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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2023 / Sayı: 66

TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES

BİTCOİN İLE EMTİALAR ARASINDAKİ ZAMANLA DEĞİŞEN VOLATİLİTE YAYILIMLARI

Zekai Şenol(SİVAS CUMHURİYET ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0001-8818-0752
Pages
29–35
Publication Date
2023-12-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results are important in terms of portfolio management, portfolio risk management and investment decisions.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Cryptocurrencies have some advantages such as less regulation, lower transaction costs, and decentralization compared to traditional investment instruments such as stocks and commodities.
📊
Key Findings & Data:From their emergence to the present day, cryptocurrencies have increased in price, volume and value and have begun to take their place in portfolios.
💡
Conclusion & Impact:The results are important in terms of portfolio management, portfolio risk management and investment decisions.
🔬Design:Araştırma Makalesi
📍Scope:2016 Verileri
⚙️Variables:Bitcoin · Altın · Petrol

Abstract

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.

Özet

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.

🔖

Cite This Article

Şenol, Z. (2023). TIME-VARYING VOLATILITY SPILLOVER BETWEEN BITCOIN AND COMMODITIES. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 66, 29–35. https://doi.org/10.18070/erciyesiibd.1265120

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