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Journals / Liberal Düşünce Dergisi / 2020 / Cilt: 25 - Sayı: 98

The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Finansal Piyasalar ve Bitcoin Bağımlılığı: Copula-Garch Yaklaşımı

Mustafa EREK
Binali Selman EREN
Pages
35–63
Publication Date
2020-06-26
DOI
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AI Summary & Key Takeaways

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

Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper aims to examine the relationship between Bitcoin and preeminent financial indicators using Copula-GARCH method.
📊
Key Findings & Data:In the study, we use closing prices of Bitcoin and US 10-Year Bond Yield, Gold Spot US Dollar, US Dollar Index, S&P 500, FTSE 100 and NIKKEI 225.
💡
Conclusion & Impact:Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Bitcoin · copula-garch · finansal piyasalar

Abstract

This paper aims to examine the relationship between Bitcoin and preeminent financial indicators using Copula-GARCH method. In the study, we use closing prices of Bitcoin and US 10-Year Bond Yield, Gold Spot US Dollar, US Dollar Index, S&P 500, FTSE 100 and NIKKEI 225. To our knowledge, our paper is the first to examine this issue empirically. Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators. These findings provide new information that will benefit policy makers, banks, financial investors, and risk managers in trading activities for both long-term and short-term strategies.

Özet

Bu makale, Bitcoin ile kritik finansal göstergeler arasındaki ilişkiyi Copula-GARCH yöntemini kullanarak incelemeyi amaçlamaktadır. Araştırmada, Bitcoin ve ABD 10-Yıllık Tahvil Verim, Altın Piyasa, ABD Doları Endeksi, S&P 500, FTSE 100 ve NIKKEI 225'in kapanış fiyatları kullanılmaktadır. Bildiğimiz kadarıyla, bu konuyu ampirik olarak inceleyen ilk makale budur. Analiz sonuçları, Bitcoin ve önde gelen finansal göstergeler arasında güçlü bir karşılıklı bağımlılık olmadığını göstermektedir. Bu bulgular, hem uzun vadeli hem de kısa vadeli stratejilerde alım satım faaliyetlerinde politika yapıcılara, bankalara, finansal yatırımcılara ve risk yöneticilerine fayda sağlayacak yeni bilgiler sunmaktadır.

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Cite This Article

EREK, M., EREN, B. S. (2020). The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach. Liberal Düşünce Dergisi, Cilt: 25 - Sayı: 98, 35–63. https://ajindex.com/articles/127592

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