Abstract:

The aim of the study is to shed light on the decisions of investors by determining the existence of the relationship and causality between Bitcoin, which leads the crypto money market, and selected altcoins. For this purpose, the cointegration and causality relationship between Bitcoin (BTC) and Ethereum (ETH), Binance Coin (BNB), Cardano (ADA), Litecoin (LTC), Tron (TRX), Stellar (XLM), IOTA altcoins were investigated. The existence of a long-term relationship was tested with the Engle Granger Cointegration method, whether there was a short-term relationship with the Ordinary Least Squares Method (OLS), and whether there was a causal relationship was tested with the Toda Yamamato Causality method. Within the scope of the study, the daily closing prices of cryptocurrencies between 14.06.2018 and 01.12.2021 were used as a data set. As a result of the research, no long-term cointegration relationship was found between BTC and selected altcoins according to the Engle Granger Test. According to the OLS test, it was concluded that there is a short-term relationship between the independent and dependent variables. According to the Toda Yamamato Test, it was concluded that there is granger causality from BTC to ADA, ETH, IOTA, TRX, XLM altcoins, there is no granger causality from BTC to BNB and LTC coins and they are not affected by BTC.

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