INTERACTION BETWEEN TEN CRYPTOCURRENCIES WHICH HAVE THE HIGHSET MARKET CAPITALIZATION
Gökben Adana Karaağaç1*, Serpil Altınırmak2, Basil Okoth3
1*Graduate Student, Social Sciences Institute of Anadolu University, Turkey, gokbenkaraagac@gmail.com
2Assoc. Prof. Dr., Anadolu University Eskişehir Vocational School, Turkey, saltinirmak@anadolu.edu.tr
3Postgraduate, Social Sciences Institute of Anadolu University, Kenya, basil.okoth@yahoo.com
*Corresponding author
Abstract
Rapid development in technology has affected the whole world and the counteries’ financial systems, financial markets and caused variations and changes in the tools used in these markets. After Bitcoin has begun trading on the financial markets in 2010, a number of different cryptocurrencies have also taken place in these markets. After these developments investors began to trade in the crypto money markets and the relationship between the price movements of the cryptocurrencies become an important issue for the investors. This study examined the effects, on each other, of the prices of the numerous and varied cryptocurrencies, whose popularity and consequently market value and trade volumes keep rising with each passing day. In the study, the total market values of Bitcoin, Ethereum, Ripple, Bitcoin Cash, Cardano, Litecoin, NEM, NEO, Stellar and IOTA cryptocurrencies were considered and only the ten cryptocurrencies which have highest market values were included in the analysis. The Johansen Cointegration test and Granger Causality tests were used to examine the relationship between the daily price movements of the selected cryptocurrencies between 15th December 2017 and 17th January 2018. The result of the analyses show that Cardano Granger causes NEO, Bitcoin Granger causes Bitcoin Cash, Litecoin Granger causes Bitcoin cash, NEM Granger causes Bitcoin cash, Ripple Granger causes Bitcoin, NEO and Ethereum have a bidirectional causality relationship with each other, NEO and Litecoin also exhibit a bidirectional causality relationship with each other, and NEM Granger causes Stellar, the results prove that the price movements of these variables affect each other in the short run.
Keywords: Blockchain technology, cryptocurrencies, johansen cointegration test, granger causality test
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