Do bubbles in the bitcoin market impact stock markets? Evidence from 10 major stock markets

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dc.authorid0000-0001-5449-0568en_US
dc.authorid0000-0003-1198-4693en_US
dc.authorid0000-0002-9216-5210en_US
dc.authorid0000-0002-3563-2951en_US
dc.authorid0000-0002-8375-8110en_US
dc.authorid0000-0002-9758-5118en_US
dc.contributor.authorGemici, Eray
dc.contributor.authorPolat, Müslüm
dc.contributor.authorGök, Remzi
dc.contributor.authorKhan, Muhammad Asif
dc.contributor.authorKhan, Mohammed Arshad
dc.contributor.authorKılıç, Yunus
dc.date.accessioned2024-02-26T13:23:33Z
dc.date.available2024-02-26T13:23:33Z
dc.date.issued2023en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractIn this paper, we examine the effect of explosive behaviors in the Bitcoin market on the top 10 largest stock markets of developed and emerging countries. The daily dataset, including the Dow Jones Industrial Index (DJIA), Nasdaq (NSQ), Shanghai Composite Index (SSE), Nikkei 225 (N225), Hang Seng Index (HSI), Shenzhen Composite Index (SZSE), Euronext Amsterdam Index (AEX), London Stock Exchange (LSE), Toronto Stock Exchange (TSX), and Bombay Stock Exchange (BSE), spans July 21, 2010, to December 9, 2022. We first investigate the existence of explosive price behaviors using the bubble detection test of Phillips and Shi and the results provide evidence of multiple bubble episodes, coinciding with the monetary policy actions of the FED and ECB. Then, we address the question of whether the explosive behaviors detected affect the variance of equity returns by employing a GARCH model. The impact is negative, albeit its magnitude and significance vary among stock indices.en_US
dc.identifier.citationGemici, E., Polat, M., Gök, R., Khan, M. A., Khan, M. A. ve Kılıç, Y. (2023). Do bubbles in the bitcoin market impact stock markets? Evidence from 10 major stock markets. SAGE Open, 13(2), 1-15.en_US
dc.identifier.doi10.1177/21582440231178666
dc.identifier.endpage15en_US
dc.identifier.issn2158-2440
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85163037980
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://journals.sagepub.com/doi/pdf/10.1177/21582440231178666
dc.identifier.urihttps://hdl.handle.net/11468/13391
dc.identifier.volume13en_US
dc.identifier.wosWOS:001009229400001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.publisherSAGE Publications Inc.en_US
dc.relation.ispartofSAGE Open
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBitcoinen_US
dc.subjectBubblesen_US
dc.subjectCryptocurrenciesen_US
dc.subjectGSADFen_US
dc.subjectStock marketsen_US
dc.titleDo bubbles in the bitcoin market impact stock markets? Evidence from 10 major stock marketsen_US
dc.titleDo bubbles in the bitcoin market impact stock markets? Evidence from 10 major stock markets
dc.typeArticleen_US

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