Examining the relationships between gold and cryptocurrency markets with non-linear models: The case of Bitcoin and Ethereum

Abstract

In this study, the relationships between gold and cryptocurrencies are investigated extensively with nonlinear models. The largest cryptocurrency Bitcoin, also called digital gold, and the largest smart contract platform Ethereum are discussed together in the study. According to the nonlinear cointegration test findings of Hepsağ (2021), a very weak level long-term relationship was found between the related variables, and a two-way causality relationship was determined according to the nonlinear Granger causality test results. Finally, according to the corrected dynamic conditional correlation (cDCC-GARCH) results, it was determined that there is generally a positive and close to zero correlation between gold and cryptocurrencies, but the correlation between the variables increased even more during the year 2020, when the COVID-19 epidemic was observed. The findings provide important information for investors in terms of portfolio diversification, risk management and market forecasting.

Keywords

• Gold
• Cryptocurrencies
• Bitcoin
• Ethereum
• Non-Linear Models

Altın ve kripto para piyasaları arasındaki ilişkilerin doğrusal olmayan modeller ile incelenmesi: Bitcoin ve Ethereum örneği

Abstract

Bu çalışmada altın ile kripto paralar arasındaki ilişkiler doğrusal olmayan modeller ile kapsamlı olarak araştırılmaktadır. Kripto paraları temsilen dijital altın olarak da adlandırılan en büyük kripto para Bitcoin ve en büyük akıllı kontrat platformu Ethereum çalışmada birlikte ele alınmaktadır. Hepsağ (2021) doğrusal olmayan eşbütünleşme testi bulgularına göre, ilgili değişkenler arasında çok zayıf düzeyde uzun dönemli ilişki, doğrusal olmayan Granger nedensellik testi sonuçlarına göre ise iki yönlü nedensellik ilişkisi tespit edilmiştir. Son olarak düzeltilmiş dinamik koşullu korelasyon (cDCC-GARCH) sonuçlarına göre altın ve kripto paralar arasında genellikle pozitif ve sıfıra yakın korelasyon bulunduğu, ancak COVID-19 salgınının görüldüğü 2020 yılı boyunca değişkenler arasındaki korelasyon ilişkisinin daha da arttığı belirlenmiştir. Elde edilen bulgular yatırımcılar için portföy çeşitlendirmesi, risk yönetimi ve piyasa öngörüsü açısından önemli bilgiler sunmaktadır.

Keywords

• Altın
• Kripto Paralar
• Bitcoin
• Ethereum
• Doğrusal Olmayan Modeller

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