Econometric analysis of dynamic relationships between Bitcoin and selected indices

Bitcoin, which entered our lives as of 2008 and whose awareness is increasing day by day, attracts the attention of people. One of the biggest problems is how to look at Bitcoin. Questions are constantly being asked whether it should be considered as an investment tool or whether it will be a reserve currency in the future. Although there are many studies on the structure of Bitcoin, its economic impact is not yet understood as it is a new concept. The aim of this study is to econometrically analyze the dynamic relationship between Bitcoin and BIST100, NASDAQ 100, NYSE 100 and Dollar rate indices. The time interval of the thesis is determined as January 1, 2017 and March 10, 2022. For the analysis, firstly, unit root tests (ADF, PP, KPSS, ZA, FADF and FFFFF ADF) were used to ensure stationarity. According to the unit root test results, Autoregressive Conditional Variance Models (ARCH) were used. Then, Generalized Autoregressive Conditional Variance of Variance (GARCH-EGARCH) and Dynamic Conditional Correlation Test (DCC GARCH) were performed. In the first chapter of the study, the concept of stock market is examined in detail, the BIST 100 structure in Turkey and the NASDAQ 100 and NYSE 100 structure, which are selected indices, are analyzed. In the second chapter of the study, the concept of money and its history are mentioned and the section from barter economy to digital currencies is evaluated. In the third chapter, the econometric methods used in the study are explained together with the explanations of the series used in the study. In the fourth and last chapter, an evaluation was made by explaining the test and model results applied to the study. As a result of the study, when the outputs of the DCC GARCH model are analyzed, there is no statistically significant dynamic conditional correlation between Bitcoin and BIST 100 and the Dollar rate, while a negative and significant dynamic conditional correlation between Bitcoin and NASDAQ 100, and a positive and significant dynamic conditional correlation between Bitcoin and NYSE 100.