Purpose - The increase in the popularity of cryptocurrency market, various literature figure out the macroeconomic factors that effect the price movements of cryptocurrencies. This research aims to identify the interaction between gold, brent oil and bitcoin.
Methodology - The database includes the Daily prices of Bitcoin, gold and brent oil prices between the period of 28.04.2013-23.07.2019 which consist of 484 daily data. Natural logaritm for each indicator is used. First, the stationarity of the series were analyzed with ADF (Augmented Dickey Fuller) unit root test. Lag lengths are determined. Interactions between the series were analyzed by the Impulse-Response Function and Variance Decomposition methods.
Findings- The series are found out to be stationary at first difference. Impulse response graphs indicate that all variables respond in a reducing way to reducing shocks occurred in each indicator. Shocks have lost their effect on average in 5 days.
Conclusion- The results indicate that the effect of gold and brent oil prices on bitcoin daily prices do not have a strong effect. The results may be beneficial for investors to consider diversification for the portfolios.
Primary Language | English |
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Subjects | Finance, Business Administration |
Journal Section | Articles |
Authors | |
Publication Date | December 30, 2019 |
Published in Issue | Year 2019 Volume: 10 Issue: 1 |
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