ANALYSIS OF THE FREQUENCY DOMAIN CAUSAL RELATIONSHIPS BETWEEN CRYPTOCURRENCIES

Year 2021, , 165 - 192, 20.08.2021

Önder Büberkökü

https://doi.org/10.22139/jobs.955795

Cited By: 2

Abstract

Aim: In this study, the causal relationships between four cryptocurrencies—Binance coin (BNB), Bitcoin cash (BCH), Stellar (XLM) and Cardano (ADA)—are examined.
Method: The Breitung and Candelon (2006) frequency domain causality test is applied to examine the causal relationships between the four cryptocurrencies. The Toda and Yamamoto (1995) causality test, which is a time domain causality test, is also included in the study for comparison purposes.
Findings: The Toda and Yamamoto (1995)causality test results show the bidirectional causal relationships between the prices of all the cryptocurrencies under study. The Breitung and Candelon (2006) frequency domain causality test results show no uniform / simple causal relationships between the prices of the related cryptocurrencies and that the direction, size and statistical significance of the causal relationships may change over different frequencies based on the information flow towards the market.
Results: The findings provide important information for cryptocurrency market investors by showing the price movements of the cryptocurrencies, which can be used to predict the price movements of other cryptocurrencies. 

Keywords

Cryptocurrencies, Frequency domain causality test, Investment strategies

KRİPTO PARA BİRİMLERİ ARASINDAKİ FREKANS ALANLI NEDENSELLİK İLİŞKİNİN ANALİZİ

Abstract

Amaç: Bu çalışmada günlük veriler kullanılarak Binance coin (BNB), Bitcoin cash (BCH), Stellar (XLM) ve Cardano’dan (ADA) oluşan dört kripto para birimi arasındaki nedensellik ilişkileri incelenmiştir.
Yöntem: Nedensellik analizlerinde Breitung ve Candelon (2006) frekans alanı nedensellik testinden yararlanılmıştır. Karşılaştırma amacıyla çalışmada Toda ve Yamamoto (1995) nedensellik testine de yer verilmiştir.
Bulgular: Toda ve Yamamoto (1995) nedensellik testi inceleme kapsamındaki tüm kripto para birimlerinin fiyatları arasında çift yönlü bir nedensellik ilişkisinin söz konusu olduğunu göstermektedir. Çalışmanın ana konusunu oluşturan Breitung ve Candelon (2006) frekans alanı nedensellik testi ise ilgili kripto para birimlerinin fiyatları arasında tek tip / basit bir nedensellik ilişkisinin söz konusu olmadığını, piyasaya dönük bilgi akışına göre nedensellik ilişkisinin yönünün, boyutunun ve istatistiki anlamlılığının değişebileceğini göstermektedir.
Sonuç: Yapılan analizler kripto para piyasalarında yatırım yapan yatırımcılar için özellikle düşük frekanslarda hangi kripto para birimlerindeki fiyat hareketlerine bakarak önceden diğer kripto para birimlerindeki fiyat hareketleri konusunda bilgi sahibi olunabileceği konusunda oldukça önemli bilgiler sunmaktadır. 

Keywords

Kripto Para Birimleri, Frekans alanı nedensellik Testi, Yatırım stratejileri

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