Özet:

The aim of this study is to explore the dynamic relationship between Bitcoin and major currencies such as Euro/Dolar, British Sterling/Dolar, Canadian Dollar/Dolar, Japanese New/Dolar and Chinese Yuan/Dolar. In this context, the average and variance of causality test proposed by Hong (2001) was used to study the existence of the spread effect on the average and volatility between Bitcoin and exchange rates. Furthermore, Hong vd to explore the existence of the curve dependency between Bitcoin and exchange rates. Causal test was used in the risk cases recommended by (2009). By using daily data between 19 August 2011 and 6 August 2021, the one-way causal ratio of Euro, Pound and Canadian Dollar to Bitcoin was identified. On the other hand, the variance causality test results indicate that there is a double-directional gambling spread effect between Bitcoin and Euro and Pound. Furthermore, it has been determined that Yuan and Canadian Dollar are the cause of the variance of Bitcoin. The causality test results in risk situations provide evidence of the causality relationship from Euro and Pound to Bitcoin. However, unexpected losses in Bitcoin are the Granger cause of unexpected losses in Yen. In general, empirical results show that the Chinese currency is less integrated with Bitcoin.

Anahtar Kelimeler: