Causal relationships between cryptocurrencies: the effects of sampling interval and sample size

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dc.contributor.authorKose, Nezir
dc.contributor.authorUnal, Emre
dc.date.accessioned2024-03-13T10:33:06Z
dc.date.available2024-03-13T10:33:06Z
dc.date.issued2023
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description.abstractFor this paper, the relationship between seventeen popular cryptocurrencies was analyzed by multivariate Granger causality tests and simple linear regression, using data spanning the period 1 September 2020 to 8 December 2021. The novelty of this work is that it studies the effects of sampling interval and sample size in cryptocurrency markets, which can yield significantly different results. Minute-by-minute, hourly and daily data were collected to examine the Granger causality relationship between cryptocurrencies. It was found that all the currencies demonstrated a significant causality relationship when high frequency (such as minute-by-minute) data was used, in contrast to hourly and daily data. The bigger the sample size, the higher the probability of rejecting the null hypothesis. Hence, the null hypothesis for the Granger causality test can be rejected for minute-by-minute time series data because of too large a sample size. Granger causality test results for hourly and daily data indicated that Bitcoin, Ethereum Classic, and Neo were leading indicators among the cryptocurrencies included in the research. In addition, according to simple linear regression analysis, the short term marginal effect of Bitcoin plays an important role by creating significant impacts on other cryptocurrencies.en_US
dc.identifier.doi10.1515/snde-2022-0054
dc.identifier.issn1081-1826
dc.identifier.issn1558-3708
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://doi.org/10.1515/snde-2022-0054
dc.identifier.urihttps://hdl.handle.net/20.500.12662/3758
dc.identifier.wosWOS:000940883000001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWalter De Gruyter Gmbhen_US
dc.relation.ispartofStudies In Nonlinear Dynamics And Econometricsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectcryptocurrencyen_US
dc.subjectmultivariate Granger causality testen_US
dc.subjectsample sizeen_US
dc.subjectsampling intervalen_US
dc.subjectsimple linear regressionen_US
dc.titleCausal relationships between cryptocurrencies: the effects of sampling interval and sample sizeen_US
dc.typeArticleen_US

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