Is bitcoin becoming an alternative investment option for Turkey a comparative investigation through the non-linear time series analysis

Abstract

Purpose - The main purpose of this study in determine whether Bitcoin is becoming an alternative investment option compared to other financial instruments in Turkey. To perform analysis for this purpose, we created sample includes Bitcoin, Bist 100 National Index, Bond, Euro and Gold. We calculated daily returns in terms of % for each type of instrument for the period range from 02.02.2012 to 17.12.2018. Methodology - In the study, we tested the stationarity of the series and the causality relationships between the series through the nonlinear unit root and causality tests. Stationarity of the series and causality relations between them are determined with the help of charts. Both in unit root test and in causality test, firstly we obtained test statistics and normalized them by using critical values then transferred them to the charts. In order to decide about when test statistics is higher than critical values null hypothesis is rejected. Findings- Bitcoin, Usd, Gold and Bond are found non-stationary for the whole period. We find out that returns of Euro is more stable than Usd. Bitcoin has been fluctuating during all period except for first months of 2013 while Gold’s returns are intensively volatile when politic and economic risks are increasing. This show investors in Turkey still consider Gold as safe port for their investments. Usd currency is volatile for all period because of its increasing demand all over the world. In causality test we observed that there is a causality relation from Bitcoin’s returns to Bist 100 returns. This result shows that Bitcoin is becoming an alternative (substitute) investment tool for domestic and foreign investors compared to Borsa Istanbul. There is more causality relation between Bitcoin and Gold than Bitcoin and Bist 100. Conclusion- Based on the findings of this analysis, , it may be accepted that Bitcoin has been becoming an alternative investment/savings tool for the Turkey case. Regulatory institutions should create a required legal framework for the Bitcoin because Bitcoin has a great potential to prevent of tax evasion, the terminate the informal economy and eliminate intermediation costs.