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Journals / International Econometric Review / 2026 / Volume: 18 Issue: 1

THE SPILLOVER EFFECTS AND LONG-TERM RELATIONSHIP BETWEEN CRYPTOCURRENCIES AND TRADITIONAL FINANCIAL MARKETS IN TÜRKİYE

Elif Kaya(İSTANBUL AYDIN ÜNİVERSİTESİ)0000-0002-9757-5155
Zahra Ahmadi(ISTANBUL AYDIN UNIVERSITY)0009-0003-8283-3283
Pages
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Publication Date
2026-06-01
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AI Summary & Key Takeaways

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

Results show no long-term price cointegration, but Bitcoin and Ethereum returns are strongly correlated, with DCC-GARCH results showing a dynamic correlation above 50%, while gold and BIST-100 correlate weakly or negatively.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The paper examines the volatility spillover effects and long-term relationship between cryptocurrencies and traditional financial markets in Türkiye using BEKK-GARCH and DCC-GARCH models.
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Key Findings & Data:It analyses the perception of crypto assets as a “digital safe haven” in an economy marked by high inflation, exchange rate fragility, and financial uncertainty.
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Conclusion & Impact:Results show no long-term price cointegration, but Bitcoin and Ethereum returns are strongly correlated, with DCC-GARCH results showing a dynamic correlation above 50%, while gold and BIST-100 correlate weakly or negatively.
🔬Design:Modeling & Simulation
📍Scope:2010 Verileri
⚙️Variables:Cryptocurrency · Volatility Spread · BEKK-GARCH

Abstract

The paper examines the volatility spillover effects and long-term relationship between cryptocurrencies and traditional financial markets in Türkiye using BEKK-GARCH and DCC-GARCH models. It analyses the perception of crypto assets as a “digital safe haven” in an economy marked by high inflation, exchange rate fragility, and financial uncertainty. Using monthly price data for Bitcoin, Ethereum, BIST-100, and Republic Gold from January 2010 to February 2025, the study applies unit root tests, Johansen cointegration, ARDL bounds, and Engle-Granger tests. Results show no long-term price cointegration, but Bitcoin and Ethereum returns are strongly correlated, with DCC-GARCH results showing a dynamic correlation above 50%, while gold and BIST-100 correlate weakly or negatively. BEKK-GARCH highlights significant volatility transmission from Bitcoin to Ethereum, with BIST-100 maintaining persistent volatility. The study concludes that crypto and traditional markets in Türkiye are not integrated long-term, but short-term interactions exist at the return level, with implications for portfolio diversification and financial stability.

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Cite This Article

Kaya, E., Ahmadi, Z. (2026). THE SPILLOVER EFFECTS AND LONG-TERM RELATIONSHIP BETWEEN CRYPTOCURRENCIES AND TRADITIONAL FINANCIAL MARKETS IN TÜRKİYE. International Econometric Review, Volume: 18 Issue: 1. https://doi.org/10.33818/ier.1804057

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