Exploring the Causal Relationship Between Crypto Assets and Bist100: An Empirical Investigation
Öz
The main aim of this study is to determine the causal relationship between Bitcoin, the cryptocurrency with the highest market volume, and the BIST100, which represents the Turkish stock market. The study period is divided into two temporal periods considering the COVID-19 pandemic, which affected all markets and caused significant changes in their performance. The time intervals are defined as pre-pandemic (18/01/2017 - 9/03/2020) and pandemic period (10/03/2020 -05/05/2023). Daily data was used for analysis, and weekend prices were excluded from the analysis as the stock market operates only on weekdays. The Vector Autoregressive (VAR) model-based Granger Causality Test was used to examine the data. The results of the analysis indicated that no causality could be detected between Bitcoin and BIST100, and vice versa, during both the pre-pandemic and pandemic periods.
Anahtar Kelimeler
Cryptocurrency, Stock Markets, Covid-19, Granger Causality Analysis
Kaynakça
- Buğan, M. F. (2019). Teorik ve Ampirik Perspektifte Seçilmiş Finans Konuları. Ankara: Nobel Bilimsel Eserler.
- Ciaian, P., Rajcaniova, M., & Kancs, A. (2018). Virtual Relationships: Short- and Long-Run Evidence From Bitcoin and Altcoin Markets. Journal of International Financial Markets, Institutions and Money, 173-195.
- Dibrova, A. (2016). Virtual currency: new step in monetary development . 5th International Conference On Leadership, Technology, Innovation And Business Management- Published by Elsevier Ltd., 42-49.
- Eken, M. H., & Kale, S. (2018). Finans Teorisi Kapsamında Para Arzı Bileşenleri Üzerine Bir İnceleme: TCMB Örneği. Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 176-189.
- Elmas, B., & Aydın, S. (2021). Geçmişten Günümüze Parnın Tarihi: Fiziki Paradan Kripto Paraya. Muhasebe ve Finans Tarihi Araştırmaları Dergisi, 253-264.
- Eren, B. S., Erek, M., & Akbaba, A. N. (2020). Kripto Para Kavramı ve Muhasebeleştirilmesi. İnsan ve Toplum Bilimleri Araştırmaları Dergisi, 1340-1367.
- Gökalp, B. T. (2022). Kripto Para Piyasasının Borsa İstanbul Endeksleri Üzerindeki Etkileri . Ekonomi, Politika & Finans Araştırmaları Dergisi, 481-499.
- Granger, C. W. (1069). Investigating Causal Relations By Econometric Models and Cross-Spectral Methods. Econometrica, 424-438.
- Gujarati, D. N. (2003). Basic Econometrics. New York: The McGraw-Hilı Companies.
- https://tr.investing.com/. (2023). https://tr.investing.com/. Von https://tr.investing.com/: https://tr.investing.com/ abgerufen
