Three essays on cryptocurrency applications in financial markets

This study, which examines the relationship of cryptocurrencies with financial markets, consists of three stages. In the whole study, it reflects the Bitcoin, Ethereum and Litecoin variables, which are the first to be released as crypto currency variables and have a high market value. On the first basis of the study, the validity of weak-form market performance in three cryptocurrencies was examined by persistent and non-permanent unit root tests, and there is no weak-form fluency in these markets according to current analysis. In the second and third stages of the study, it shows that cryptocurrencies are not a portfolio diversification tool. The relationship between cryptocurrencies and precious metals in the second stage is handled by KSS(2006) discontinuous cointegration method. In the study, gold, silver and platinum variables as precious metals were included in the analysis. As a result of the study, there is a non-long-term cointegration relationship between cryptocurrencies and precious metals and there is no group diversifier of cryptocurrencies for precious metals. Also, this half-state-strong form efficiency does not apply. In the third stage of the study, the volatility relationship between cryptocurrencies and stock markets was examined with the CCC-GJR GARCH method and the deposit volume of cryptocurrencies was tested. For share server variables, look at Bist100, Dow Jones and S&P500 stocks. Subsequently, the Granger causality test was measured to determine the direction of the relationship between these markets. As a result of the analysis, it has been determined that cryptocurrencies have strong interactions with those above the dow jones and S&P500 sentiment, and that cryptocurrencies can be a portfolio diversifier for these stock markets. In the entire study, five days of content was used between the periods of 02/01/2017-29/10/2021.