Determining the relationship between bitcoin and selected financial assets/indices

Cryptocurrencies, which have become increasingly popular in the financial markets in recent years and whose legality is controversial among countries, are among the investment tools preferred by most individual investors. In this study, it was tried to determine the relationship between Bitcoin, which is the most known among cryptocurrencies and various economic indicators. In this context, Bitcoin Prices, Gold Prices, Dollar Index, Oil Prices and S&P500 index data were chosen as the data set of the study. The period of the study started in 2013, when the popularity of Bitcoin started to increase, the transaction volume and price movements were concentrated, and monthly data for the period January 2013-June 2022 were used. Within the scope of the study, the cointegration relationship between the series was analyzed with the Johansen cointegration test, and the causal relationship was analyzed with the Toda-Yamamoto (1995) causality test. According to Toda Yamamota analysis results, it has been determined that Bitcoin, Gold and Brent Oil Prices are the Granger cause of the S&P500. A reciprocal (bidirectional) causal relationship was observed between Bitcoin and Oil prices, Gold and Oil prices, Dollar Index and Oil prices, Oil prices and S&P500.