Hisse Senedi ve Kripto Varlık Piyasası Arasında Finansal Bağlantılılık ve Risk Aktarımı
Financial Connectedness and Risk Transfer Between Equity and Crypto Asset Markets

Author(s): Mevlüt Camgöz
Subject(s): Economy, Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: financial risk connectedness; risk transmission mechanism; stock market; crypto asset market;
Summary/Abstract: The aim of this study is to reveal the financial risk connectedness and risk transmission mechanism between the stock market and the crypto asset market. Thus, it is aimed to contribute to the literature examining the relationships between the crypto asset market and conventional financial markets with new empirical findings and to reveal essential results for investors and policymakers. According to the findings of the research, although the spread from the VIX index to the cryptocurrencies is stronger, the spread from the cryptocurrencies to the VIX index turned out to be quite weak. In the network structure analyzed in the study, there has been a high degree of spread from the stock market and other cryptocurrencies toward ETH and BCH. BTC -clearly dominant-, and the equity market is the net transmitter, while ETH, BCH, LTC, and XRP are net receivers. According to the connectedness index result, the spread from the stock market to the crypto-asset markets is higher than the spread from the crypto-asset market to the stock market. In other words, while the volatility in the stock market is transferred to the crypto asset markets at a certain rate, the volatility observed in the crypto asset market is transferred to the stock market at a less significant level. It can be said that the main risk source for the crypto asset market is BTC. Among the five cryptocurrencies examined, BTC is a net transmitter, and the other four cryptocurrencies are net receivers. In addition, it has been understood that the spillover effect observed in the crypto asset market is largely due to its own internal shocks.

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