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ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST

Year 2022, Volume: 20 Issue: 2, 274 - 291, 30.06.2022
https://doi.org/10.11611/yead.1080595

Abstract

Blockchain-based cryptocurrencies have gained popularity in television and digital media channels with the highest value records of all time broke in a row, both in academic studies and in recent times. In the framework of the study conducted to provide data to those who want to assess their investments in blockchain-based cryptocurrencies. In the research it is aimed to examine correlation between Bitcoin as an independent variable and S&P500 Index, US 10-year Treasury and altcoins like Ethereum, Cardano, Chainlink with Granger causality test. Findings shows that Chainlink as an investment tool has the highest return with 6.22% and it is followed by Cardano with 5.74%, Ethereum with 5.20% and ultimately Bitcoin. The US 10-year Treasury offers not only the lowest rate of return with 10% loss but also riskier tool than Bitcoin. S&P500 Index offers lower rate of return and riskier in comparison with FED interest rate. According to the covariance values, it has been determined that Bitcoin has an increasing linear relationship with Ethereum, Cardano and Chainlink, and a decreasing linear relationship with the FED interest rates and US 10-year Treasury, while it is unrelated to the S&P500 Index.

References

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  • Atik, M., Köse, Y., & Yılmaz, B. (2021). “Kripto Para, Para mıdır Döngüsünde Kabul Edilebilirlik Üzerine Ampirik Bir Uygulama”. Bartın Üniversitesi İİBF Dergisi, 12 (23), 155- 172. Retrived from https://dergipark.org.tr/en/download/article-file/1520584
  • Azimov, J., & Alkan, U. (2019). “Bitcoin Fiyatları ile Çin ve Rusya’nın Seçilmiş Finansal Göstergeleri Arasındaki İlişkinin Ekonometrik Açıdan İncelenmesi”, Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi (ASEAD). 6(10), 165-187. Retrived from https://dergipark.org.tr/tr/pub/asead/issue/50855/663251
  • Bocconi Students Investment Club. (2017). “A Markowitz Walk Down Crypto-land: Modern Assets for Modern Portfolios”, Retrived from https://bsic.it/markowitz-walk-crypto-land-modern-assets-modern-portfolios/
  • Güleç, Ö. F., Çevik, E., & Bahadır, N. (2018). “Bitcoin ile Finansal Göstergeler Arasındaki İlişkinin İncelenmesi”. Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 7(2). 18-37. Retrived from https://dergipark.org.tr/tr/pub/klujfeas/issue/38482/440523
  • Granger, C. W. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”. Econometrica: Journal of the Econometric Society, 424-438. https://doi.org/10.2307/1912791
  • Hacıoğlu, U. (2020). “Digital Business Strategies in Blockchain Ecosystems”. Springer International Publishing, DOI, 10, 978-3. ISO 690 https://doi.org/10.1007/978-3-030-29739-8
  • Hacıoğlu, U. (Ed.). (2019). “Blockchain Economics and Financial Market Innovation: Financial Innovations in The Digital Age”. Springer Nature. ISO 690 https://doi.org/10.1007/978-3-030-25275-5
  • Hacioglu, U., Chlyeh, D., Yilmaz, M. K., Tatoglu, E., & Delen, D. (2021). “Crafting Performance-Based Cryptocurrency Mining Strategies Using A Hybrid Analytics Approach”. Decision Support Systems, 142, 113473. ISO 690 https://doi.org/10.1016/j.dss.2020.113473
  • https://tr.investing.com/, 2020 (Accessed 16.01.2021)
