The impact of COVID-19 on volatility spillover between bitcoin and Turkish financial markets

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dc.contributor.authorArı, Yakup
dc.contributor.authorYelgen, Esin
dc.contributor.authorUçak, Harun
dc.date.accessioned2026-01-24T12:20:57Z
dc.date.available2026-01-24T12:20:57Z
dc.date.issued2022
dc.departmentAlanya Alaaddin Keykubat Üniversitesi
dc.description.abstractThe 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.
dc.identifier.doi10.4018/978-1-7998-9117-8.ch009
dc.identifier.endpage165
dc.identifier.isbn9781799891192
dc.identifier.isbn9781799891178
dc.identifier.scopus2-s2.0-85137101131
dc.identifier.scopusqualityN/A
dc.identifier.startpage141
dc.identifier.urihttps://doi.org/10.4018/978-1-7998-9117-8.ch009
dc.identifier.urihttps://hdl.handle.net/20.500.12868/4718
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherIGI Global
dc.relation.publicationcategoryKitap Bölümü - Uluslararası
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_Scopus_20260121
dc.titleThe impact of COVID-19 on volatility spillover between bitcoin and Turkish financial markets
dc.typeBook Chapter

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