Analysis of the relationships between Bitcoin and exchange rate, commodities and global indexes by asymmetric causality test

ERDAŞ M. L., ÇAĞLAR A. E.

EASTERN JOURNAL OF EUROPEAN STUDIES, cilt.9, sa.2, ss.27-45, 2018 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 9 Sayı: 2
  • Basım Tarihi: 2018
  • Dergi Adı: EASTERN JOURNAL OF EUROPEAN STUDIES
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.27-45
  • Anahtar Kelimeler: bitcoin, commodities, exchange rates, global indexes, asymmetric causality test, AUTOREGRESSIVE TIME-SERIES, ECONOMICS
  • Akdeniz Üniversitesi Adresli: Evet

Özet

This study investigates the asymmetric causal relations between Bitcoin and gold, Brent oil, US dollar, S&P 500 and BIST 100 Indexes for the weekly data of the period between November 2013 and July 2018 via by Hatemi-J (2012) test. The results indicate only a causal link going from the Bitcoin price to S&P 500 Index. Consequently, a change in Bitcoin prices appears to influence the investors' decisions on the S&P 500 Index. Therefore, it can be said that the investors in S&P 500 Index have closely followed the new macro-financial developments in the market and have been active on the S&P 500 market. However, the presence of a causality relation between Bitcoin price and other variables cannot be determined. Thus, it is supposed that Bitcoin may exist in association with the commodity market and other global indicators in the future, along with the recognition of the Bitcoin currency by countries, its being accepted as a means of exchange and its increased reliability.