Cryptocurrencies, Semiconductor Stocks, and Commodities: A Quantitative Study of Market Interconnectedness and Portfolio Allocation

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Dokuz Eylül Üniversitesi, Sosyal Bilimler Enstitüsü, İngilizce İşletme Ana Bilim Dalı, Türkiye

Tezin Onay Tarihi: 2026

Tezin Dili: İngilizce

Öğrenci: POURIA OLFATI

Danışman: Efe Çağlar Çağlı

Özet:

In this thesis, we examine the volatility connectedness among cryptocurrencies (ADA, BTC, ETH, XRP), semiconductor equities (AMD, AVGO, NVDA, TSM), and base and rare metal commodities (REMX, DBB, LIT) from November 2017 to the end of September 2025. We employed the TVP-VAR (Chatziantoniou et al., 2021, 2023) and Diebold and Yılmaz (2008, 2012, 2014) connectedness approaches, alongside the Alizadeh et al. (2002) range-based volatility model and Baruník and Krehlík (2018) frequency connectedness approach for high frequency and low frequency measurements allowing us to study the dynamics of these three markets. This timeframe encompasses a variety of distinct market conditions, including the COVID-19 pandemic, cryptocurrency market booms and crashes, the US-China trade war, the Russia-Ukraine war, the green transition, and the AI boom. We found strong volatility connectedness among the assets in these three markets, which intensified during periods of crisis. Furthermore, we confirmed the existence of a triangular supply chain among these sectors, resulting in bidirectional volatility spillovers despite being not as strong as anticipated.