Abstract:

Recently, interest in digital currencies has been increasing, one of the innovations brought by technology in money markets. Its popularity is increasing day by day due to its ability to perform leveraged transactions, its promise of profit in a short time, and its ease of buying and selling. In this study, it is aimed to determine the relationship between Bitcoin and the BIST100 index, which is one of the financial variables, since it has the highest volume among cryptocurrencies. In this direction, this relationship was analyzed in the Eviews11 package program using daily data between 15.04.2011 and 25.06.2021. For this purpose, in the first stage of the analysis, whether the variables contain a unit root was tested with traditional unit root tests. Then, to test the cointegration relationship between the series, Engel-Granger Cointegration Analysis and as causality tests, the Engel-Granger Causality Test and Toda-Yamamoto Causality Tests were used. In the light of these analyzes, according to the results of the cointegration test, it has been determined that the relationship between the Bitcoin-BIST100 index is cointegrated. While the Engel-Granger Causality test confirmed that there was a two-way causality relationship from BIST100 index to Bitcoin prices, according to the results of the Toda-Yamamoto Causality test, it was significant at the 5% significance level from BIST100 index to Bitcoin prices, and a one-way Toda-Yamamoto causality relationship was observed. Finally, in the conclusion part of the study, all these findings were evaluated together with the recommendations.

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