TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

Yıl 2023, , 29 - 35, 31.12.2023

Zekai Şenol

https://doi.org/10.18070/erciyesiibd.1265120

Öz

Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and
decentralization compared to traditional investment instruments such as stocks and commodities.
From their emergence to the present day, cryptocurrencies have increased in price, volume and value
and have begun to take their place in portfolios. The relationships of cryptocurrencies with traditional
investment instruments can have implications for portfolio management. In this study, it were
examined that volatility spillovers between bitcoin and commodities consisting of gold, oil, natural
gas and commodity indices. Daily data for the period of 24 August 2016 – 13 January 2023 were
used in the study. The data were analyzed with causality in variance and time-varying causality test
developed by Lu, Hong, Wang, Lai, and Liu (2014). In the study, unidirectional volatility spillover from
bitcoin to gold and commodity index and from natural gas to bitcoin was observed. A low level of
time-varying volatility spillover has been identified between Bitcoin and commodities. The results are
important in terms of portfolio management, portfolio risk management and investment decisions.

Anahtar Kelimeler

Bitcoin, Gold, Oil, Commodity, Volatility Spillover

BİTCOİN İLE EMTİALAR ARASINDAKİ ZAMANLA DEĞİŞEN VOLATİLİTE YAYILIMLARI

Öz

Kripto varlıklar pay senetleri ve emtialar gibi geleneksel yatırım araçlarıyla karşılaştırıldığında daha
az düzenleme, düşük işlem maliyetleri, merkeziyetsizlik gibi bazı avantajlara sahiptirler. Kripto
varlıklar ortaya çıkışlarından günümüze kadar fiyat, hacim ve değer bakımından artarak portföylerde
kendilerine yer edinmeye başlamışlardır. Kripto varlıkların geleneksel yatırım araçlarıyla olan ilişkileri
portföy yönetimi açısından sonuçlar ortaya çıkarabilir. Bu çalışmada bitcoin ile altın, petrol, doğal gaz
ve emtia endeksinden oluşan emtialar arasındaki volatilite yayılımları incelenmiştir. Çalışmada 24
Ağustos 2016 – 13 Ocak 2023 dönemine ait günlük veriler varyansta nedensellik ve Lu, Hong, Wang,
Lai ve Liu (2014) tarafından geliştirilen zamanla değişen varyansta nedensellik testiyle incelenmiştir.
Çalışmada bitcoinden altın ve emtia endeksine doğru ve doğal gazdan bitcoine doğru tek yönlü
volatilite yayılımı görülmüştür. Bitcoin ile emtilar arasında düşük düzeyde zamanla değişen volatilite
yayılımı belirlenmiştir. Sonuçlar portföy yönetimi, portföy riskinin yönetilmesi, yatırım kararları
açısından önem taşımaktadır.

Anahtar Kelimeler

Bitcoin, Altın, Petrol, Emtia, Volatilite Yayılımı

Kaynakça

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