| Popis: |
The main purpose of the study; To determine the causality relationship between the cryptocurrencies that have marked the last ten years in terms of return and risk. For this purpose, 10 models were created between Bitcoin, Ethereum, Litecoin, Stellar and Ripple, which have the most data from the 10 cryptocurrencies with the highest market value, and each model was tested by Granger causality and Hafner-Herwatz variance causality tests. In the study, 1577 observations consisting of daily data between February 23, 2017 and June 18, 2021 were used. According to the results of the causality analysis, a Granger causality relationship was found between the selected cryptocurrencies on average, except Ethereum - Litecoin, and a causality relationship in the variance between the variables in the variance except Bitcoin - Ethereum and Bitcoin - Litecoin. |
