Volatility spillovers and structural breaks across traditional and digital assets: an econometric investigation (2020–2025)

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dc.authorid0000-0002-4442-7087
dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-7981-3121
dc.authorid0000-0003-3394-4166
dc.contributor.authorÖzyeşil, Mustafaen_US
dc.contributor.authorTeker, Dileken_US
dc.contributor.authorTeker, Suaten_US
dc.contributor.authorTembelo, Havaneen_US
dc.date.accessioned2026-04-21T10:58:23Z
dc.date.available2026-04-21T10:58:23Z
dc.date.issued2026-04
dc.departmentIşık Üniversitesi, İktisadi, İdari ve Sosyal Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics, Administrative and Social Sciences, Department of Managementen_US
dc.description.abstractThe need to comprehend the linkages of volatility is more pronounced now owing to the rise of different asset classes, both traditional and digital. In this light, this study focuses on examining the volatility spillovers and structural breaks of four selected key financial instruments: S&P 500 Index, NASDAQ Composite Index, Gold Futures, and Bitcoin. Specifically, this research is designed to investigate how volatility is evolving and transmitting in the presence of economic shocks using a high-frequency dataset for the period January 2020 to May 2025. To capture the dynamic dependencies and regime shifts, sophisticated econometric methods such as GARCH models, the Diebold–Yilmaz spillover index, wavelet coherence, and structural break tests were applied. The results exhibit that Bitcoin is characterized by greater conditional volatility relative to traditional assets. In addition, there is strong volatility clustering across all series. Furthermore, strong volatility spillovers, especially from equities to crypto assets, were identified, and several structural breaks align with important macro-financial milestones such as the COVID-19 crisis and inflationary shocks. It’s shown that the interlinkages among financial markets appear to be on the rise, with asset class volatility increasingly transmitted across them freely. The traits exhibited by digital assets such as Bitcoin differ significantly from those of traditional financial instruments, highlighting the need for more sophisticated risk management strategies. This research fills the gap in the literature cross-market volatility with a time-domain, frequency-domain, and structural change approach. These findings are timely for digital finance in relation to portfolio diversification, strategic asset allocation, and instep with new policies on digital assets.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationÖzyeşil, M., Teker, D., Teker, S., & Tembelo, H. (2026). Volatility spillovers and structural breaks across traditional and digital assets: An econometric investigation (2020–2025). İçinde Sustainable finance (ss. 185–211). Springer Nature. https://doi.org/10.1007/978-3-032-16198-7_10en_US
dc.identifier.doi10.1007/978-3-032-16198-7_10
dc.identifier.endpage211
dc.identifier.issn2522-8285
dc.identifier.scopus2-s2.0-105035187142
dc.identifier.scopusqualityQ4
dc.identifier.startpage185
dc.identifier.urihttps://hdl.handle.net/11729/7329
dc.identifier.urihttps://doi.org/10.1007/978-3-032-16198-7_10
dc.identifier.volumePart F1654
dc.indekslendigikaynakScopusen_US
dc.institutionauthorTeker, Dileken_US
dc.institutionauthorTeker, Suaten_US
dc.institutionauthorid0000-0002-3893-4015
dc.institutionauthorid0000-0002-7981-3121
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherSpringer Natureen_US
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.sourceSustainable Financeen_US
dc.subjectC58en_US
dc.subjectDigital assetsen_US
dc.subjectFinancial contagionen_US
dc.subjectG11en_US
dc.subjectG15en_US
dc.subjectGARCH modelsen_US
dc.subjectStructural breaksen_US
dc.subjectVolatility spilloversen_US
dc.titleVolatility spillovers and structural breaks across traditional and digital assets: an econometric investigation (2020–2025)en_US
dc.typeBook Chapteren_US
dspace.entity.typePublicationen_US

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