Bitcoin Fiyatları ile Borsa İstanbul Endeksi Arasındaki  Eşbütünleşme ve Nedensellik İlişkisi

Kılıç, Yunus; Çütçü, İbrahim

doi:10.17153/oguiibf.455083

Cited by 29 publications

(3 citation statements)

References 15 publications

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“…All F statistical values obtained as a result of the analyzes were below the level of significance according to the critical values determined that there is no cointegration relationship between cryptocurrencies and BIST100. This result coincides with the results of some studies (Dirican and Canöz, 2017;Kılıç and Çütçü, 2018) investigating the relationship between Bitcoin prices and various stock markets. However, it contradicts the results of the study by Sami and Abdallah (2020) that investigating the relationship between the crypto currency market and the stock markets in the MENA (Middle East and North Africa) region.…”

Section: Resultssupporting

confidence: 91%

Cointegration Relationship Between Crypto Coins and Bist100: Ardl Limit Test Approach

YILDIZ

MÜLAYİM

2022

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

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In this study, it’s aimed to determine the cointegration relationship between cryptocurrencies and BIST 100. For this purpose, the BIST 100 index closing score for a total of 1001 business days between 01.01.2018 and 31.12.2021 and the prices of the five cryptocurrencies (Bitcoin, Ethereum, Binance Coin, TETHER, Cardano) with the highest market value as of 31.12.2021. A data set was created and analyzed with the ARDL bounds test model. Before the ARDL bounds test, the extent to which the variables are stationary was tested with the Extended Dickey Fuller (ADF) unit root test. Accordingly, the variables used in the study showed stationarity at the first difference. Then, with the F bounds test, it was tested whether there was a cointegration relationship between the variables. As a result of the boundary test applied to 12 different models, it was seen that there was no cointegration relationship between cryptocurrencies and BIST 100.

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Section: Resultssupporting

confidence: 91%

Cointegration Relationship Between Crypto Coins and Bist100: Ardl Limit Test Approach

YILDIZ

MÜLAYİM

2022

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

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“…Thus, with digitalization, new currencies have begun to shape “the nature of currency competition,” “the architecture of the international monetary system,” and “the role of public money” issued by the government (Brunnermeier et al 2019 ). The most well-known cryptocurrency is BTC, which was released in 2008 under the name “BTC: Peer to Peer Electronic Cash System” and was created with blockchain technology by the person or persons named Satoshi Nakamoto (Baur et al 2019 ; Kılıç and Çütcü 2018 ; Van Hieu et al 2021 ). BTC is a point-to-point (Peer to peer (P2P)) transaction system that uses cryptography in the creation and distribution of currencies (Bhosale and Mavale 2018 ; Mukhopadhyay et al 2016 ; Nakamoto 2008 ).…”

Section: Cryptocurrenciesmentioning

confidence: 99%

Artificial neural network analysis of the day of the week anomaly in cryptocurrencies

et al. 2023

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Anomalies, which are incompatible with the efficient market hypothesis and mean a deviation from normality, have attracted the attention of both financial investors and researchers. A salient research topic is the existence of anomalies in cryptocurrencies, which have a different financial structure from that of traditional financial markets. This study expands the literature by focusing on artificial neural networks to compare different currencies of the cryptocurrency market, which is hard to predict. It aims to investigate the existence of the day-of-the-week anomaly in cryptocurrencies with feedforward artificial neural networks as an alternative to traditional methods. An artificial neural network is an effective approach that can model the nonlinear and complex behavior of cryptocurrencies. On October 6, 2021, Bitcoin (BTC), Ethereum (ETH), and Cardano (ADA), which are the top three cryptocurrencies in terms of market value, were selected for this study. The data for the analysis, consisting of the daily closing prices for BTC, ETH, and ADA, were obtained from the Coinmarket.com website from January 1, 2018 to May 31, 2022. The effectiveness of the established models was tested with mean squared error, root mean squared error, mean absolute error, and Theil’s U1, and $${R}_{OOS}^{2}$$ R OOS 2 was used for out-of-sample. The Diebold–Mariano test was used to statistically reveal the difference between the out-of-sample prediction accuracies of the models. When the models created with feedforward artificial neural networks are examined, the existence of the day-of-the-week anomaly is established for BTC, but no day-of-the-week anomaly for ETH and ADA was found.

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“…Following the analysis, a long-term relationship was determined between 6 months US Tresuary Yields and Bitcoin price. Kılıç and Çütçü (2018) linked the BIST Index to Bitcoin prices in their investigations using the Engle-Granger and Gregory-Hansen and Toda-Yamamoto and Hacker-Hatemi-J causal tests. As a result of the research, it has been determined that there is no co-integrated relationship between the variables, and there is a one-way causality relationship from Borsa Istanbul Index to Bitcoin prices.…”

Section: Literature Reviewmentioning

confidence: 99%

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

Kartal

2022

Yönetim Ve Ekonomi Araştırmaları Dergisi

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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.

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Bitcoin Fiyatları ile Borsa İstanbul Endeksi Arasındaki Eşbütünleşme ve Nedensellik İlişkisi

Cited by 29 publications

References 15 publications

Cointegration Relationship Between Crypto Coins and Bist100: Ardl Limit Test Approach

Cointegration Relationship Between Crypto Coins and Bist100: Ardl Limit Test Approach

Artificial neural network analysis of the day of the week anomaly in cryptocurrencies

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

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