Determining the Foreign Currencies Affecting the Bitcoin.

被引：0

作者：

Ozaltun G.C. ^{[1
]}

Ege I. ^{[1
]}

Topaloglu E.E. ^{[2
]}

Huang C.H. ^{[3
]}

Urkmez T. ^{[4
]}

机构：

[1] Mersin University, Department of Business Administration, Mersin

[2] Sirnak University, Department of Business Administration, Sirnak

[3] Solbridge International School of Business, Daejeon

[4] American University of Middle East, College of Business

来源：

Applied Mathematics and Nonlinear Sciences | 2023年 / 8卷 / 02期

关键词：

Bitcoin; Cryptocurrency; Electronic Money; Exchange Rate; Granger Causality; Time Series Analysis;

D O I：

10.2478/amns.2023.2.01139

中图分类号：

学科分类号：

摘要：

In the present paper, the Granger causality test is used to study the causality relationships between Bitcoin and some of the most highly traded currencies, including euro, Japanese yen, British pound, Chinese yuan, and Indian rupee. To this purpose, the daily exchange rates of Bitcoin and the selected currencies to USD between 2014 and 2018 were used. Different from findings in existing literature, our study shows that there are no Granger causalities between Bitcoin and Euro, Japanese yen, British pound, and Indian rupee. A Granger causality is found in the direction from the Chinese yuan to Bitcoin. © 2023 Gul Cennet Ozaltun et al., published by Sciendo.

引用

页码：3427 / 3444

页数：17

共 50 条

[1] Hedging capabilities of bitcoin. Is it the virtual gold?
Dyhrberg, Anne Haubo
FINANCE RESEARCH LETTERS, 2016, 16 : 139 - 144
[2] Bitcoin, currencies, and fragility
Nicholas Taleb, Nassim
QUANTITATIVE FINANCE, 2021, 21 (08) : 1249 - 1255
[3] Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset?
Paule-Vianez, Jessica
Prado-Roman, Camilo
Gomez-Martinez, Raul
EUROPEAN JOURNAL OF MANAGEMENT AND BUSINESS ECONOMICS, 2020, 29 (03) : 347 - 363
[4] The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies
Palazzi, Rafael Baptista
Raimundo Junior, Gerson de Souza
Klotzle, Marcelo Cabus
FINANCE RESEARCH LETTERS, 2021, 42
[5] PORTFOLIO DIVERSIFICATION WITH BITCOIN. EVIDENCE FROM INSTITUTIONAL INVESTORS PERSPECTIVE
Grujic, Milos
Soja, Tijana
CASOPIS ZA EKONOMIJU I TRZISNE KOMUNIKACIJE, 2022, 12 (01): : 111 - 125
[6] Bitcoin as a Complement to Emerging Market Currencies
Carrick, Jon
EMERGING MARKETS FINANCE AND TRADE, 2016, 52 (10) : 2321 - 2334
[7] DIGITAL CURRENCIES, ANONYMITY IN THE BITCOIN SYSTEM
Shala, Ahmet
Shala, Lavderim
Kycyku, Azem
INFORMATICS, GEOINFORMATICS AND REMOTE SENSING CONFERENCE PROCEEDINGS, SGEM 2016, VOL I, 2016, : 189 - 196
[8] Dependence between bitcoin and African currencies
Nadarajah S.
Afuecheta E.
Chan S.
Quality & Quantity, 2021, 55 (4) : 1203 - 1218
[9] Hedging capabilities of Bitcoin for Asian currencies
Kinkyo, Takuji
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2022, 27 (02) : 1769 - 1784
[10] The bitcoin innovation, crypto currencies and the Leviathan
Appukuttan Nair, Damodaran
INNOVATION AND DEVELOPMENT, 2019, 9 (01) : 85 - 103

← 1 2 3 4 5 →