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Journals / Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2022 / Cilt: 17 - Sayı: 3

Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis

Önde Gelen Kriptopara Birimleri Arasında Getiri ve Oynaklık Yayılımlarının Ölçülmesi: VAR-BEKK-GARCH Analizi

Gülin VARDAR
Caner TAÇOĞLU
Berna AYDOĞAN
Pages
911–933
Publication Date
2022-12-01
DOI
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AI Summary & Key Takeaways

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

Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model.
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Key Findings & Data:The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies.
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Conclusion & Impact:Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Getiri Yayılımı · Oynaklık Yayılımı · Yatırım Stratejisi

Abstract

This study investigates mean and volatility spillover effects among eight major cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano and EOS utilizing VAR-BEKK-GARCH model. The results point out that there are bidirectional and unidirectional spillover effects among these major cryptocurrencies. Moreover, the findings indicate that some cryptocurrencies are the transmitter, while others act as a receiver and among all, Litecoin is the highest transmitter, and Stellar is the only one that acts as a receiver. The interdependence among cryptocurrencies supports that they are becoming more integrated and thereby, provides important investment strategies for investors and policy implications for regulators.

Özet

Bu çalışma sekiz ana kripto para birimlerinden Bitcoin, Ethereum, Litecoin, Ripple, Stellar, Bitcoin Cash, Cardano ve EOS arasındaki yayılma etkilerini VAR-BEKK-GARCH modeli ile araştırmaktadır. Çalışmanın sonuçları, kripto para birimleri arasında çift ve tek yönlü yayılma etkilerinin olduğuna işaret etmektedir. Ayrıca, sonuçlar bazı kripto para birimlerinin verici görevi görürken, bazılarının ise alıcı görevi gördüğünü ve analiz edilen kripto para birimleri arasında Litecoin'in en yüksek verici, Stellar'ın ise alıcı görevi gören tek kripto para birimi olduğunu göstermektedir. Kripto para birimlerinin birbirleriyle entegre olmaları aralarındaki bağımlılığı desteklemektedir ve bu sonuçlar yatırımcılar için yatırım stratejileri ve düzenleyiciler için politika çıkarımları sağlamalarına neden olmaktadır.

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Cite This Article

VARDAR, G., TAÇOĞLU, C., AYDOĞAN, B. (2022). Quantifying Return and Volatility Spillovers among Major Cryptocurrencies: A VAR-BEKK-GARCH Analysis. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 17 - Sayı: 3, 911–933. https://ajindex.com/articles/859272

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