ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST

Abstract

Blockchain-based cryptocurrencies have gained popularity in television and digital media channels with the highest value records of all time broke in a row, both in academic studies and in recent times. In the framework of the study conducted to provide data to those who want to assess their investments in blockchain-based cryptocurrencies. In the research it is aimed to examine correlation between Bitcoin as an independent variable and S&P500 Index, US 10-year Treasury and altcoins like Ethereum, Cardano, Chainlink with Granger causality test. Findings shows that Chainlink as an investment tool has the highest return with 6.22% and it is followed by Cardano with 5.74%, Ethereum with 5.20% and ultimately Bitcoin. The US 10-year Treasury offers not only the lowest rate of return with 10% loss but also riskier tool than Bitcoin. S&P500 Index offers lower rate of return and riskier in comparison with FED interest rate. According to the covariance values, it has been determined that Bitcoin has an increasing linear relationship with Ethereum, Cardano and Chainlink, and a decreasing linear relationship with the FED interest rates and US 10-year Treasury, while it is unrelated to the S&P500 Index.