Research Information System
İZMIR JOURNAL OF ECONOMICS, vol.37, no.2, pp.443-459, 2022 (Peer-Reviewed Journal)
The uncertainty originated by the COVID-19 pandemic and the unpredictability of both real and financial market indicatorshave increased the volatility of global financial markets. As a result of globalization, the determination of risk andinformation transfer between financial markets has gained importance during the pandemic process. In this context, thespread of volatility between the cryptocurrency market and the global stock markets was analyzed by considering thepandemic process. Bitcoin, which represents 42% of the total market cap, was used to represent the cryptocurrency marketin the analysis. S&P500, FTSE100, SSEC and NIKKEI indices, which are among the world's leading indices in terms of marketcap, were used to represent the global stock market. Constant Conditional Correlation Multivariate GARCH model was usedfor the analysis of volatility transmission. Daily closing prices covering the date range from 1st December 2019 to 1st July202 were used for the analyses. The model results were positive and significant for all predicted conditional correlationparameters. In this context, there is volatility transmission and information transfer between BTC and stock returns. Themodel findings are expected to be a supporting element for financial market participants to make the right decision in theoptimal portfolio allocation process.