{"title":"加密货币与bst100协整关系:ardl极限检验方法","authors":"Melek Yildiz, A. Mülayim","doi":"10.18074/ckuiibfd.1123589","DOIUrl":null,"url":null,"abstract":"In this study, it’s aimed to determine the cointegration relationship between cryptocurrencies and BIST 100. For this purpose, the BIST 100 index closing score for a total of 1001 business days between 01.01.2018 and 31.12.2021 and the prices of the five cryptocurrencies (Bitcoin, Ethereum, Binance Coin, TETHER, Cardano) with the highest market value as of 31.12.2021. A data set was created and analyzed with the ARDL bounds test model. Before the ARDL bounds test, the extent to which the variables are stationary was tested with the Extended Dickey Fuller (ADF) unit root test. Accordingly, the variables used in the study showed stationarity at the first difference. Then, with the F bounds test, it was tested whether there was a cointegration relationship between the variables. As a result of the boundary test applied to 12 different models, it was seen that there was no cointegration relationship between cryptocurrencies and BIST 100.","PeriodicalId":32792,"journal":{"name":"Cukurova Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi","volume":"9 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"COINTEGRATION RELATIONSHIP BETWEEN CRYPTO COINS AND BIST100: ARDL LIMIT TEST APPROACH\",\"authors\":\"Melek Yildiz, A. Mülayim\",\"doi\":\"10.18074/ckuiibfd.1123589\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this study, it’s aimed to determine the cointegration relationship between cryptocurrencies and BIST 100. For this purpose, the BIST 100 index closing score for a total of 1001 business days between 01.01.2018 and 31.12.2021 and the prices of the five cryptocurrencies (Bitcoin, Ethereum, Binance Coin, TETHER, Cardano) with the highest market value as of 31.12.2021. A data set was created and analyzed with the ARDL bounds test model. Before the ARDL bounds test, the extent to which the variables are stationary was tested with the Extended Dickey Fuller (ADF) unit root test. Accordingly, the variables used in the study showed stationarity at the first difference. Then, with the F bounds test, it was tested whether there was a cointegration relationship between the variables. As a result of the boundary test applied to 12 different models, it was seen that there was no cointegration relationship between cryptocurrencies and BIST 100.\",\"PeriodicalId\":32792,\"journal\":{\"name\":\"Cukurova Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi\",\"volume\":\"9 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-06-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Cukurova Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18074/ckuiibfd.1123589\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Cukurova Universitesi Iktisadi ve Idari Bilimler Fakultesi Dergisi","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18074/ckuiibfd.1123589","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
COINTEGRATION RELATIONSHIP BETWEEN CRYPTO COINS AND BIST100: ARDL LIMIT TEST APPROACH
In this study, it’s aimed to determine the cointegration relationship between cryptocurrencies and BIST 100. For this purpose, the BIST 100 index closing score for a total of 1001 business days between 01.01.2018 and 31.12.2021 and the prices of the five cryptocurrencies (Bitcoin, Ethereum, Binance Coin, TETHER, Cardano) with the highest market value as of 31.12.2021. A data set was created and analyzed with the ARDL bounds test model. Before the ARDL bounds test, the extent to which the variables are stationary was tested with the Extended Dickey Fuller (ADF) unit root test. Accordingly, the variables used in the study showed stationarity at the first difference. Then, with the F bounds test, it was tested whether there was a cointegration relationship between the variables. As a result of the boundary test applied to 12 different models, it was seen that there was no cointegration relationship between cryptocurrencies and BIST 100.
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