A COINTEGRATION RELATIONSHIP BETWEEN CRYPTOCURRENCIES AND FINANCIAL INSTRUMENTS UNDER STRUCTURAL BREAKS

Authors : Ecem Arık

Pages : 201-216

Doi:10.18092/ulikidince.1538837

View : 58 | Download : 114

Publication Date : 2025-02-12

Article Type : Research Paper

Abstract :The aim of this research is to investigate the long-term relationships among the dollar exchange rate (TRY/USD), gold (GAU/USD), the Borsa Istanbul 100 Index (BIST 100) and the prices of Bitcoin (BTC/USD), Ethereum (ETH/USD), and Binance Coin (BNB/USD). Since the series contain structural breaks, Fourier unit root tests were used to model the structural breaks. As the method of this study, the relationships between variables in the long term were examined by using Fourier Shin (FSHIN) and Shin (1994) (SHIN) cointegration tests. The findings of this study showed that cryptocurrencies are cointegrated among themselves under structural breaks in the long term; investment instruments are cointegrated among themselves. In addition, as a result of this study, it was determined financial instruments and cryptocurrencies do not move in along over time under structural breaks.
Keywords : Kripto para, dolar kuru, altın, BİST 100, Fourier eşbütünleşme testi.