Volatility Spillover and Connectedness Between Gold-Backed Digital Token and Crypto Coins: DCC-GARCH-Based VIRF Approach
SAGE OPEN, cilt.16, sa.4, ss.1-22, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 16 Sayı: 4
- Basım Tarihi: 2026
- Doi Numarası: 10.1177/21582440261500269
- Dergi Adı: SAGE OPEN
- Derginin Tarandığı İndeksler: Academic Search Ultimate (EBSCO), Social Science Premium Collection (ProQuest), Education Source Ultimate (EBSCO), Scopus, Social Sciences Citation Index (SSCI), Education Abstracts, ERIC (Education Resources Information Center), EBSCO Education Source, Directory of Open Access Journals
- Sayfa Sayıları: ss.1-22
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- İstanbul Gelişim Üniversitesi Adresli: Evet
Özet
This study analyzes volatility spillovers and dynamic connectedness among the gold-backed digital token (HelloGold) and major cryptocurrencies (Bitcoin, Ethereum, and Binance Coin) over the period from December 9, 2019 to January 9, 2026. It employs volatility impulse response functions (VIRFs) within a DCC-GARCH framework and adopts a network-based connectedness approach to capture dynamic interactions and systemic linkages. The findings reveal that HelloGold and Binance Coin act as net transmitters of shocks, while Bitcoin and Ethereum function as net receivers. Notably, HelloGold emerges as the dominant transmitter due to its gold-backed structure, which embeds safe-haven characteristics into the crypto ecosystem. In contrast, Bitcoin and Ethereum are more responsive to speculative demand and market sentiment, explaining their receiver roles. Overall, the results indicate strong co-movements among these assets, suggesting limited diversification benefits and important implications for portfolio management and risk assessment strategies in digital financial markets.