THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN AND THE STOCK INDICES OF TURKEY AND BRICS COUNTRIES

Abstract

Bitcoin, the most important of all cryptocurrencies, is a currency that is not included in the central monetary system and has a digital format. With the rapid increase in the value of Bitcoin in recent years, it has attracted the attention of investors. Bitcoin, as an alternative to traditional investment tools, has sparked a lot of controversies. In this study, the Bitcoin price relationship between stock market indices and the BRICS countries belonging to Turkey is intended to be detected. In this direction of Bitcoin 01.01.2013-31.12.2019 period to test the relationship between Turkey and the BRICS countries, stock index monthly data are used. After determining the basic statistical properties of the series, cointegration and causality test was performed to determine the financial relationship. ADF (Augmented Dickey-Fuller) unit root tests and stationarity analysis are applied, and then the existence of long-term relationships between stock exchanges is explained with the Johansen cointegration test. The Vector Error Correction Model (VECM) was used to analyze whether the long-term relationship is in equilibrium. Also, short-term relationships were determined by Granger causality analysis. The analysis performed between variables were identified as a result of a long-term relationship, Russia (MOEX) and Turkey (BIST100) was found to be the cause of the stock market index of Bitcoin. It has been determined that Bitcoin is the cause of China (SHANGAI) exchange. In these exchanges, it has been observed that the change in Bitcoin prices in the short term affects investment decisions.