The impact of COVID-19 on volatility spillover between bitcoin and Turkish financial markets
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Tarih
2022
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IGI Global
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The aim of this study is to examine the volatility spillover between bitcoin and Turkish financial markets for the pre-COVID-19 and COVID-19 periods. Using GARCHbased volatility spillover indices, the authors find that BTC-USD was a volatility transmitter in the pre-COVID-19 period but has become the main volatility receiver in the COVID-19 period, and its net volatility transmission fell from 0.7% to -10.84%. Moreover, they concluded that the total spillover index increased from 12.49% to 15.25% indicates a low connectedness between the markets in both periods and the error variance in markets is on average 15.25% originated from other markets in the COVID-19 period. © 2021, IGI Global.
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