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Journals / Doğuş Üniversitesi Dergisi / 2022 / Cilt: 23 - Sayı: 2

INVESTIGATION OF NONLINEAR CAUSESITY BETWEEN BITCOIN, ETHEREUM PRICES AND EXCHANGE INDEXES

BİTCOİN, ETHEREUM FİYATLARI VE BORSA ENDEKSLERİ ARASINDAKİ DOĞRUSAL OLMAYAN NEDENSELLİĞİN İNCELENMESİ

Volkan ÖNGEL
Pages
185–197
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

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

On the other hand, there is a one-way causality relationship from the Ethereum price to the European stock market index.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The importance of the relationship between new financial assets and classical investment instruments is increasing.
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Key Findings & Data:The study period covers the daily frequency data between 11/03/2020-06/04/2022, starting from the date the covid-19 pandemic was announced in Turkey.
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Conclusion & Impact:On the other hand, there is a one-way causality relationship from the Ethereum price to the European stock market index.
🔬Design:Research Article
📍Scope:2020 Verileri
⚙️Variables:Borsa Endeksleri · Kripto Para Birimleri · Diks ve Panchenko Doğrusal Olmayan Nedensellik Testi

Abstract

The importance of the relationship between new financial assets and classical investment instruments is increasing. In the study, causality relationships between Bitcoin, Ethereum prices and stock market indices are examined by using Diks and Panchenko Nonlinear Causality Test. The study period covers the daily frequency data between 11/03/2020-06/04/2022, starting from the date the covid-19 pandemic was announced in Turkey. Thus, it is aimed to examine the relationship between cryptocurrencies and global financial markets in global crises with the pandemic process. The study differs from other studies in the literature, especially due to the limited number of studies on Ethereum. Looking at the results of the nonlinear causality analysis used, it has been determined that there is a bidirectional causality relationship between the world stock market index and Bitcoin price, and between the Asian stock market index and Ethereum price. In addition, it is seen that there is one-way causality to the Bitcoin price from the European and US stock market indices. At the same time, there is a one-way causality relationship from Bitcoin price to Asian stock market index. On the other hand, there is a one-way causality relationship from the Ethereum price to the European stock market index.

Özet

Yeni finansal varlıklar ile klasik yatırım enstrümanları arasındaki ilişkilerin önemi artmaktadır. Çalışmada Diks ve Panchenko Doğrusal Olmayan Nedensellik Testi kullanarak Bitcoin, Ethereum fiyatları ve borsa endeksleri arasındaki nedensellik ilişkileri incelenmektedir. Çalışma dönemi covid-19 pandemisinin Türkiye’de ilan edildiği tarihten başlayarak 11/03/2020-06/04/2022 arasındaki günlük frekanstaki verileri kapsamaktadır. Böylece pandemi süreciyle birlikte küresel çaplı krizlerde kripto para birimleri ile küresel finans piyasaları arasındaki ilişkinin incelenmesi hedeflenmiştir. Çalışma literatürde özellikle Ethereum ile ilgili yapılmış çalışmaların kısıtlı olması sebebi ile diğer çalışmalardan ayrılmaktadır. Kullanılan doğrusal olmayan nedensellik analizi sonuçlarına bakıldığında, dünya borsa endeksi ile Bitcoin fiyatı arasında ve Asya borsa endeksi ile Ethereum fiyatı arasında çift yönlü nedensellik ilişkisi olduğu tespit edilmiştir. Ayrıca Bitcoin fiyatına Avrupa ve ABD borsa endekslerinden tek yönlü nedensellik olduğu görülmektedir. Aynı zamanda Bitcoin fiyatından da Asya borsa endeksine tek yönlü nedensellik ilişkisi mevcuttur. Ethereum fiyatından ise Avrupa borsa endeksine doğru tek yönlü nedensellik ilişkisi söz konusudur.

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Cite This Article

ÖNGEL, V. (2022). INVESTIGATION OF NONLINEAR CAUSESITY BETWEEN BITCOIN, ETHEREUM PRICES AND EXCHANGE INDEXES. Doğuş Üniversitesi Dergisi, Cilt: 23 - Sayı: 2, 185–197. https://ajindex.com/articles/490199

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