  • İçellioğlu, C. Ş., & Öztürk, M. B. E. (2018). “Bitcoin ile Seçili Döviz Kurları Arasındaki İlişkinin Araştırılması: 2013-2017 Dönemi için Johansen Testi ve Granger Nedensellik Testi”, Maliye ve Finans Yazıları, 1(109), 51-70. https://doi.org/10.33203/mfy.343217
  • Karkkainen, T. (2021). Essays on financial technologies (Doctoral dissertation, University of Glasgow). Retrived from https://theses.gla.ac.uk/82375/
  • Kartal C., & Bayramoglu M.F. (2019). “Forecasting the Prices of Cryptocurrencies Using GM(1,1) Rolling Model”. In: Hacioglu U. (eds) Blockchain Economics and Financial Market Innovation. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-25275-5_11
  • Kartal, C. (2020), “Bitcoin Fiyatlarının K-Star Algoritması ile Modellenmesi”, Business and Management Studies: An International Journal, (2020), 8(1): 213-231 http://dx.doi.org/10.15295/bmij.v8i1.1380
  • Kılıç, Y. & Çütçü, İ., (2018). “Bitcoin Fiyatları ile Borsa İstanbul Endeksi Arasındaki Eş Bütünleşme ve Nedensellik İlişkisi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi. 13(3). 235-250. https://doi.org/10.17153/oguiibf.455083
  • Markowitz, H. (1952). “Portfolio Selection. The Journal of Finance”, 7(1), 77-91. Retrived from https://bsic.it/markowitz-walk-crypto-land-modern-assets-modern-portfolios
  • Menchetti, F., Cipollini, F., & Mealli, F. (2021). “Causal Effect of Regulated Bitcoin Futures on Volatility and Volume”. Retrived from https://www.researchgate.net/publication/354983427_ Causal_effect_of_regulated_Bitcoin_futures_on_volatility_and_volume
  • Nam, Y. (2017). “A New Opportunity of Bitcoin for Improving Portfolio Efficiency in Japan”. Ritsumeikan Asia Pacific University. Retrived from https://core.ac.uk/download/pdf/92529056.pdf
  • Nakamoto, S. (2008). “Bitcoin: A Peer-to-Peer Electronic Cash System”, Retrived from https://bitcoin.org/bitcoin.pdf
  • Nunes, B. S. R. (2017). “Virtual Currency: A Cointegration Analysis Between Bitcoin Prices and Economic and Financial Data”. Retrived from https://repositorio.iscte-iul.pt/bitstream/10071/16078/1/barbara_rosa_nunes_diss_mestrado.pdf
  • Özmerdivanlı, A. (2021). “Covid-19 Pandemisi ile Çeşitli Finansal Göstergeler Arasındaki Nedensellik İlişkisi: Türkiye Örneği”. Ekonomi Politika ve Finans Araştırmaları Dergisi, IERFM Special Issue,172-191. https://doi.org/10.30784/epfad.1022647
  • Papafotis, A. (2021). On the relative behavior of cryptocurrencies' values (Master's thesis, Πανεπιστήμιο Πειραιώς). http://dx.doi.org/10.26267/unipi_dione/799
  • Siami-Namini, S. (2017). “Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach”. International Journal of Economics and Financial Issues, Econjournals, 7(4), 603-607. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/5131
  • Soyaslan, E. (2020). “Bitcoin Fiyatları ile BIST 100, BIST Banka ve BIST Teknoloji Endeksi Arasındaki İlişkinin Analizi”, Fiscaoeconomia, 4(3), 628-640. https://doi.org/10.25295/fsecon.774221
  • Stosic, D., Stosic, D., Ludermir, T. B., & Stosic, T. (2018). “Collective behavior of cryptocurrency price changes”. Physica A: Statistical Mechanics and Its Applications, 507, 499-509. https://doi.org/10.1016/j.physa.2018.05.050
  • Uyar, U., Kelten, G.S., & Morali, T. (2020). “Yatırımcılar için Teknik Analiz: Bitcoin ve Ethereum Uygulamaları”. Finansal Araştırmalar ve Çalışmalar Dergisi. 12(23). 653-671. https://doi.org/10.14784/marufacd.785878
  • World Economic Forum. (2018). Building Block(chain)s for a Better Planet, 11, San Francisco. Retrived from https://www3.weforum.org/docs/WEF_Building
Year 2022, Volume: 20 Issue: 2, 274 - 291, 30.06.2022
https://doi.org/10.11611/yead.1080595

