Abstract:

Purpose: The purpose of this study is to examine the volatility transfer between Bitcoin and Ons. For this reason, it has been researched whether investors should include Bitcoin in their portfolios to hedge risk and whether it is an alternative investment tool to Bitcoin Ons. Design/Methodology: In the research, firstly, the variables were converted into return series and unit root tests were tested. Then, the relationship between Bitcoin and Ons was examined with the Multivariate Stochacitic Volatility Method. Analyzes were made with the help of Eviews9 and WinBUGS14 package programs. Findings: According to the results of the analysis, it was determined that the shocks in Bitcoin and Ons variables had a permanent effect. It has been determined that there is a one-way volatility transfer from Bitcoin to Ons. In addition, it has been determined that the volatility transfer from Bitcoin to Ons is positive. Limitations: Taking the period between 03.02.2012 and 13.01.2022 in the study and using only two variables are the limitations of the research. In addition, the reason for taking this date range is that the Bitcoin data before the 2012 period could not be accessed and the analyzes were made in January 2022. Originality/Value: The feature of the study that distinguishes it from other studies is that it analyzes with the Multivariate Stochastic Volatility Method. In addition, it is aimed that there will not be many studies in the literature on this subject and that it will contribute to the literature.