Cointegration and causality analysis between bitcoin and selected altcoins in the cryptocurrency market

Crypto currencies have emerged in a decentralized structure as an alternative to traditional investment tools, with technology evolving over time. The success of Bitcoin, which has the highest market capitalization in the crypto money market, has paved the way for virtual currencies and many alternative cryptocurrencies (altcoins) have been created with some regulations and changes over time. The purpose of the study is to identify the relationship and causality between Bitcoin leading the crypto monetary market and the selected subcoins, and to provide information that investors can benefit from more scientifically. For this purpose, the cointegration and causality relationship between Bitcoin and Ethereum (ETH), Binance Coin (BNB), Cardano (ADA), Litecoin (LTC), Tron (TRX), Stellar (XLM), IOTA altcoins was measured. Whether a long-term relationship exists has been tested by the Engle Granger Cointegration method, whether the short-term relationship exists has been tested by the Ordinary Least Squares Method, and whether the causality relationship exists has been tested by the Toda Yamamato Causality method. Within the scope of the study, the daily closing prices of cryptocurrencies between 14.06.2018-01.12.2021 were used as a data set. As a result of the research, according to the Engle Granger Test, no long-term cointegration relationship was found between BTC and selected altcoins. According to the OLS test, it was concluded that there is a short-term relationship between independent and dependent variables. According to the Toda Yamamato Test, it was concluded that there is granger causality from BTC to ADA, ETH, IOTA, TRX, XLM sub-coins, that there is no granger causality from BTC to BNB and LTC coins, and that they are not affected by BTC. Keywords: Bitcoin, Altcoin, Engle-Granger Cointegration Test, Toda-Yamamoto Causality Test