The Volatility Transmission Between Cryptocurrency And Global Stock Market Indices: Case Of Covid-19 Period
نویسندگان
چکیده
The uncertainty originated by the COVID-19 pandemic and unpredictability of both real financial market indicators have increased volatility global markets. As a result globalization, determination risk information transfer between markets has gained importance during process. In this context, spread cryptocurrency stock was analyzed considering Bitcoin, which represents 42% total cap, used to represent in analysis. S&P500, FTSE100, SSEC NIKKEI indices, are among world's leading indices terms were market. Constant Conditional Correlation Multivariate GARCH model for analysis transmission. Daily closing prices covering date range from 1st December 2019 July 202 analyses. results positive significant all predicted conditional correlation parameters. there is transmission BTC returns. findings expected be supporting element participants make right decision optimal portfolio allocation
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ژورنال
عنوان ژورنال: ?zmir iktisat dergisi
سال: 2022
ISSN: ['1308-8173', '1308-8505']
DOI: https://doi.org/10.24988/ije.1034580