Analysis of Relationship Between Bitcoin Prices and BIST 100, BIST Bank and BIST Technology Index

Emine Soyaslan

Fiscaoeconomia, 2020, issue 3

Abstract: In this study, whether the Bitcoin currency, which has the highest volume in the market among crypto currencies, has a relationship between BIST 100, BIST Bank and BIST Technology index in the short and long term is examined using time series analysis methods. For this purpose, daily data of Bitcoin, BIST 100, BIST Bank and BIST Technology index variables between 21/04/2011 and 11/02/2020 were used. According to the findings of the study, while there is a balance relationship between the Bitcoin price and the BIST 100 index in the long run at the 5% significance level, no relation has been found with the BIST Bank and BIST Technology index. In addition, when the Bitcoin price and the BIST 100, BIST Bank and BIST Technology indices are evaluated at a 5% significance level in the short term, no causality relationship has been found. In line with these findings, it can be said that Bitcoin is a risky investment choice for investors in portfolio diversification since it has a long-term relationship between BIST 100 and Bitcoin prices, while there is no long-term relationship between Bitcoin prices and BIST Bank and BIST Technology index in the long term. It can be said that Bitcoin can be a risk-free investment choice in portfolio diversification.

Keywords: Bitcoin; BIST 100; BIST Bank; BIST Technology; Cointegration (search for similar items in EconPapers)
JEL-codes: C50 G20 G21 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:fis:journl:200307

DOI: 10.25295/fsecon.774221

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