IDEAS home Printed from https://ideas.repec.org/a/cvv/journ2/v5y2018i4p359-374.html

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

Author

Listed:
  • Özge KORKMAZ

    (Bayburt University, Faculty of Economics and Administrative Sciences, Department of Economics, Bayburt, Turkey)

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 a result, 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.

Suggested Citation

  • Özge KORKMAZ, 2018. "The relationship between Bitcoin, gold and foreign exchange returns: The case of Turkey," Turkish Economic Review, EconSciences Journals, vol. 5(4), pages 359-374, December.
    • Handle: RePEc:cvv:journ2:v:5:y:2018:i:4:p:359-374
    as

    Download full text from publisher

    File URL: https://journals.econsciences.com/index.php/TER/article/download/1807/2172
    Download Restriction: no
    File URL: https://journals.econsciences.com/index.php/TER/article/view/1807
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
    2. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Imad A. Moosa, 2020. "The bitcoin: a sparkling bubble or price discovery?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 93-113, March.
    2. Corbet, Shaen & Lucey, Brian & Yarovaya, Larisa, 2018. "Datestamping the Bitcoin and Ethereum bubbles," Finance Research Letters, Elsevier, vol. 26(C), pages 81-88.
    3. de la Horra, Luis P. & de la Fuente, Gabriel & Perote, Javier, 2019. "The drivers of Bitcoin demand: A short and long-run analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 21-34.
    4. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    5. Eray Gemici & Muslum Polat & Remzi Gök & Muhammad Asif Khan & Mohammed Arshad Khan & Yunus Kilic, 2023. "Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets," SAGE Open, , vol. 13(2), pages 21582440231, June.
    6. Yan Li & Zhicheng Wang & Hongchuan Wang & Meiyu Wu & Lingling Xie, 2021. "Identifying price bubble periods in the Bitcoin market-based on GSADF model," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(5), pages 1829-1844, October.
    7. Chhatwani, Malvika & Parija, Arpit Kumar, 2023. "Who invests in cryptocurrency? The role of overconfidence among American investors," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 107(C).
    8. Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
    9. Torben G. Andersen & Viktor Todorov & Bo Zhou, 2025. "Real‐time detection of local no‐arbitrage violations," Quantitative Economics, Econometric Society, vol. 16(2), pages 459-495, May.
    10. Donghyun Park & Qin Xiao, 2009. "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series 146, Asian Development Bank.
    11. Raul Anibal Feliz & John H. Welch, 1992. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, And Peru," Working Papers 9210, Federal Reserve Bank of Dallas.
    12. Campbell, Gareth, 2010. "Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania," MPRA Paper 21821, University Library of Munich, Germany.
    13. Paulo M.M. Rodrigues & Rita Fradique Lourenço, 2015. "House prices: bubbles, exuberance or something else? Evidence from euro area countries," Working Papers w201517, Banco de Portugal, Economics and Research Department.
    14. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
    15. Peter C.B. Phillips & Shuping Shi, 2018. "Real Time Monitoring of Asset Markets: Bubbles and Crises," Cowles Foundation Discussion Papers 2152, Cowles Foundation for Research in Economics, Yale University.
    16. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute, revised 01 Mar 2024.
    17. Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
    18. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016. "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
    19. Listorti, Giulia & Esposti, Roberto, . "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 1(01), pages 1-28.
    20. Parthajit Kayal & G. Balasubramanian, 2021. "Excess Volatility in Bitcoin: Extreme Value Volatility Estimation," IIM Kozhikode Society & Management Review, , vol. 10(2), pages 222-231, July.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cvv:journ2:v:5:y:2018:i:4:p:359-374. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bilal KARGI (email available below). General contact details of provider: https://journals.econsciences.com/index.php/TER .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.