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- MakaleAçık Erişim2025Scopus SJRQ1The contagion effect of the FTX cryptocurrency exchange's crash on the stock markets
Gençyürek, Ahmet Galip
The cryptocurrency market is very attractive for investors, but it has experienced several major crises in recent years due to its inadequacies with regard to transparency and auditing. The FTX cryptocurrency exchange's crash was one of the most crucial events for the cryptocurrency market. Therefore, I investigate the contagion impact of the FTX crash on stock markets (S&P 500, TSX, FTSE100, BIST100, SENSEX, SSE, NIKKEI 225, KOSPI 100 and ASX 200), using a time-varying parameter–vector autoregression (TVP-VAR) extended joint connectedness model and covolatility, cokurtosis, and coskewness tests. The empirical findings, based on a daily dataset for the period 2021–2023, indicate that the FTX collapse had a clear contagion impact solely on the BIST 100. One possible explanation for this is that Turkish investors who suffered losses on their FTX investment sought to compensate for their diminishing wealth, especially to meet margin calls, by liquidating their holdings in the BIST 100. Another possible explanation is the inherent fragility of the BIST 100, which prevents it from being perceived as a safe-haven asset during turbulent periods. The findings can help policy makers and investors develop policies and strategies to defend against the contagion impact of cryptocurrencies.
AtıfScopus2OpenAlex1
İncele - MakaleAçık Erişim2023Scopus SJRQ1Safe-haven and hedging roles of precious metals for BRICS and Turkey
Gençyürek, A. Galip; Ekinci, Ramazan
This paper investigates the role of precious metals in risk management (diversification, hedging, safe haven, leading and lagging roles) in the stock markets of BRICS-T (Brazil, Russia, India, China, South Africa, and Turkiye) countries using DCC-IGARCH-t-copula (Dynamic Conditional Correlation Integrated Generalized Autoregressive Conditional Heteroscedasticity - t-copula) and rolling Hong causality with daily data from the period 2015 to 2022. Our empirical findings indicate that, despite the existence of bidirectional variance causality, precious metals (gold, silver, platinum, and palladium) are effective risk management instruments, except for hedging. Moreover, to mitigate risk during the COVID-19 pandemic, investors should increase the weight in their portfolios of precious metals, except for gold. The leading role of precious metals in variance causality can help policy makers to design appropriate policies for curbing market vulnerability.
AtıfScopus14WoS14OpenAlex17İncele - DergiBorsa Istanbul Review