Return and Volatility Spillover between Cryptocurrency and Stock Markets: Evidence from Turkey

نویسندگان

چکیده

The aim of the study investigates return and volatility spillovers conditional correlations between Borsa Istanbul Stock Exchange 100 Index (BIST100) Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Litecoin (LTH) using daily data for period August 07, 2015 May 20, 2021 with VAR-DCC-GARCH model. We find no bidirectional BIST100 cryptocurrencies. In line spillover results study, it has been determined that there is a unidirectional shock transmission from to BTC, XRP LTH, BTC ETH. Also, in dynamic four cryptocurrencies have highly variable over time their average very close zero. However, possible panic periods, situation reversed

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ژورنال

عنوان ژورنال: Muhasebe ve finansman dergisi

سال: 2022

ISSN: ['2146-3042']

DOI: https://doi.org/10.25095/mufad.1024160