Kri̇pto Para Pi̇yasalarinda Nedenselli̇k Ve Eşbütünleşme

Abstract

This paper investigates the causality and cointegration relationships between seven major cryptocurrencies, namely Bitcoin (BTC), Binance Coin (BNB), Cardano (ADA), Dogecoin (DOGE), Ethereum (ETH), Polkadot (DOT) and Ripple (XRP), using Johansen Cointegration and Granger Causality tests over the period from August 21, 2020 to April 19, 2021. Results indicate that there exists cointegration among cryptocurrencies in the long run. Findings also show that there is a bi-directional causal relationship between BNB and ETH. Additionally, BNB appears to be Granger cause of ADA, DOGE and DOT. On the other hand, analyses provide evidence of one-way causality running from XRP to both DOGE and DOT. These results might have some important implications for investors in terms of portfolio management.

Granger causality test for heteroskedastic and structural-break time series using generalized least squares

“…Cryptocoins are known for their volatility and interdependence. Granger causality is a known tool to study the interdependence of cryptocoins, for instance [KCP21] found a strong relationship between Bitcoin (BTN) and Ethereum (ETH) and [Yav22] points out complex interdependence between the main cryptocoins.…”

EGARCH Model: Volatility Spillover Analysis of Bitcoin Price on Altcoin and S&P 500 Index

“…The results of Viswanath-Natraj & Lyons [31] do not show systematic evidence that the price of cryptocurrencies, such as Bitcoin, influences Tether. According to Gul [32], Tether was not included in his study because Tether is a stablecoin whose price is indexed to the US dollar and exhibits different return and volatility characteristics than other cryptocurrencies.…”