Dynamic connectedness relationship between selected financial assets during the global pandemic: Covid-19 sample

In this study, the dynamic connectedness relationship between selected financial assets between 17.09.2014 and 10.05.2021, including the period when the COVID-19 pandemic emerged, was investigated with the TVP-VAR model. As data set Bitcoin (BTC/USD), Crude oil (WTI), Dollar index (DXY), Euro-Dollar parity (EUR/USD), Ounce-gold (XAU/USD) and MSCI World index daily data were used. In the study, the analyzes were repeated for three different time intervals, including the entire sample period, the pre-epidemic and the period during the epidemic, in order to reveal the effect of the pandemic more clearly. In the analysis results for the pre-pandemic and post-pandemic periods, great changes were detected in the volatility interaction between the series. According to the results of the analysis covering the entire review period, the Dollar Index was determined as the most dominant volatility spreader over the other series, while the Euro/Dollar parity was seen as the series most affected by other variables. One of the prominent issues in the research is that Bitcoin does not enter into a volatility relationship with other series. As a result, it is thought that before the crisis periods such as the pandemic, Crude Oil and Bitcoin can be used to create a portfolio with other assets but this is not the case during the crisis periods. When the entire sample period is taken into account, only Bitcoin can be used together to create a portfolio with other assets.