Analysis of the relationship between high transaction volume cryptocurrencies and commodity returns

The rapid development of technology day by day has led to the use of crypto money, which is virtual currency, instead of tangible money used as an investment tool. The most known of these currencies, which are not managed by any government and central authority, have no physical features and can be bought and sold without time limits, is Bitcoin. This currency, the use of which is increasing day by day by both individuals and institutions, is used as an alternative virtual investment tool. In this study, Bitcoin and Ethereum are discussed in detail. In addition, the relations of Bitcoin and Ethereum with gold, platinum, copper, natural gas and brent oil returns are discussed. The frequency of the data sets subject to the study is weekly and covers the periods of 15.04.2018-10.04.2022. A total of 210-week closing prices were handled and analyzes were performed with logarithmic difference series. VAR Analysis and Granger causality tests, which are time series methods, were applied. In the study, first of all, the stationarity levels were tested by applying ADF and PP unit root tests to the data. By establishing the appropriate VAR model, the reflections of shocks in gold, copper, platinum, natural gas and brent oil on Bitcoin and Ethereum were analyzed with impulse-response functions. Then, variance decomposition analysis was performed in order to determine which variables included in the analysis caused the changes in Bitcoin and Ethereum returns. Finally, Granger causality analysis was used to determine the causality relationship between the variables that are the subject of the research. As a result, it has been determined that Bitcoin and Ethereum respond to gold, platinum, copper, natural gas and brent oil returns. However, it has been determined that the most important variable explaining the change in Bitcoin and Ethereum returns is themselves, and the explanatory power in other variables is lower. When the results were evaluated in terms of Granger causality, it was concluded that there was only a causal relationship from gold return to Bitcoin and Etherum, as well as a statistically significant relationship between Bitcoin and Ethereum from Ethereum return to Bitcoin return. Keywords: Cryptocurrency, Commodity, VAR Analysis, Impact Response, Variance Decomposition, Causality.