Özet:

Cryptocurrencies, especially in recent years, have gained popularity as an alternative investment. In this regard, studies conducted in this field are important for investors to make rational investment decisions. This study aims to investigate whether Bitcoin can be used for diversification or hedging in stock markets. In this context, the relationship between Bitcoin and BIST 100, S&P 500 indices has been examined. The Engle-Granger Cointegration Analysis has been used to investigate the cointegration relationship, and the FMOLS and DOLS methods have been used to estimate long-term coefficients. The study period has been selected as the period from 02.11.2020 to 19.07.2022, during which Bitcoin had a high trading volume. Additionally, this period has been divided into four sub-periods, covering both bull and bear periods of Bitcoin. The research results indicate that no cointegrating relationship could be found between Bitcoin and BIST 100. However, a relationship has been found between Bitcoin and S&P 500 during the 1. bull and 2. bear periods. During these periods, a positive impact of Bitcoin on the S&P 500 has been found. In the study, it has been determined that there is no cointegration relationship between Bitcoin and the BIST 100 index for all periods, while for the S&P 500, there is no cointegration relationship in three out of five periods. These findings provide strong evidence, especially for BIST 100 investors, that by including Bitcoin in their portfolios, they can achieve better-diversified portfolios.