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2020, vol. 66, br. 3, str. 73-80
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Testiranje kauzalnosti između Bitcoina i cene zlata na svetskom tržištu primenom Grangerovog testa
Testing the causality between Bitcoin price and the gold price in the global market prime by Granger's test
Sažetak
U radu se ispituje kauzalna veza u Grengerovom smislu između kretanja cene Bitcoina i cene zlata na gloalnom finansijskom tržiđtu kako bi se odgovorilo na pitanje da li je moguće predvideti kretanje cene Bitcoina na osnovu kretanja cene zlata na svetskom tržištu, ali i obratno. Istraživanje je sprovedeno u periodu d 1 januara 2019. Godine do 1. decembra 2019. Godine. U istraživanju je korišćen Grengerov testa kauzalnosti (1969). Rezultati istraživanja pokazuju da istorijskim podaci o kretanju cene zlata na svetskom tržištu ne mogu da se koriste za predviđanje promena u vrednosti i ceni Bitcoina. Sa druge strane, rezultati istraživanja ukazuju da je moguća pouzdana primena istorijskih podataka o kretanju vrednosti i cene Bitcoina za predviđanje cene zlata.
Abstract
The paper examines the existence of a causal relationship in Grangers' sense between the movement of Bitcoin prices and the price of gold at the global financial market, in order to answer the question whether it is possible to predict the movement of the Bitcoin price based on the movement of the price of gold in the world market, but also vice versa. The survey was conducted from January 1, 2019 to December 1, 2019. In the research was used the Granger causality test (1969). The research results show that historical data on the movement of gold prices in the world market cannot be used to predict the change in value and price movements of Bitcoin. On the other hand, the survey results indicate the possibility of a reliable application of the use of historical data on the movement of value and price of Bitcoin.
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