Özet:

In this study, it is aimed to examine the relationship between BTC and ETH, selected among the most popular cryptocurrencies, and selected stock market indices in terms of long and short term, based on the Covid-19 pandemic period. As a method, the Fourier cointegration test was used to determine the long-term relationship between the variables, and the Hatemi-J (2012) asymmetric causality test, in which positive and negative shocks were taken into account, was used to determine the short-term relationship. According to the Fourier cointegration test findings, it has been determined that there is a long-term cointegration relationship between cryptocurrencies and stock market indices during the pandemic period. According to the Hatemi-J asymmetric causality test findings, it was concluded that there is no causality relationship between the positive and negative shocks of the BTC and South Korea stock market index and the positive and negative shocks of the ETH and Indonesia stock market index.

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