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Bitcoin and Stock Market Indexes Causality
Jönköping University, Jönköping International Business School.
Jönköping University, Jönköping International Business School.
2018 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper studies Granger Causality relations between Bitcoin and 5 stock market indexes which are Japan, Russia, South Korea, Sweden and the United States. The time-period examined is from 2013 to 2017 and all the tests are conducted based on daily data.  We analyze this in three different periods, last 5 years (2013-2017), in 2017 and last 3 months of 2017.

To estimate the relationship, we use unit root test and Augmented Dickey-Fuller, Lagrange Multiplier, Johansen Cointegration Test and finally Granger Causality Test. After the tests, countries have a same integrated order that exhibits a long-run relationship. In causality, except for Russia, each country has affected the Bitcoin prices and being affected in a different period, especially in the last 3 months of 2017, the impact and popularity of Bitcoin affect too much the stock market in the short-run.

As a result, the causation between Bitcoin and stock market indexes shows impact statistically significant in the 2017 year. The importance of cryptocurrency and popularity not as much as hype like late 2017 in 2018, but we think that cryptocurrencies are one of the major currencies that affect economical world very deeply.

Place, publisher, year, edition, pages
2018. , p. 63
Keywords [en]
Bitcoin, Stock Markets, Augmented Dickey-Fuller, Cointegration, Granger Causality
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-39919ISRN: JU-IHH-FÖA-2-20180628OAI: oai:DiVA.org:hj-39919DiVA, id: diva2:1214359
Subject / course
JIBS, Economics
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Available from: 2018-06-20 Created: 2018-06-06 Last updated: 2018-06-20Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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