The Impact of COVID-19 on Volatility Spillover Between Bitcoin and Turkish Financial Markets

Abstract

The aim of this study is to examine the volatility spillover between bitcoin and Turkish financial markets for the pre-COVID-19 and COVID-19 periods. Using GARCH-based volatility spillover indices, the authors find that BTC-USD was a volatility transmitter in the pre-COVID-19 period but has become the main volatility receiver in the COVID-19 period, and its net volatility transmission fell from 0.7% to -10.84%. Moreover, they concluded that the total spillover index increased from 12.49% to 15.25% indicates a low connectedness between the markets in both periods and the error variance in markets is on average 15.25% originated from other markets in the COVID-19 period.