The causality relationship between selected cryptocurrency prices and the dollar index

Cryptocurrencies, which increase rapidly as of 2010, have emerged against traditional currencies with central banks. These currencies are not depended on a central authority, but are issued under an encryption (cryptography) system. The concept of Bitcoin, the first cryptocurrency, was first introduced in an article in 2008 by a person (or group) named Satoshi Nakamoto. This article was sent to people who are interested in crypto money software and introduced and the concept of Bitcoin entered our lives. After 2011, more than 6000 altcoins, an alternative to Bitcoin, emerged and started to be used globally, starting to be traded on stock exchanges. The aim of this study is to examine the possible causality relationships between the dollar index (USDX) and the prices of Bitcoin (BTC), Litecoin (LTC), Ripple (XRP), EOS and Ethereum (ETH) cryptocurrencies, which are the 5 cryptocurrencies with the highest trading volume. In the study, possible causality relationships between the prices of Bitcoin, Litecoin, Ripple, EOS, Ethereum cryptocurrency and dollar index were investigated by using the Toda-Yamamoto causality test under rolling window approach. In the empirical part of the study, different causality relationships were observed in terms of windows in the period range considered in the analysis performed under 40, 60 and 80 window widths. Although different results are found in different windows in the analysis, it has been observed that the one-way causality relationship from Bitcoin and Ethereum cryptocurrency prices to the dollar index is more than other crypto currencies in all window widths. It can be said that the fact that Bitcoin and Ethereum cryptocurrencies are the two highest cryptocurrencies in terms of trading volumes has led to this result. In the analysis investigating the causality relationships of crypto currency prices from the dollar index, it was seen that the Litecoin crypto currency has more causality relationships in the window than other crypto currencies. When the findings are evaluated in terms of window width, it has been determined that the causality relationships between cryptocurrency prices and dollar index are higher for a window width of 80. Another finding of the study is that the causality relationships detected in all three window widths correspond to the same dates. Looking at the determined common days, it is seen that the one-way causality relationship from cryptocurrency prices to dollar index is intense in all window widths.