Research Article

THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH

Volume: 4 Number: 4 December 30, 2017
Journal of Economics Finance and Accounting Cover
Journal of Economics Finance and Accounting
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THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH

Abstract

Purpose – Aiming to discover whether Bitcoin prices have an effect on investor decisions in stock market transactions sounds exciting. Therefore, among investment, money, payment system functionalities of the cryptocurrencies which are very popular on economic and financial agenda nowadays, only the investment function regarding to the market volume of Bitcoin (which is very popular) is taken into consideration in this study.

Methodology - In the scope of the study, because similar analyses between cryptocurrencies and stock market indices do not exist in the literature, cointegration relation between them are examined. Thus, the cointegration between Bitcoin (since there are many cryptocurrencies and Bitcoin is very popular and has the highest proportion in all terms in general) and selected stock indices can be investigated by the ARDL boundary test method. Since the analysis method gives meaningful information in terms of different time periods, the price and index data of these variables have been analysed.

Findings- Cointegration relationship between Bitcoin prices and leading US and Chinese stock market indices is observed. Within this context, it can be told that investors in these stock markets could be influenced by Bitcoin prices in their long-term investment decision process. Any relationship was not found with BIST100, FTSE100 and NIKKEI225 indices.

Conclusion - Necessity to examine the relation among Bitcoin, cryptocurrencies and other investment instruments with payment systems, money, e-commerce figures and macroeconomic indicators in the light of the arguments and the results found in our analysis would add more value to the literature. In addition, other dimensions of this topic should be regulated and be analysed by new studies within the scope of other technological developments in the 4th Industrial Revolution. It is also decided to analyse relationship among related Istanbul Stock Exchange sub-indices, the Turkish Lira, gold, money supply and other cryptocurrencies in the following/future studies. 

Keywords

References

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Details

Primary Language

English

Subjects

-

Journal Section

Research Article

Authors

Publication Date

December 30, 2017

Submission Date

September 5, 2017

Acceptance Date

-

Published in Issue

Year 2017 Volume: 4 Number: 4

DOI

https://doi.org/10.17261/Pressacademia.2017.748

IZ

https://izlik.org/JA33WA43FH

Cite

RIS / Bibtex
APA
Dirican, C., & Canoz, İ. (2017). THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH. Journal of Economics Finance and Accounting, 4(4), 377-392. https://doi.org/10.17261/Pressacademia.2017.748
AMA
1.Dirican C, Canoz İ. THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH. JEFA. 2017;4(4):377-392. doi:10.17261/Pressacademia.2017.748
Chicago
Dirican, Cuneyt, and İsmail Canoz. 2017. “THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH”. Journal of Economics Finance and Accounting 4 (4): 377-92. https://doi.org/10.17261/Pressacademia.2017.748.
EndNote
Dirican C, Canoz İ (December 1, 2017) THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH. Journal of Economics Finance and Accounting 4 4 377–392.
IEEE
[1]C. Dirican and İ. Canoz, “THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH”, JEFA, vol. 4, no. 4, pp. 377–392, Dec. 2017, doi: 10.17261/Pressacademia.2017.748.
ISNAD
Dirican, Cuneyt - Canoz, İsmail. “THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH”. Journal of Economics Finance and Accounting 4/4 (December 1, 2017): 377-392. https://doi.org/10.17261/Pressacademia.2017.748.
JAMA
1.Dirican C, Canoz İ. THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH. JEFA. 2017;4:377–392.
MLA
Dirican, Cuneyt, and İsmail Canoz. “THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH”. Journal of Economics Finance and Accounting, vol. 4, no. 4, Dec. 2017, pp. 377-92, doi:10.17261/Pressacademia.2017.748.
Vancouver
1.Cuneyt Dirican, İsmail Canoz. THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH. JEFA. 2017 Dec. 1;4(4):377-92. doi:10.17261/Pressacademia.2017.748

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