Crypto currency and world stock market indices: Econometric data analysis

Bitcoin, introduced by Satoshi Nakamoto in 2008, and altcoins like Ethereum, Bitcoin Cash, and Ripple, discovered later on, are becoming more and more popular. These virtual currencies, which benefit from cryptographic systems, are unconnected to any hub and have high levels of security with blockchain technology, and have been used worldwide in a short time, with minimum transaction costs and maximum returns. With this rising interest in cryptocurrencies, investors in the economy have begun to build a new portfolio of virtual currencies. In this context, the study analysed the relationship between Bitcoin, the crypto currency precursor, and major stock exchange indices. As part of the analysis, Bitcoin-dependent variables such as BIST100, S&P500, NASDAQ100, DOW JONES30, NIKKEI225, FTSE100 and DAX were considered as independent variables. The analysis of the variables, using monthly data from the 2013M1-2023M1 period, found that there was a long-term relationship between variables. The VECM concluded that the short-term fluctuations in the variables approached the long-term balance approximately every three months. The most recent Toda-Yamamoto causality test revealed that there is a one-way causality link to Bitcoin from the NI225, SPX and NDX indices.