Özet:

This study is aimed to examine the volatility spillover effect between Bitcoin and the stock markets of developed and developing countries and to evaluate the findings in the context of global events affecting financial markets. For this purpose, time varying parameter vector autoregressive (TVP-VAR) model was applied to the daily data of Bitcoin, MSCI USA, MSCI Europe, and MSCI emerging markets index for the period 03.01.2017-25.03.2022. As a result of the application, it has been observed that Bitcoin is a net volatility receiver against MSCI USA and MSC Europe and a net volatility transmitter against MSCI emerging markets. MSCI USA is a net volatility emitter, and MSCI emerging markets is a net volatility receiver. It has also been observed that Bitcoin is weakly connected to developed and emerging markets. The findings showed that global events affect the whole world during periods of extreme increase-decrease in volatility spillover.