Cantürk KAYAHAN, Halilibrahim GÖKGÖZ, Tolga MURAT

KRİPTO PARALAR VE STABİL COİNLER ARASINDAKİ KANTİL BAĞLANTILILIK

Bu çalışma, kripto paralar ve stabil coinler arasındaki volatilite yayılım ilişkisini dinamik olarak analiz etmeyi amaçlamaktadır. Çalışma kapsamında 1 Ocak 2019 – 6 Nisan 2022 dönemini kapsayan Bitcoin (BTC), Ethereum (ETH), BNB kripto para birimleri ile Tether (USDT) ve USD Coin (USDC) stabilcoinlerinin günlük kapanış fiyat verileri, Q-VAR modeli kullanılarak analiz ediLmiştir. Bulgularımız, Covid-19 salgını sırasında kripto paralar ve stabil coinler arasındaki volatilite yayılımının arttığını gösterektedir. Ayrıca, kripto paralar ve stabil coinler arasındaki volatilite yayılımının yönü ve şiddeti küresel olaylardan etkilenmektedir. Kripto paralar ve stabil coinler arasındaki ilişki zayıfken; kendi aralarındaki ilişki güçlüdür. Bulgularımız, küresel olayların kripto varlıklar arasındaki etkileşimi etkilediğini ve kripto paralar ile stabil coinlerin birbirleri için iyi çeşitlendiriciler olabileceğini göstermektedir. Bu bulguların finansal piyasa düzenleyicileri, portföy yatırımcıları ve akademik araştırmalar için önemli etkileri vardır.

Anahtar Kelimeler:

Kripto paralar, Stabil coinler, Volatilite Yayılımı, Kantil Vektör Otoregresyon

QUANTILE CONNECTEDNESS BETWEEN CRYPTOCURRENCIES AND STABLECOINS

This paper aims to analyze the volatility spillover relationship between cryptocurrencies and stablecoins dynamically. Within the scope of the study, the daily closing price data of Bitcoin (BTC), Ethereum (ETH), BNB cryptocurrencies, and Tether (USDT) and USD Coin (USDC) stablecoins covering the period from January 1, 2019 to April 6, 2022 was analyzed using the Q-VAR model. Our results suggest that the volatility spillover between the cryptocurrency and stablecoins increased during the Covid-19 pandemic. Moreover, the direction and severity of volatility spillover between cryptocurrencies and stablecoins are affected by global events. While the relationship between cryptocurrencies and stablecoins themselves is strong, the relationship between each other is weak. Our findings suggest that global events influence the interaction between crypto-assets and that cryptocurrencies and stablecoins can be good diversifiers for each other. These findings have important implications for financial market regulators, portfolio investors, and academic research.

Keywords:

Cryptocurrencies, Stablecoins, Volatility Spillover, Quantile Vector Autoregression,

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