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The relationship between Bitcoin, gold and foreign exchange retruns: The case of Turkey
Turkish Economic Review
View Archive Info| Field | Value | |
| Title |
The relationship between Bitcoin, gold and foreign exchange retruns: The case of Turkey
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| Creator |
KORKMAZ, Özge; Bayburt University, Faculty of Economics and Administrative Sciences, Department of Economics,Bayburt, Turkey, ORCID: 0000-0001-9275-1271 |
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| Subject |
Speculative bubbles; Bitcoin; Investment instruments; Autoregressive conditional heteroskedasticity models; Toda-Yamamato causality.
G10; C58; E44. |
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| Description |
Abstract. This study focuses on the dollar, euro, gold, bitcoin and the impact of bubbles in financial investment instruments on bitcoin returns in the context of Turkey. The causal relationships (using the Toda-Yamamato causality test) between the returns of these financial instruments were also determined. In performing this assessment, the sup augmented Dickey-Fuller (SADF) and generalised SADF (GSADF) tests were employed to determine the existence of bubbles based on the period from 1 August 2018 to 23 March 2018. The volatility of bitcoin was tested by autoregressive conditional variant models. As aresult, it was shown that the observed bubbles in gold’s, the euro’s and the dollar’s returns reduced the volatility of bitcoin’s returns. Then, it was shown that the dollar’s, the euro’s and gold’s returns affected bitcoin’s returns.Keywords. Speculative bubbles, Bitcoin, Investment instruments, Autoregressive conditional heteroskedasticity models, Toda-Yamamato causality.JEL. G10, C58, E44.
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| Publisher |
Turkish Economic Review
Turkish Economic Review |
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| Contributor |
—
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| Date |
2018-12-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
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| Format |
application/pdf
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| Identifier |
http://www.kspjournals.org/index.php/TER/article/view/1807
10.1453/ter.v5i4.1807 |
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| Source |
Turkish Economic Review; Vol 5, No 4 (2018): December; 359-374
Turkish Economic Review; Vol 5, No 4 (2018): December; 359-374 2149-0414 |
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| Language |
eng
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| Relation |
http://www.kspjournals.org/index.php/TER/article/view/1807/1839
http://www.kspjournals.org/index.php/TER/article/downloadSuppFile/1807/915 |
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| Rights |
Copyright (c) 2019 Turkish Economic Review
http://creativecommons.org/licenses/by-nc/4.0 |
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