Abstract

References

  • Akçalı Y., B., & Şişmanoğlu, E. (2019). “Kripto Para Birimleri Arasındaki İlişkinin Toda-Yamamoto Nedensellik Testi ile Analizi”. EKEV Akademi Dergisi. 23(78). 99-122. Retrived from http://www.ekevakademi.org/Makaleler/488901988_06%20Burcay%20YASAR%20AKCALI-Elc%C4%B1n%20SISMANOGLU.pdf
  • Atik, M., Köse, Y., Yılmaz, B., & Sağlam, F. (2015). “Kripto para: Bitcoin ve Döviz Kurları Üzerine Etkileri”, Bartın Üniversitesi İİBF Dergisi, 6(11), 247-261. Retrived from https://www.academia.edu/15339800/Kripto_Para_Bitcoin_ve_D%C3%B6viz_Kurlar%C4%B1_%C3%9Czerine_Etkileri
  • Atik, M., Köse, Y., & Yılmaz, B. (2021). “Kripto Para, Para mıdır Döngüsünde Kabul Edilebilirlik Üzerine Ampirik Bir Uygulama”. Bartın Üniversitesi İİBF Dergisi, 12 (23), 155- 172. Retrived from https://dergipark.org.tr/en/download/article-file/1520584
  • Azimov, J., & Alkan, U. (2019). “Bitcoin Fiyatları ile Çin ve Rusya’nın Seçilmiş Finansal Göstergeleri Arasındaki İlişkinin Ekonometrik Açıdan İncelenmesi”, Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi (ASEAD). 6(10), 165-187. Retrived from https://dergipark.org.tr/tr/pub/asead/issue/50855/663251
  • Bocconi Students Investment Club. (2017). “A Markowitz Walk Down Crypto-land: Modern Assets for Modern Portfolios”, Retrived from https://bsic.it/markowitz-walk-crypto-land-modern-assets-modern-portfolios/
  • Güleç, Ö. F., Çevik, E., & Bahadır, N. (2018). “Bitcoin ile Finansal Göstergeler Arasındaki İlişkinin İncelenmesi”. Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 7(2). 18-37. Retrived from https://dergipark.org.tr/tr/pub/klujfeas/issue/38482/440523
  • Granger, C. W. (1969). “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”. Econometrica: Journal of the Econometric Society, 424-438. https://doi.org/10.2307/1912791
  • Hacıoğlu, U. (2020). “Digital Business Strategies in Blockchain Ecosystems”. Springer International Publishing, DOI, 10, 978-3. ISO 690 https://doi.org/10.1007/978-3-030-29739-8
  • Hacıoğlu, U. (Ed.). (2019). “Blockchain Economics and Financial Market Innovation: Financial Innovations in The Digital Age”. Springer Nature. ISO 690 https://doi.org/10.1007/978-3-030-25275-5
  • Hacioglu, U., Chlyeh, D., Yilmaz, M. K., Tatoglu, E., & Delen, D. (2021). “Crafting Performance-Based Cryptocurrency Mining Strategies Using A Hybrid Analytics Approach”. Decision Support Systems, 142, 113473. ISO 690 https://doi.org/10.1016/j.dss.2020.113473
  • https://tr.investing.com/, 2020 (Accessed 16.01.2021)
  • İçellioğlu, C. Ş., & Öztürk, M. B. E. (2018). “Bitcoin ile Seçili Döviz Kurları Arasındaki İlişkinin Araştırılması: 2013-2017 Dönemi için Johansen Testi ve Granger Nedensellik Testi”, Maliye ve Finans Yazıları, 1(109), 51-70. https://doi.org/10.33203/mfy.343217
  • Karkkainen, T. (2021). Essays on financial technologies (Doctoral dissertation, University of Glasgow). Retrived from https://theses.gla.ac.uk/82375/
  • Kartal C., & Bayramoglu M.F. (2019). “Forecasting the Prices of Cryptocurrencies Using GM(1,1) Rolling Model”. In: Hacioglu U. (eds) Blockchain Economics and Financial Market Innovation. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-25275-5_11
  • Kartal, C. (2020), “Bitcoin Fiyatlarının K-Star Algoritması ile Modellenmesi”, Business and Management Studies: An International Journal, (2020), 8(1): 213-231 http://dx.doi.org/10.15295/bmij.v8i1.1380
  • Kılıç, Y. & Çütçü, İ., (2018). “Bitcoin Fiyatları ile Borsa İstanbul Endeksi Arasındaki Eş Bütünleşme ve Nedensellik İlişkisi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi. 13(3). 235-250. https://doi.org/10.17153/oguiibf.455083
  • Markowitz, H. (1952). “Portfolio Selection. The Journal of Finance”, 7(1), 77-91. Retrived from https://bsic.it/markowitz-walk-crypto-land-modern-assets-modern-portfolios
  • Menchetti, F., Cipollini, F., & Mealli, F. (2021). “Causal Effect of Regulated Bitcoin Futures on Volatility and Volume”. Retrived from https://www.researchgate.net/publication/354983427_ Causal_effect_of_regulated_Bitcoin_futures_on_volatility_and_volume
  • Nam, Y. (2017). “A New Opportunity of Bitcoin for Improving Portfolio Efficiency in Japan”. Ritsumeikan Asia Pacific University. Retrived from https://core.ac.uk/download/pdf/92529056.pdf
  • Nakamoto, S. (2008). “Bitcoin: A Peer-to-Peer Electronic Cash System”, Retrived from https://bitcoin.org/bitcoin.pdf
  • Nunes, B. S. R. (2017). “Virtual Currency: A Cointegration Analysis Between Bitcoin Prices and Economic and Financial Data”. Retrived from https://repositorio.iscte-iul.pt/bitstream/10071/16078/1/barbara_rosa_nunes_diss_mestrado.pdf
  • Özmerdivanlı, A. (2021). “Covid-19 Pandemisi ile Çeşitli Finansal Göstergeler Arasındaki Nedensellik İlişkisi: Türkiye Örneği”. Ekonomi Politika ve Finans Araştırmaları Dergisi, IERFM Special Issue,172-191. https://doi.org/10.30784/epfad.1022647
  • Papafotis, A. (2021). On the relative behavior of cryptocurrencies' values (Master's thesis, Πανεπιστήμιο Πειραιώς). http://dx.doi.org/10.26267/unipi_dione/799
  • Siami-Namini, S. (2017). “Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach”. International Journal of Economics and Financial Issues, Econjournals, 7(4), 603-607. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/5131
  • Soyaslan, E. (2020). “Bitcoin Fiyatları ile BIST 100, BIST Banka ve BIST Teknoloji Endeksi Arasındaki İlişkinin Analizi”, Fiscaoeconomia, 4(3), 628-640. https://doi.org/10.25295/fsecon.774221
  • Stosic, D., Stosic, D., Ludermir, T. B., & Stosic, T. (2018). “Collective behavior of cryptocurrency price changes”. Physica A: Statistical Mechanics and Its Applications, 507, 499-509. https://doi.org/10.1016/j.physa.2018.05.050
  • Uyar, U., Kelten, G.S., & Morali, T. (2020). “Yatırımcılar için Teknik Analiz: Bitcoin ve Ethereum Uygulamaları”. Finansal Araştırmalar ve Çalışmalar Dergisi. 12(23). 653-671. https://doi.org/10.14784/marufacd.785878
  • World Economic Forum. (2018). Building Block(chain)s for a Better Planet, 11, San Francisco. Retrived from https://www3.weforum.org/docs/WEF_Building
There are 28 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Cem Kartal 0000-0002-8453-3300

