An Empirical Investigation of the Relationship between Bitcoin and Developed and Developing Country Stock Markets

Abstract

Purpose: This study aims to investigate the causal relationships between Bitcoin prices and developed and developing country stock markets. Design/methodology/approach: In the analysis part of the study, the causality test developed by Findings: As a result of the analysis, a two-way causality was found between BTC and DJI, among the developed country stock markets. On the other hand, there was a causality relationship from FCHI to BTC, while there was no causality from BTC to FCHI. There was a causality relationship from BTC to N225, while there was no causality from N225 to BTC. Finally, no causality relationship was found between DAX and BTC. Looking at the developing country stock markets, however, there was no causality relationship from BIST to BTC, there was a causality relationship from BTC to BIST. There was no causality relationship from BVSP to BTC, but there was a causality relationship from BTC to BVSP. There was no causality from MOEX to BTC, but there was a causality relationship from BTC to MOEX. There was no causality from BSE to BTC, but it was found that there was a causality relationship from BTC to BSE. As can be seen from the results, it is seen that Bitcoin prices are the cause of the stock markets of developing countries. It has been determined that Bitcoin historical values are effective on BIST, BOVESPA, MOEX Russia and BSE Sensex 30. The findings of the study were discussed in the results section. Originality/value: It is of great importance for investors to follow the developments in the stock market indices subject to research simultaneously with the Bitcoin prices. It is important that investors who will invest in these markets do not ignore the relationship between these markets in portfolio diversification.