Causality Analysis for Developing Country Stock Exchanges and Cryptocurrency Bitcoin

Year 2022, Volume: 3 Issue: 2, 95 - 107, 30.12.2022

Ayşegül Berrak Köten

Abstract

Bitcoin, which has blockchain technology behind it, has an important place in the development of awareness on cryptocurrencies at a global level. Currently, Bitcoin and other cryptocurrencies create a deep enough market and can generate high returns, but they are also seen as a tool for speculation due to their high volatility. Cryptocurrencies are used both as a transfer and investment tool because of the very low transaction costs and the ability to perform transactions very quickly. Its use as an investment tool raises the question of how it relates to other investment instruments such as stock market, gold, foreign currency, interest, and bonds. The aim of this study is to examine the causality relationships between the developing country stock markets BIST100 (XU100), Bovespa (BVSP), MOEX Russia (IMOEX) and BSE Sensex 30 (BSESN) and Bitcoin, by Hackers and Hatemi-J (2006) Bootstrap causality analysis for monthly data from January 2010 to February 2021. As a result of the analysis, one-way causality from Bitcoin to developing country stock markets has been obtained.

Keywords

Bitcoin, Stock Exchange, Causality Analysis, Hacker and Hatemi-J (2006) Test

Gelişmekte Olan Ülke Borsaları ve Kripto Para Bitcoin için Nedensellik Analizi

Abstract

Kripto paralar konusunda küresel düzeyde bir farkındalık gelişmesinde, arkasında blockchain teknolojisi bulunan Bitcoin’in önemli bir yeri vardır. Günümüzde, Bitcoin ve diğer kripto para birimleri yeterince derin bir piyasa oluşturmakta ve yüksek getiri sağlayabilmekte, fakat volatilitelerinin yüksek olması nedeniyle spekülasyon aracı olarak da görülmektedir. Kripto paralar, işlem maliyetlerinin çok düşük olması ve işlemlerin oldukça hızlı gerçekleştirilebilmesine imkân sağlaması sebebiyle hem transfer hem de yatırım aracı olarak kullanılmaktadır. Yatırım aracı olarak kullanılması borsa, altın, döviz, faiz, tahvil gibi başka yatırım araçları ile ilişkisinin nasıl olduğu sorusunu gündeme getirmektedir. Bu çalışmanın amacı, gelişmekte olan ülke borsaları BIST100 (XU100), Bovespa (BVSP), MOEX Russia (IMOEX) ve BSE Sensex 30 (BSESN) ile Bitcoin arasındaki nedensellik ilişkilerini 2010 Ocak – 2021 Şubat arası aylık verileri için Hacker ve Hatemi-J (2006) Bootstrap nedensellik analizi ile ortaya koymaktır. Analiz sonucunda Bitcoin’den gelişmekte olan ülke borsalarına doğru tek yönlü nedensellik elde edilmiştir.

Keywords

Bitcoin, Borsa, Nedensellik Analizi, Hacker ve Hatemi-J (2006) Testi

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