CAUSALITY AND COINTEGRATION IN CRYPTOCURRENCY MARKETS

Year 2022, Issue: 34, 129 - 142, 31.01.2022

Yavuz Gül

https://doi.org/10.18092/ulikidince.938688

Abstract

This paper investigates the causality and cointegration relationships between seven major cryptocurrencies, namely Bitcoin (BTC), Binance Coin (BNB), Cardano (ADA), Dogecoin (DOGE), Ethereum (ETH), Polkadot (DOT) and Ripple (XRP), using Johansen Cointegration and Granger Causality tests over the period from August 21, 2020 to April 19, 2021. Results indicate that there exists cointegration among cryptocurrencies in the long run. Findings also show that there is a bi-directional causal relationship between BNB and ETH. Additionally, BNB appears to be Granger cause of ADA, DOGE and DOT. On the other hand, analyses provide evidence of one-way causality running from XRP to both DOGE and DOT. These results might have some important implications for investors in terms of portfolio management.

Keywords

Cryptocurrencies, Cointegration, Causality

KRİPTO PARA PİYASALARINDA NEDENSELLİK VE EŞBÜTÜNLEŞME

Abstract

Bu makalede, Johansen Eşbütünleşme ve Granger Nedensellik testleri kullanılarak Bitcoin (BTC), Binance Coin (BNB), Cardano (ADA), Dogecoin (DOGE), Ethereum (ETH), Polkadot (DOT) ve Ripple (XRP) olmak üzere yedi kripto paranın arasındaki nedensellik ve eşbütünleşme ilişkileri araştırılmaktadır. Çalışma dönemi 21 Ağustos 2020 – 19 Nisan 2021 tarihleri arasını kapsamaktadır. Sonuçlar, kripto paralar arasında uzun dönemde eşbütünleşme olduğunu işaret etmektedir. Bulgular ayrıca BNB ve ETH arasında çift yönlü nedensellik ilişkisi bulunduğunu göstermektedir. Bunlarla birlikte BNB’nin, ADA’nın, DOGE’nin ve DOT’un Granger nedeni olduğu görünmektedir. Diğer yandan analizler, XRP’den, hem DOGE’ye hem DOT’a doğru tek yönlü nedensellik bulunduğuna dair kanıtlar sunmaktadır. Bu sonuçlar yatırımcıların portföy yönetimi açısından bazı önemli çıkarımlar yapmasını sağlayabilir.

Keywords

Kripto Paralar, Eşbütünleşme, Nedensellik

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