Kripto Paralar ile Dolar Endeksi Arasında Varyansta Nedensellik İlişkisi
The Causality Relationship in the Variance between Crypto Currencies and the Dollar Index

Author(s): Serhat Sezen
Subject(s): Economy, Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: cryptocurrencies; Causality Relationship; Dollar Index;
Summary/Abstract: In this paper, it is aimed to determine the possible existence of the volatility spillover effect between the seven cryptocurrencies (Bitcoin, Ethereum, Tether, BNB, Ripple, Cardano and Dogecoin) from which the largest sample volume can be obtained among the top ten cryptocurrencies with the dollar index and the highest market value. intended. For this purpose, using daily data between 31 December 2017 and 09 February 2023, the possible existence of the spillover effect between the dollar index and cryptocurrencies in return and volatility was investigated with the causality test in the mean and variance developed by Hong (2001). According to the results obtained from the causality test on average, a one-way causality relationship has been determined from the Dollar index to Bitcoin, Ethereum, BNB, Ripple and Cardano. This result shows that the changes seen in the prices of Bitcoin, Ethereum, BNB, Ripple and Cardano cryptocurrencies in the returns are affected by the price movements seen in the Dollar index. On the other hand, no causal relationship was found between the Dollar index and Tether and Dogecoin. According to the causality test results in variance, it has been determined that there is a bidirectional volatility spillover effect between the Dollar index and all cryptocurrencies in the study. This result means that Bitcoin, Ethereum, Tether, BNB, Ripple, Cardano and Dogecoin cryptocurrencies will react instantly and their volatility will increase in the face of a new news about the Dollar index; Similarly, if there is a new news on the market about the cryptocurrencies included in the study, the Dollar index will react immediately and its volatility will increase.

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