COINTEGRATION AND CAUSALITY RELATION BETWEEN BIST100 AND BITCOIN TRADING VOLUME

Abstract

A Stock exchanges are recognised as effective investment tools for economies. They contribute to the development of economies by providing financial benefits to both investors and companies. As for investors, with the development of financial markets, there is a tendency toward other investment instruments. One of these alternative investment instruments is cryptocurrencies. It is discussed whether the high volatility and increasing trading volume of cryptocurrencies attract the attention of investors and create an alternative to Borsa Istanbul. For this reason, it is important to determine the relationship between BIST and Bitcoin, one of the cryptocurrencies with the highest transaction volume. In this study, the relationships between BIST 100 index and Bitcoin transaction volume were investigated. The existence of a long-term relationship over the period 2014:10-2022:4 was analyzed by Engle-Granger (1987) and Tsong et al. (2016) using a cointegration test. In addition, causal relationships were established using the symmetric Hacker-Hatemi-J (2006) and the asymmetric Hatemi-J (2012) causality tests. It was found that there is a cointegration relationship between BIST 100 and bitcoin transaction volume, which is the subject of the analysis. According to the Hacker-Hatemi-J symmetric and asymmetric causality results, bidirectional and unidirectional causality relationships were found between BIST100 and bitcoin transaction volume. According to the findings, it has been concluded that Borsa Istanbul and Bitcoin markets can be alternatives to each other.