The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model
Yıl: 2021 Cilt: 29 Sayı: 47 Sayfa Aralığı: 107 - 118 Metin Dili: İngilizce DOI: 10.17233/sosyoekonomi.2021.01.05 İndeks Tarihi: 18-05-2021
The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model
Öz: This study explores the relationship between the U.S. stock returns, Bitcoin returns and their uncertainties by using a multivariate GARCH model. Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites. The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable. Moreover, the U.S. stock market investors are found to be risk averse throughout the entire sample period while Bitcoin investors are not.
Anahtar Kelime: Hisse Senedi Getirileri, Bitcoin Getirileri ve Riskten Kaçınma Arasındaki İlişki: Çok Değişkenli Bir GARCH Modelinden Kanıtlar
Öz: Bu çalışma, çok değişkenli bir GARCH modeli kullanarak ABD Dow Jones Borsasında işlem gören hisse senedi getirileri, Bitcoin getirileri ve bunların belirsizlikleri arasındaki ilişkileri araştırmaktadır. Özellikle, yüksek ve düşük olmak üzere farklı risk iştahının ve getirilerde belirsizliğin yüksek olduğu dönemlerde Bitcoin ve ABD hisse senedi getirilerinin verdiği tepkileri karşılaştırmaktadır. Sonuçlar, Bitcoin getirisinin riskten kaçınılan veya yüksek belirsizliğin olduğu dönemlerde hisse senedi gibi tepki verdiğini, ancak iki getiri arasındaki ilişkinin sürdürülebilir olmadığını göstermektedir. Öte yandan, ABD borsa yatırımcıları tüm örneklem dönemi boyunca riskten kaçınma davranışını gösterirken, Bitcoin yatırımcıları aynı davranışı göstermemektedir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Sivrikaya A, Iren P, Omay T (2021). The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. , 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| Chicago | Sivrikaya Ayşen,Iren Perihan,Omay Tolga The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. (2021): 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| MLA | Sivrikaya Ayşen,Iren Perihan,Omay Tolga The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. , 2021, ss.107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| AMA | Sivrikaya A,Iren P,Omay T The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. . 2021; 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| Vancouver | Sivrikaya A,Iren P,Omay T The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. . 2021; 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| IEEE | Sivrikaya A,Iren P,Omay T "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model." , ss.107 - 118, 2021. 10.17233/sosyoekonomi.2021.01.05 |
| ISNAD | Sivrikaya, Ayşen vd. "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model". (2021), 107-118. https://doi.org/10.17233/sosyoekonomi.2021.01.05 |
| APA | Sivrikaya A, Iren P, Omay T (2021). The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi, 29(47), 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| Chicago | Sivrikaya Ayşen,Iren Perihan,Omay Tolga The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi 29, no.47 (2021): 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| MLA | Sivrikaya Ayşen,Iren Perihan,Omay Tolga The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi, vol.29, no.47, 2021, ss.107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| AMA | Sivrikaya A,Iren P,Omay T The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi. 2021; 29(47): 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| Vancouver | Sivrikaya A,Iren P,Omay T The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model. Sosyoekonomi. 2021; 29(47): 107 - 118. 10.17233/sosyoekonomi.2021.01.05 |
| IEEE | Sivrikaya A,Iren P,Omay T "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model." Sosyoekonomi, 29, ss.107 - 118, 2021. 10.17233/sosyoekonomi.2021.01.05 |
| ISNAD | Sivrikaya, Ayşen vd. "The Relationship between Stock Returns, Bitcoin Returns, and Risk Aversion: Evidence from a Multivariate GARCH Model". Sosyoekonomi 29/47 (2021), 107-118. https://doi.org/10.17233/sosyoekonomi.2021.01.05 |
