Long-Term Empirical Interaction of Bitcoin Prices and Selected Financial Assets in The Covid-19 Period: A Review of ARDL Analysis

Year 2023, Volume: 41 Issue: 1, 21 - 43, 29.03.2023

Selahattin Bektaş , Semih Gül , Hasan Bakır

https://doi.org/10.17065/huniibf.1084969

Cited By: 2

Abstract

The aim of this study is to analyze the long-term relationships between Bitcoin, a crypto currency and selected alternative investment instruments (Brent Oil, Gold, Etherium) and selected indicators (Dow Jones, VIX, Covid-19 Google Trend searches) during the Covid-19 pandemic. For this purpose, weekly data for the period 23/02/2020-16/01/2022 were used in the study. The existence of a long-term relationship between Bitcoin prices and selected financial indicators has been tested using the ARDL Bounds Test. As a result of the analysis, it has been determined that there is a long-term relationship between Bitcoin price and selected financial indicators. According to the results obtained from the long-term coefficients, it has been found that the indicators that affect the Bitcoin price the most are the Gold and VIX indexes. On the other hand, no long-term relationship was found between Bitcoin prices and Brent Petrol and Dow Jones index. Looking at the results of the short-term error correction model, it has been found that 51% of the imbalance or deviation that will occur as a result of a possible shock or negative scenario in the current period can be compensated in the next period (in the next week or weeks).

Keywords

Bitcoin, Covid-19, ARDL, Google Trend Searches, VIX.

COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ

Abstract

Bu çalışmanın amacı, Covid-19 sürecinde bir kripto para birimi olan Bitcoin’in; seçilmiş alternatif yatırım araçları (Brent Petrol, Altın, Etherium) ve seçilmiş göstergeler (Dow Jones, VIX, Covid-19 Google Trend aramaları) ile arasındaki uzun dönemli ilişkileri analiz etmektir. Bu amaç doğrultusunda çalışmada 23/02/2020-16/01/2022 dönemine ait haftalık verilerden yararlanılmıştır. Bitcoin fiyatları ile seçilmiş finansal göstergeler arasındaki uzun dönemli ilişkinin varlığı ise, ARDL Sınır Testi aracılığıyla sınanmıştır. Yapılan analiz neticesinde Bitcoin fiyatı ile seçilmiş finansal göstergeler arasında uzun dönemli bir ilişkinin varlığı tespit edilmiştir. Uzun dönem katsayılarından elde edilen sonuçlara göre, Bitcoin fiyatını en fazla etkileyen göstergelerin, Altın ve VIX endeksi olduğu bulgulanmıştır. Diğer yandan, Bitcoin fiyatları ile Brent Petrol ve Dow Jones endeksi arasında uzun dönemli bir ilişkiye rastlanılmamıştır. Kısa dönem hata düzeltme modelinin sonuçlarına bakıldığında, cari dönemde olası bir şok veya olumsuz senaryo neticesinde meydana gelecek dengesizliğin veya sapmanın bir sonraki dönemde (gelecek haftada veya haftalarda) %51’lik kısmının telafi edilebileceği bulgulanmıştır.

Keywords

Bitcoin, Covid-19, ARDL, Google Trend Aramaları, VIX

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