrahim Gökgöz 0000-0001-8000-9993

Cantürk Kayahan 0000-0003-4777-1470

Publication Date March 29, 2023
Submission Date April 4, 2022
Published in Issue Year 2023 Volume: 41 Issue: 1

Cite

APA Gökgöz, H., & Kayahan, C. (2023). BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 41(1), 109-125. https://doi.org/10.17065/huniibf.1098448
AMA Gökgöz H, Kayahan C. BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. March 2023;41(1):109-125. doi:10.17065/huniibf.1098448
Chicago Gökgöz, Halilibrahim, and Cantürk Kayahan. “BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 41, no. 1 (March 2023): 109-25. https://doi.org/10.17065/huniibf.1098448.
EndNote Gökgöz H, Kayahan C (March 1, 2023) BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41 1 109–125.
IEEE H. Gökgöz and C. Kayahan, “BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 41, no. 1, pp. 109–125, 2023, doi: 10.17065/huniibf.1098448.
ISNAD Gökgöz, Halilibrahim - Kayahan, Cantürk. “BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41/1 (March 2023), 109-125. https://doi.org/10.17065/huniibf.1098448.
JAMA Gökgöz H, Kayahan C. BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41:109–125.
MLA Gökgöz, Halilibrahim and Cantürk Kayahan. “BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 41, no. 1, 2023, pp. 109-25, doi:10.17065/huniibf.1098448.
Vancouver Gökgöz H, Kayahan C. BİTCOİN İLE GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ARASINDAKİ VOLATİLİTE YAYILIM ETKİSİNİN TVP-VAR İLE ANALİZİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41(1):109-25.

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