Abstract:

In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the country's economy, and a large literature study is included. Analysis used daily price data for the period 19.07.2010-19.03.2020, Carrion-i Silvestre, Kim and Perron (2009) unit root with multiple structural break, Maki (2012) cointegration with multiple structural break and Hatemi-J (2012) asymmetric causality tests. As a result of the cointegration test, it was revealed that the BIST 100 Index and the Bitcoin price, the US Dollar rate, and the Brent oil price moved together in the long term in equilibrium. According to the results of the asymmetric causality test of Hatemi-J (2012), it is seen that there is a causality from negative shocks in BIST 100 Index to positive shocks in oil prices, dollar rate and Bitcoin and from negative shocks in oil prices to positive shocks in BIST 100 Index. In addition, from positive shocks in BIST 100 Index to negative shocks in the dollar rate, from in BIST 100 Index negative shocks to dollar rate negative shocks, from dollar rate positive shocks to BIST 100 Index positive shocks.

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