ANALYSIS OF THE RELATIONSHIP OF BITCOIN PRICE WITH GOLD AND CRUDE OIL PRICES

Year 2021, Volume: 4 Issue: 1, 43 - 58, 05.12.2021

Aziza Syzdykova , Gulmira Azretbergenova

Abstract

In recent years, the usability of cryptocurrencies in purchasing goods and services has been discussed in all developed and developing countries. At the same time, cryptocurrency is increasingly acting as an investment vehicle and speculative trading vehicle. An example of such use is the bitcoin cryptocurrency. Bitcoin was the first cryptocurrency to gain value without being an ordinary commodity that initially satisfies needs and carries no collateral in the form of existing currencies. One of the most discussed topics in the finance literature is the investigation of the factors affecting the price of bitcoin. The aim of this study is to investigate the relationship between Bitcoin, a crypto currency, and gold and crude oil prices. In the study, weekly data between January 2019 and August 2021 were examined. Vector Autoregressive Model (VAR) was used to examine the relationship between the variables and the direction of the relationship between the variables was determined by the Granger causality test. According to the results of the VAR model, gold and crude oil prices have significant effects on bitcoin prices, but bitcoin price does not have a significant effect on gold and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. Granger causality results reveal that both gold price and crude oil price are the Granger causes of bitcoin price.

Keywords

cryptocurrency, bitcoin, gold, crude oil, VAR analysis, Granger causality

BITCOIN FİYATININ ALTIN VE HAM PETROL FİYATLARI İLE İLİŞKİSİNİN ANALİZİ

Abstract

Son yıllarda, bütün gelişmiş ve gelişmekte olan ülkelerde mal ve hizmetlerin alımında kripto para birimlerinin kullanılabilirliği tartışılmaktadır. Aynı zamanda, kripto para birimi giderek artan bir şekilde yatırım aracı ve spekülatif ticaret aracı olarak hareket etmektedir. Bu tür kullanıma bir örnek, bitcoin kripto para birimidir. Bitcoin, başlangıçta ihtiyaçları karşılayan ve mevcut para birimleri şeklinde teminat taşımayan sıradan bir meta olmaksızın değer alan ilk kripto paradır. Finans literatüründe en çok tartışılan konulardan biri bitcoin fiyatına etki eden faktörlerin araştırılmasıdır. Bu çalışmanın amacı bir kripto para birimi olan Bitcoin ile altın ve ham petrol fiyatları arasındaki ilişkinin araştırılmasıdır. Çalışmada Ocak 2019-Ağustos 2021 arasındaki haftalık verilerle inceleme yapılmıştır. Değişkenler arasındaki ilişkinin incelenmesi için Vektör Otoregresif Model (VAR) kullanılmış ve değişkenler arasındaki ilişkinin yönü Granger nedensellik testi ile belirlenmiştir. VAR modeli sonuçlarına göre altın ve ham petrol fiyatlarının bitcoin fiyatları üzerinde anlamlı etkileri mevcuttur, fakat bitcoin fiyatının altın ve ham petrol fiyatları üzerinde anlamlı bir etkisi bulunmamaktadır. Öte yandan Granger nedensellik testine ait sonuçlar VAR analizinin bulgularını doğrulamaktadır. Granger nedensellik sonuçları, hem altın fiyatı hem de ham petrol fiyatının bitcoin fiyatının Granger anlamda nedeni olduğunu ortaya koymaktadır.

Keywords

kripto para, bitcoin, altın, ham petrol, VAR analizi, Granger nedensellik

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