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What is Leverage Effects

Chapter 9
COVID-19's Impact on the Cryptocurrency Market and the Digital Economy
The leverage effect which is defined as a measure of the effect of negative shocks on volatility helps to describe those unexpected negative shocks have a greater influence on volatility than positive shocks.
Published in Chapter:
The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets
Yakup Ari (Alanya Alaaddin Keykubat University, Turkey), Esin Yelgen (Alanya Alaaddin Keykubat University, Turkey), and Harun Uçak (Alanya Alaaddin Keykubat University, Turkey)
Copyright: © 2022 |Pages: 25
DOI: 10.4018/978-1-7998-9117-8.ch009
Abstract
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 GARCH-based 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.
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