Interactions among Return and Market Capitalization of Bitcoin and Turkish lira

The aim of this thesis is to distinguish the interactions between return and market capitalization of Bitcoin and Turkish lira, a quantitative study was conducted out. In order to conduct the study, the daily returns and market capitalization of Bitcoin and Turkish Lira were used for the timespan of May 31, 2019, to May 29, 2021. The thesis goal was accomplished using several methods. Initially, applying descriptive statistics to find out whether the data series are normally distributed or not. Second, unit root tests were applied to test the integration order and observe whether the variables are stationary or not, in addition to determining if the data have constant covariance or rather variance over time. Lastly, the recently discovered Granger causality in quantiles approach by Troster (2018) was applied. Furthermore, the findings demonstrate that Returns of Bitcoin have a significant impact on the Turkish lira and vice versa, indicating the cryptocurrency's predictive power over the exchange rate of the Turkish lira. As a recommendation, the returns of cryptocurrencies should be closely monitored by investors who actively trade on the Turkish exchange market. Moreover, investors can follow the market capitalization of Bitcoin so they can have some ideas about returns of bitcoin for their investment decision.