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Journals / NİŞANTAŞI ÜNİVERSİTESİ SOSYAL BİLİMLER DERGİSİ / 2026 / Cilt: 13 Sayı: 2

CORRELATIONS AND VOLATILITY BETWEEN DEFI MARKETS AND SME STOCK MARKETS

DEFİ PİYASALARI İLE KOBİ HİSSE SENEDİ PİYASALARI ARASINDAKİ KORELASYONLAR VE OYNAKLIK İLİŞKİSİ

Nehir Balcı(DOKUZ EYLÜL ÜNİVERSİTESİ UYGULAMALI BİLİMLER YÜKSEKOKULU)0000-0002-9317-7491
Pages
858–875
Publication Date
2025-12-31
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AI Summary & Key Takeaways

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

The findings indicate that AAVE, ETH, and UNI, in particular, transmit significant volatility to the EURONEXT and FIRSTNORTH markets.

📌 3 Key Takeaways

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Objective & Hypothesis:Although many academic studies have examined volatility spillovers and dynamic correlations between stock markets, they have largely overlooked the perspective of Small and Medium-Sized Enterprise (SME) markets.
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Key Findings & Data:To understand the correlation between these markets, we empirically analyse six European SME market indices—the FTSE AIM All-Share Index (AIM), BIST SME Industrial Index (BISTSME), Euronext Growth All-Share Index (EURONEXT), First North All-Share Index (FIRSTNORTH), IBEX Medium Cap Index (IBEXC), and Scale All-Share Performance Index (SCALE)—alongside three cryptocurrencies: Aave (AAVE), Ethereum (ETH), and Uniswap (UNI); two stablecoins: Dai (DAI) and USD Coin (USDC); and one synthetic asset: Synthetix (SNX).
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Conclusion & Impact:The findings indicate that AAVE, ETH, and UNI, in particular, transmit significant volatility to the EURONEXT and FIRSTNORTH markets.
🔬Design:Araştırma Makalesi
📍Scope:2020 Verileri
⚙️Variables:KOBI piyasaları · DeFi piyasası · Volatilite yayılımı

Abstract

Although many academic studies have examined volatility spillovers and dynamic correlations between stock markets, they have largely overlooked the perspective of Small and Medium-Sized Enterprise (SME) markets. On this basis, this study explores the interconnectedness and volatility correlation between Decentralized Finance (DeFi) markets and SME markets. To understand the correlation between these markets, we empirically analyse six European SME market indices—the FTSE AIM All-Share Index (AIM), BIST SME Industrial Index (BISTSME), Euronext Growth All-Share Index (EURONEXT), First North All-Share Index (FIRSTNORTH), IBEX Medium Cap Index (IBEXC), and Scale All-Share Performance Index (SCALE)—alongside three cryptocurrencies: Aave (AAVE), Ethereum (ETH), and Uniswap (UNI); two stablecoins: Dai (DAI) and USD Coin (USDC); and one synthetic asset: Synthetix (SNX). The study employed BEKK-GARCH and DCC-GARCH to analyse the existence of spillover effects and correlations from October 5, 2020, to August 18, 2024. The findings indicate that AAVE, ETH, and UNI, in particular, transmit significant volatility to the EURONEXT and FIRSTNORTH markets. However, bidirectional volatility spillover was detected between EURONEXT and AAVE, ETH, UNI, USDC, and SNX, and FIRSTNORTH and AAVE, ETH, UNI, and SNX. This suggests volatility interdependence between these markets and the existence of potential risk contagion channels.

Özet

Birçok akademik çalışma hisse senedi piyasaları arasındaki oynaklık yayılımını ve dinamik korelasyonları incelemiş olsa da, Küçük ve Orta Büyüklükteki İşletme (KOBİ) piyasaları büyük ölçüde göz ardı edilmiştir. Bu temelde, bu çalışma Merkeziyetsiz Finans (DeFi) piyasaları ile KOBİ piyasaları arasındaki birbirine bağlılığı ve oynaklık korelasyonunu araştırmaktadır. İki piyasa arasındaki korelasyonu anlamak için, Avrupa bölgesindeki altı farklı KOBİ piyasa endeksi—FTSE AIM All-Share Endeksi (AIM), BIST KOBİ Sanayi Endeksi (BISTSME), Euronext Growth All-Share Endeksi (EURONEXT), First North All-Share Endeksi (FIRSTNORTH), IBEX Medium Cap Endeksi (IBEXC) ve Scale All-Share Performans Endeksi (SCALE)—buna ek olarak, üç kripto para birimi: Aave (AAVE), Ethereum (ETH) ve Uniswap (UNI); iki stablecoin Dai (DAI) ve USD Coin (USDC) ve bir sentetik varlık: Synthetix SNX) çalışma kapsamında incelenmiştir. Çalışmada, 5 Ekim 2020 ile 18 Ağustos 2024 arasında, piyasalar arası volatilite yayılım etkilerinin ve korelasyonun araştırmak için BEKK-GARCH ve DCC-GARCH modelleri kullanılmıştır. Bulgular, özellikle AAVE, ETH ve UNI’nin EURONEXT ve FIRSTNORTH piyasalarına önemli bir oynaklık ilettiğini göstermektedir. Bununla birlikte, EURONEXT ile AAVE, ETH, UNI, USDC ve SNX; ve FIRSTNORTH ile AAVE, ETH, UNI ve SNX arasında çift yönlü bir oynaklık tespit edilmiştir. Bu durum, söz konusu piyasalar arasında oynaklık bağımlılığı olduğunu ve potansiyel risk bulaşma kanallarının mevcut olduğunu ortaya koymaktadır.

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Cite This Article

Balcı, N. (2025). CORRELATIONS AND VOLATILITY BETWEEN DEFI MARKETS AND SME STOCK MARKETS. NİŞANTAŞI ÜNİVERSİTESİ SOSYAL BİLİMLER DERGİSİ, Cilt: 13 Sayı: 2, 858–875. https://doi.org/10.52122/nisantasisbd.1753156

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