Analysis of the Relationship Between Cryptocurrency Market and Borsa Istanbul: Toda-Yamamoto Causality Test

The adoption of cryptocurrencies by investor economic units in a short time affects the capital markets, especially the stock exchanges, which are seen as an alternative to the crypto money market. This situation has revealed the necessity of questioning the relationship between securities exchanges and cryptocurrencies. In this context, our study was carried out to investigate the causality relationship between Bitcoin, which is known as the most well-known crypto money, which is characterized as an alternative to national currencies, and another important cryptocurrency Ethereum and BIST 100 index. As a result of the study, in which the monthly data for the period between March 2018 and September 2022 were analyzed with the Toda-Yamamoto (1995) causality test, a one-sided causality relationship was determined between Bitcoin and the BIST 100 index. Based on the findings indicating that the direction of this causality relationship is from Bitcoin to the BIST 100 index, it can be said that Bitcoin has an effect on the Turkish stock market. In the study, no causal relationship was found between Ethereum and BIST 100 index. At this point, it can be said that investors trading in Borsa Istanbul should take into account the changes in Bitcoin prices while managing their portfolios.