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The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets

The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets

Yakup Ari, Esin Yelgen, Harun Uçak
Copyright: © 2022 |Pages: 25
ISBN13: 9781799891178|ISBN10: 1799891178|ISBN13 Softcover: 9781799891185|EISBN13: 9781799891192
DOI: 10.4018/978-1-7998-9117-8.ch009
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MLA

Ari, Yakup, et al. "The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets." COVID-19's Impact on the Cryptocurrency Market and the Digital Economy, edited by Nadia Mansour and Salha Ben Salem, IGI Global, 2022, pp. 141-165. https://doi.org/10.4018/978-1-7998-9117-8.ch009

APA

Ari, Y., Yelgen, E., & Uçak, H. (2022). The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets. In N. Mansour & S. Ben Salem (Eds.), COVID-19's Impact on the Cryptocurrency Market and the Digital Economy (pp. 141-165). IGI Global. https://doi.org/10.4018/978-1-7998-9117-8.ch009

Chicago

Ari, Yakup, Esin Yelgen, and Harun Uçak. "The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets." In COVID-19's Impact on the Cryptocurrency Market and the Digital Economy, edited by Nadia Mansour and Salha Ben Salem, 141-165. Hershey, PA: IGI Global, 2022. https://doi.org/10.4018/978-1-7998-9117-8.ch009

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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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