Impacts of Bitcoin on USA, Japan, China and Turkey stock market indexes: Causality analysis with value at risk method (VAR)

摘要

In this study, the impacts of Bitcoin on Japan, China, Turkey and USA stock indexes were investigated. Nikkei225, SSE380, BIST100 and S&P500 were selected as the stock market indexes. The weekly data including dates between January 03, 2016 and December 16, 2018 were analyzed using EViews program and firstly the time-dependent, non-stationary data set was stabilized. Then, the stabilized data was analyzed with VAR(3) model according to Akaike information criteria. According to the Johansen cointegration test, 2nd model was selected as the most appropriate model for the study. The variables were rearranged with error correction model and then Granger causality analysis was performed. As a result of these analysis, it was determined that Bitcoin only affected BIST100 and that there were two-way causality relation between them. In addition, a one-way causality from Nikkei225 to SSE380, from SSE380 to Bitcoin, from S&P500 to Nikkei225 and from Nikkei225 to Bitcoin were observed.