CAUSAL RELATIONSHIP BETWEEN CRYPTOCURRENCY RETURNS AND COMMODITY PRICES: A TIME SERIES ANALYSIS BASED ON INDIVIDUAL ASSETS

Abstract

In the recent period when digitalization has gained momentum and investors have been in search of alternative investment instruments, crypto assets have become an investment option that attracts interest in financial markets. With the increase in the trading volume of crypto assets, examining the factors affecting these assets and their returns has become important. The aim of this study is to examine the relationship between crypto assets and commodity markets. For this purpose, the relationship between the returns of eleven different crypto assets with high market capitalisation and the changes in the commodity index was examined using weekly data covering the period from July 2020 to April 2025. The relationship between the variables included in the research was analyzed using the Fourier Granger causality test. According to the analysis results, a unidirectional causality relationship was found between XRP, LEO, HBAR, LTC, and XMR and the DJCI. On the other hand, no causality relationship was found between BTC, ETH, BNB, SOL, TRX, and XLM and the DJCI. Based on the research findings, it can be stated that commodity markets have an effect on crypto assets; however, this effect varies on an asset basis.

Keywords

• Crypto Assets
• Commodity Prices
• Financial Markets
• Fourier Granger Causality Test

KRİPTO VARLIK GETİRİLERİ İLE EMTİA FİYATLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ: VARLIK BAZLI BİR ZAMAN SERİSİ ANALİZİ

Abstract

Dijitalleşmenin hız kazandığı ve yatırımcıların alternatif yatırım araçları arayışında olduğu son dönemde kripto varlıklar, finansal piyasalarda ilgi gören bir yatırım seçeneği haline gelmiştir. Kripto varlıkların işlem hacminin artması ile birlikte, söz konusu varlıklar ve getirilerini etkileyen faktörlerin incelenmesi önemli bir hal almıştır. Bu çalışmanın amacı, kripto varlıklar ve emtia piyasaları arasındaki ilişkiyi incelemektir. Bu amaçla, yüksek piyasa değerine sahip olan on bir farklı kripto varlığın getirileri ile emtia endeksindeki değişim arasındaki ilişki, Temmuz 2020 – Nisan 2025 dönemine ait haftalık veriler kullanılarak incelenmiştir. Araştırma kapsamına alınan değişkenler arasındaki ilişki Fourier Granger nedensellik testi ile incelenmiştir. Analiz sonuçlarında; XRP, LEO, HBAR, LTC ve XMR ile DJCI arasında tek yönlü nedensellik ilişkisi bulunmuştur. Diğer taraftan BTC, ETH BNB, SOL, TRX ve XLM değişkenleri ile DJCI arasında herhangi bir nedensellik ilişkisine rastlanmamıştır. Araştırma sonuçlarına dayanarak, emtia piyasalarının kripto varlıklar üzerinde etkili olduğu, ancak söz konusu etkinin varlık bazında farklılık gösterdiği söylenebilir.

Keywords

• Kripto Varlıklar
• Emtia Fiyatları
• Finansal Piyasalar
• Fourier Granger Nedensellik Testi

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