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Journals / Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2025 / Cilt: 16 Sayı: 32

THE RELATIONSHIP BETWEEN CLEAN AND DIRTY CRYPTOCURRENCIES AND TRADITIONAL STOCK MARKETS: EVIDENCE FROM QUANTILE APPROACHES

TEMİZ VE KİRLİ KRİPTO BİRİMLERİ İLE GELENEKSEL HİSSE SENEDİ PİYASALARI ARASINDAKİ İLİŞKİ: KANTİL YAKLAŞIMLARDAN KANITLAR

Aslan Aydoğdu(SİVAS BİLİM VE TEKNOLOJİ ÜNİVERSİTESİ)0000-0001-9732-0614
Özgün Şanlı(NAMIK KEMAL ÜNİVERSİTESİ)0000-0002-5085-7307
Pages
1010–1042
Publication Date
2025-12-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

QQR results show both positive and negative relationships between dirty and clean cryptocurrencies and the returns of the S&P 500, FTSE 100, TSX, and ASX indices at the low, medium, and high quantiles.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the relationship between dirty and clean cryptocurrencies and traditional stock index returns using the Quantile-Quantile (QQR) and Quantile-Quantile Granger Causality (QQGC) methods.
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Key Findings & Data:The analyses were conducted using daily data from January 2018 to May 2025.
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Conclusion & Impact:QQR results show both positive and negative relationships between dirty and clean cryptocurrencies and the returns of the S&P 500, FTSE 100, TSX, and ASX indices at the low, medium, and high quantiles.
🔬Design:Araştırma Makalesi
📍Scope:2018 Verileri
⚙️Variables:Kirli kripto para birimleri · geleneksel varlıklar · kantil-kantil regresyon

Abstract

This study investigates the relationship between dirty and clean cryptocurrencies and traditional stock index returns using the Quantile-Quantile (QQR) and Quantile-Quantile Granger Causality (QQGC) methods. The analyses were conducted using daily data from January 2018 to May 2025. QQR results show both positive and negative relationships between dirty and clean cryptocurrencies and the returns of the S&P 500, FTSE 100, TSX, and ASX indices at the low, medium, and high quantiles. According to the QQGC results, both dirty and clean cryptocurrencies showed predictive power for the returns of the S&P 500, FTSE 100, TSX, and ASX indices at different quantiles. Furthermore, it was found that both dirty and clean cryptocurrencies exhibit strong predictive power for S&P 500 and FTSE 100 returns, particularly in the middle quantiles. The results obtained reveal that distinguishing between dirty and clean cryptocurrencies under different market conditions provides important insights for investors' portfolio diversification strategies and risk management practices.

Özet

Bu çalışma, Kantil-Kantil (QQR) ve Kantil-Kantil Granger Nedensellik (QQGC) yöntemlerini kullanarak kirli ve temiz kripto para birimleri ile geleneksel hisse senedi endeksi getirileri arasındaki ilişkiyi araştırmaktadır. Analizler, Ocak 2018-Mayıs 2025 dönemine ait günlük verilerle gerçekleştirilmiştir. QQR sonuçları, kirli ve temiz kripto para birimleri ile S&P 500, FTSE 100, TSX ve ASX endeksi getirileri arasında düşük, orta ve yüksek kantillerde hem pozitif hem de negatif ilişkiler bulunduğunu göstermektedir. QQGC sonuçlarına göre ise farklı kantillerde kirli ve temiz kripto para birimlerinin, S&P 500, FTSE 100, TSX ve ASX endeksi getirileri üzerinde öngörü gücüne sahip olduğu belirlenmiştir. Ayrıca, hem kirli hem de temiz kripto para birimlerinin özellikle orta kantillerde S&P 500 ve FTSE 100 getirileri üzerinde güçlü bir öngörü gücüne sahip olduğu gözlemlenmiştir. Elde edilen sonuçlar, farklı piyasa koşullarında kirli ve temiz kripto para birimleri ayrımının yapılmasının, yatırımcıların portföy çeşitlendirme stratejileri ve risk yönetimi uygulamaları açısından önemli çıkarımlar sağladığını ortaya koymaktadır.

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Cite This Article

Aydoğdu, A., Şanlı, Ö. (2025). THE RELATIONSHIP BETWEEN CLEAN AND DIRTY CRYPTOCURRENCIES AND TRADITIONAL STOCK MARKETS: EVIDENCE FROM QUANTILE APPROACHES. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 16 Sayı: 32, 1010–1042. https://doi.org/10.36543/kauiibfd.2025.037

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