IS BITCOIN BECOMING AN ALTERNATIVE INVESTMENT OPTION FOR TURKEY? A COMPARATIVE ECONOMETRIC INVESTIGATION OF THE INTERACTION BETWEEN CRYPTO CURRENCIES
Abstract
Purpose- The main objective of this study is to examine the mutual interaction between crypto money (coins) types. For this purpose, we investigated the sensitivity existence of any crypto money to changes in other crypto types.
Methodology- In this study, to find out whether the interaction (relationship) exists between cryptocurrencies VAR model will be used through daily closing prices of each crypt money. Under the VAR analysis, variance decomposition, impact-response functions analysis will be done and finally, Granger Causality Test will be performed.
Findings- According to the results of VAR analysis based on Variance Decomposition, BITCOIN, BT CASH and Tether are largely external variables and their prices are not significantly affected by other crypto currencies. In contrast, the values of Etherum, Lite Coin and QTUM are significantly affected by the changes in the values of other crypto coins.
Conclusion- In accordance with findings obtained from analysis, we observed that Tether is moving towards becoming an alternative investment tool for all the crypto moneys. Other crypto coins tend to move in the same direction.
Keywords
Crypto currency bitcoin unit root test VAR model variance decomposition impact-response functions
References
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Abstract
References
- Arltova, M., Fedorová, D. (2016). Selection of unit root test on the basis of length of the time series and value of AR(1) parameter. Statistika, 96(3), 47-64.
- Cocco, L., Concas, G., Marchesi, M. (2017). Using an artificial financial market for studying a cryptocurrency market. 12(2), 345-365.
- Cochrane, J. H. (1991). A critique of the application of unit root tests. Journal of Economic Dynamics and Control, 15, 275-284.
- Dikmen, N. (2012). Ekonometri temel kavramlar ve uygulamalar. 2. Baskı, Dora Yayınevi, Bursa.
- ElBahrawy, A., Alessandretti, L., Kandler, A., Satorras, R. P., Baronchelli, A. (2017). Evolutionary dynamics of the cryptocurrency market. .R.Soc.opensci. 4:170623.
- Göçer, İ. (2016). Lisans ve lisansüstü için ekonometri. 1. Baskı. İzmir: Lider Yayınları.
- Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37(3),424-438.
- Gujarati, N. G., Porter, D. C. (2012). Temel ekonometri. Orijinali: 5. Baskı. Çev. Ümit Şenesen ve Gülay Günlük Şenesen, Literatür Yayıncılık, İstanbul.
- Luther, W. J. (2015). Cryptocurrencies, network effects, and switching costs. Contemporary Economic Policy.34(3),553-571.
- Rossi, E. (2011). Impulse response functions. http://economia.unipv.it/pagp/pagine_ personali /erossi/dottorato_svar.pdf, [Access Date: 02.03.2019].
- Sims, C. A. (1980). Macroeconomics and reality. Econometrica. 48, 1-48.
- Tarı, R. (2012). Ekonometri. 8. Baskı. Kocaeli: Umuttepe Yayınları.
- Trenca, I., Mutu, S. (2011). Advantages and limitations of VAR models used in managing market risk in banks. Finance – Challenges of the Future, 13, 32-43.
- Triacca, U. (2017). Vector autoregressive models. http://www.phdeconomics.sssup.it/ documents/Lesson17.pdf, [Access Date: 02.03.2019]
Details
| Primary Language | English |
|---|---|
| Subjects | Library and Information Studies, Other Fields of Education, Labor Economics, Ethics, Behaviour-Personality Assessment in Psychology, Business Administration |
| Journal Section | Articles |
| Authors | |
| Publication Date | March 30, 2019 |
| Published in Issue | Year 2019 |
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