Ümran Öztürk Can

Publication Date June 30, 2022
Published in Issue Year 2022 Volume: 20 Issue: 2

Cite

APA Kartal, C., & Öztürk Can, Ü. (2022). ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST. Journal of Management and Economics Research, 20(2), 274-291. https://doi.org/10.11611/yead.1080595
AMA Kartal C, Öztürk Can Ü. ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST. Journal of Management and Economics Research. June 2022;20(2):274-291. doi:10.11611/yead.1080595
Chicago Kartal, Cem, and Ümran Öztürk Can. “ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST”. Journal of Management and Economics Research 20, no. 2 (June 2022): 274-91. https://doi.org/10.11611/yead.1080595.
EndNote Kartal C, Öztürk Can Ü (June 1, 2022) ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST. Journal of Management and Economics Research 20 2 274–291.
IEEE C. Kartal and Ü. Öztürk Can, “ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST”, Journal of Management and Economics Research, vol. 20, no. 2, pp. 274–291, 2022, doi: 10.11611/yead.1080595.
ISNAD Kartal, Cem - Öztürk Can, Ümran. “ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST”. Journal of Management and Economics Research 20/2 (June 2022), 274-291. https://doi.org/10.11611/yead.1080595.
JAMA Kartal C, Öztürk Can Ü. ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST. Journal of Management and Economics Research. 2022;20:274–291.
MLA Kartal, Cem and Ümran Öztürk Can. “ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST”. Journal of Management and Economics Research, vol. 20, no. 2, 2022, pp. 274-91, doi:10.11611/yead.1080595.
Vancouver Kartal C, Öztürk Can Ü. ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST. Journal of Management and Economics Research. 2022;20(2):274-91.