The Cointegration and Causality Relationship between Bitcoin Prices and Borsa Istanbul Index

Abstract

Changes in digital money prices, also called crypto money, have attracted investor's interest in recent years. Investors who want to gain returns from rapid price changes have turned to digital currencies, which is a new asset. In this direction, the possibility of being an alternative to the traditional securities of digital money has begun to be discussed. In the study, it was aimed to determine the cointegration and causality relation between Bitcoin prices and Borsa Istanbul. In this context, Engle-Granger and Gregory-Hansen cointegration tests and Toda-Yamamoto and Hacker-Hatemi-J causality tests were used. Findings show that there is no cointegration relationship between the Bitcoin prices and Borsa Istanbul index value in the medium and long run according to both cointegration tests; just Toda-Yamamoto causality test shows that there is a one-way causality relationship from Borsa Istanbul to the Bitcoin prices.