Finansal Piyasalar Arasındaki Dinamik Nedensellik İlişkileri: Bitcoin, S&P 500 ve Altın Üzerine Bir Analiz

Year 2025, Volume: 28 Issue: 2, 700 - 712, 30.11.2025

Gülçin Adıyaman , Mustafa Ay

Abstract

Finansal piyasalar, alım veya satım işlemlerinde yatırımcıyı risk ve getiri beklentisi içinde yönlendiren bir yapıya sahiptir. Çalışmanın amacı, bu finansal piyasalardan en önemlileri olan Bitcoin, S&P 500 ve Altın arasındaki ilişkiyi incelemektir. Çalışmada 02.01.2020 ile 31.12.2024 arasında günlük veriler kullanarak zaman serisi analiz yöntemi kullanarak aralarındaki uzun dönemli nedensellik ilişkileri Johansen Eşbütünleşme-VECM çerçevesinde analiz edilmiştir. Analiz sonucuna göre, uzun dönemli ilişki varken kısa dönemli ilişki için Granger nedensellik testi yapılmış ve analiz sonucuna göre, BTC’den S&P500’e, S&P500’den ALTIN’a doğru kısa dönemli nedensellik olurken, diğer yönlerde anlamlı ilişki yoktur. Ancak tanısal normalitede oluşan ihlal nedeniyle Newy-West (HAC) ve bootstrap p değerleriyle ile yeniden sınanmıştır. Bu sınamaya göre ise nedenselliğe dair sağlam kanıt bulunmamıştır. Ortogonal darbe-tepki (IRF) sonucuna göre ise, şoklar genellikle kaynak varlıkta yoğun olup diğerlerinde geçici ve zayıf bir şekilde yayılmıştır.

Keywords

Finansal Piyasalar , Kripto Para , Bitcoin , S&P500 , Altın

DYNAMIC CAUSAL RELATIONSHIPS BETWEEN FINANCIAL MARKETS: AN ANALYSIS OF THE S&P 500, GOLD AND BITCOIN

Abstract

Financial markets have a structure that guides investors in their buying or selling decisions based on risk and return expectations. The aim of this study is to examine the relationship between Bitcoin, S&P 500, and Gold, which are among the most important of these financial markets. In the study, daily data between 02.01.2020 and 31.12.2024 were used to analyse the long-term causality relationships between them using the time series analysis method within the Johansen Cointegration-VECM framework. According to the analysis results, while there is a long-term relationship, a Granger causality test was performed for the short-term relationship. The analysis results indicate that there is short-term causality from BTC to S&P500 and from S&P500 to GOLD, while there is no significant relationship in the other directions. However, due to the violation of diagnostic normality, it was retested using Newy-West (HAC) and bootstrap p-values. According to this test, no solid evidence of causality was found. According to the orthogonal impulse response function (IRF) result, shocks are generally concentrated in the source asset and spread temporarily and weakly to others.

Keywords

Financial Markets , Cryptocurrency , Bitcoin , S&P500 , Gold

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