Asymmetric connectedness among financial markets: TVP-VAR approach
QUALITY & QUANTITY, ss.1-22, 2026 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2026
- Doi Numarası: 10.1007/s11135-026-02944-2
- Dergi Adı: QUALITY & QUANTITY
- Derginin Tarandığı İndeksler: Social Science Premium Collection (ProQuest), Health Research Premium Collection (ProQuest), Scopus, Sociology Database (ProQuest), Sociology Source Ultimate (EBSCO), IBZ Online, ABI/INFORM, Index Islamicus, Political Science Complete, Psycinfo, Political Science Abstract (IPSA)
- Sayfa Sayıları: ss.1-22
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Bursa Uludağ Üniversitesi Adresli: Evet
Özet
This study examines the connectedness between different financial assets using the Asymmetric TVP-VAR approach. The study utilises a total of 2303 days of data covering the period from 4 January 2017 to 31 October 2025 to examine the asymmetric connectedness between the US 10 Year Treasury yield, the S&P 500 Stock Index, the US Dollar Index, Brent Crude Oil, Gold, Bitcoin and the VIX. The findings suggest that negative news increases the connectedness between assets, the S&P 500 Stock Index acts as the primary shock transmitter in the system, and under negative return conditions, the US Dollar Index and US Treasury Yields act as shock absorbers during crisis periods. It has been found that Gold exhibits lower connectedness and a relatively diversified structure compared to other assets, and therefore demonstrates safe-haven behaviour more clearly. At the same time, Bitcoin and Brent Crude Oil are observed to shift into a clear shock-receiving position, particularly in terms of negative return connectedness, and are thus exposed to the effects of systemic stress.