THE COINTEGRATION RELATIONSHIP BETWEEN BITCOIN PRICES AND MAJOR WORLD STOCK INDICES: AN ANALYSIS WITH ARDL MODEL APPROACH

Year 2017, Volume: 4 Issue: 4, 377 - 392, 30.12.2017

Cuneyt Dirican , İsmail Canoz

https://doi.org/10.17261/Pressacademia.2017.748

Abstract

Purpose – Aiming to
discover whether Bitcoin prices have an effect on investor decisions in stock
market transactions sounds exciting. Therefore, among investment, money,
payment system functionalities of the cryptocurrencies which are very popular
on economic and financial agenda nowadays, only the investment function regarding
to the market volume of Bitcoin (which is very popular) is taken into
consideration in this study.

Methodology
-
In the scope of the study, because similar analyses between cryptocurrencies
and stock market indices do not exist in the literature, cointegration relation
between them are examined. Thus, the cointegration between Bitcoin (since there
are many cryptocurrencies and Bitcoin is very popular and has the highest
proportion in all terms in general) and selected stock indices can be investigated
by the ARDL boundary test method. Since the analysis method gives meaningful
information in terms of different time periods, the price and index data of
these variables have been analysed.

Findings- Cointegration relationship between
Bitcoin prices and leading US and Chinese stock market indices is observed.
Within this context, it can be told that investors in these stock markets could
be influenced by Bitcoin prices in their long-term investment decision process.
Any relationship was not found with BIST100, FTSE100 and NIKKEI225 indices.

Conclusion - Necessity to
examine the relation among Bitcoin, cryptocurrencies and other investment
instruments with payment systems, money, e-commerce figures and macroeconomic
indicators in the light of the arguments and the results found in our analysis
would add more value to the literature. In addition, other dimensions of this
topic should be regulated and be analysed by new studies within the scope of
other technological developments in the 4^th Industrial Revolution.
It is also decided to analyse relationship among related Istanbul Stock
Exchange sub-indices, the Turkish Lira, gold, money supply and other
cryptocurrencies in the following/future studies. 

Keywords

Bitcoin, cryptocurrency, stock exchange, capital markets, financial services, investment

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