The relationship between Bitcoin, gold and foreign exchange retruns: The case of Turkey

Özge KORKMAZ

Abstract


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.

Keywords


Speculative bubbles; Bitcoin; Investment instruments; Autoregressive conditional heteroskedasticity models; Toda-Yamamato causality.

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DOI: http://dx.doi.org/10.1453/ter.v5i4.1807

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