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search.filters.applied.f.publicationcategory: Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı × Konu: Cointegration ×

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  • Küçük Resim
    Yayın
    Determinants of cryptocurrency market: an analysis for Bitcoin, Ethereum and Ripple
    (Center for Promoting Ideas (CPI), 2020-11) Deniz, Asena; Teker, Dilek
    One of the most important innovations brought by digitalization is crypto money known as virtual money. Cryptocurrencies, which have been discussed in recent years and especially a new portfolio for investors, are very popular. Bitcoin is the most well-known of these cryptographic systems, which do not depend on a central authority and have maximum reliability. The effects of various financial indicators on cryptoparas were examined in this study. The model includes a daily database in between April 3, 2018 to December 31, 2019. Initially stationarity is tested with unit root tests. Then cointegration and causality tests are employed. Impulse response is also implemented and analysed.
  • Küçük Resim
    Yayın
    Macroeconomic determinants of cryptocurrency volatility: time series analysis
    (The Brooklyn Research and Publishing Institute, 2020-03) Teker, Dilek; Teker, Suat; Özyeşil, Mustafa
    Cryptocurrency is a recent and popular topic that attracts the interest of investors and fund managers. Beyond the market discipline, researchers question the interaction between cryptocurrencies and macroeconomic variables. This study focuses on how the changes in gold and oil prices affect the daily price movements of various cryptocurrencies. The daily database used in this study includes the prices of the cryptocurrencies such as Bitcoin, Tether, Ethereum, Litecon and EOS for the period of August 1, 2017 and April 3, 2019. Initially, the stationarity of the time series is tested by Ng and Perron (2001) method. The existence of the cointegration relationship among the series is tested by Johansen (1988) technique. The presence of causality relationships among the series is investigated with the Dolado and Lütkepohl (1996) causality test. The empirical results support that there exists a cointegration relationship only in between Tether and gold and oil prices.