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

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