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Bitcoin Market Price Analysis and an Empirical Comparison with Main Currencies, Commodities, Securities and Altcoins

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dc.contributor.author Pirgaip, Burak
dc.contributor.author Dinçergök, Burcu
dc.contributor.author Haşlak, Şüheda
dc.date.accessioned 2024-02-19T13:13:35Z
dc.date.available 2024-02-19T13:13:35Z
dc.date.issued 2019
dc.identifier.citation Burak Pirgaip; Burcu Dinçergök; Şüheda Haşlak. "Bitcoin Market Price Analysis and an Empirical Comparison with Main Currencies, Commodities, Securities and Altcoins," Contributions to Economics, in: Blockchain Economics and Financial Market Innovation, Springer, pp. 141-166, 2019. tr_TR
dc.identifier.isbn 9783030252755
dc.identifier.uri http://hdl.handle.net/20.500.12416/7253
dc.description.abstract The purpose of this study is to analyze Bitcoin (BTC) market prices and to answer the question of whether there is a relationship between BTC and other asset prices, where other assets include currencies, commodities, securities and altcoins. In the empirical part, we evaluate the lead-lag relationships among each type of asset. Consequently, we compare BTC with major currencies and stock exchanges of the U.S., the EU, the U.K. and Japan (USD-SPX, EUR-DAX, GBP-FTSE and JPY-NIK), with currencies and stock exchanges of the U.S., the U.K., Russia, Venezuela and China where BTC is actively traded (USD-SPX, GBP-FTSE, RUB-MOEX, VEF-IBVC and YUAN- SSCE), with major commodities (GOLD and OIL) and with major altcoins (ETH, XRP and LTC) on a daily basis for the period spanning from 2010.07 to 2018.12. We employ Johansen co-integration, Granger causality, impulse response functions and forecast error variance decomposition analyses in our study. Our results show that BTC does not have a long-run relationship with any asset type, but that it has a short-run relationship with gold and especially altcoins, which are both significant and bidirectional. While BTC and altcoins are closely interrelated with each other, BTC price variation is mostly borne by its own prices in all cases. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.1007/978-3-030-25275-5_8 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.title Bitcoin Market Price Analysis and an Empirical Comparison with Main Currencies, Commodities, Securities and Altcoins tr_TR
dc.type bookPart tr_TR
dc.relation.journal Blockchain Economics and Financial Market Innovation tr_TR
dc.identifier.startpage 141 tr_TR
dc.identifier.endpage 166 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü tr_TR


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