Do The Stock Markets and The Leading Indicators of Bitcoin Act Together in The Special of Bitcoin Energy Consumption? The Evidence from Producing Countries of Bitcoin

Abstract

In this study, it was aimed to examine that the relationship between Bitcoin price, Bitcoin volume and bitcoin energy consumption, and to research leading indicators of Bitcoin and whether the stock markets of the 5 countries that produce the most Bitcoin act together. In this context, 2011-2022 monthly data of Bitcoin energy, Bitcoin price, Bitcoin volume, USA, China, Kazakhstan, Russia, and Canada indexes was regarded in the study. Diebold and Yilmaz (2012) spillover index and time varying parameter VAR (TVPVAR) methodologies were used in the study. In the result of Diebold and Yilmaz (2012) spillover methodology was observed that the spillover effect of the Bitcoin energy variable on the Bitcoin price is 3.5%. While was observed from leading indicators of Bitcoin to all series examined be spillover, the most spillover was observed that be from Bitcoin price to SP500 index. Net spillover index of Diebold and Yilmaz (2012) was calculated that is 4.54%. In addition to this, in the TVPVAR established model was examined the action and the reaction functions in 4, 8 and 12 months periods. In the action-reaction functions of the TVPVAR model, it was observed that the shocks at the 4, 8 and 12-month periods in Bitcoin energy prices spread with a similar intensity to the Bitcoin price. In the result of the study was observed that Bitcoin energy shocks spread to SP500, Shanghai, Kase and RTSI indexes in all periods, the shocks of the price and the volume shocks spread to these indexes in short periods.