It can work either way. In my opinion, the first option is good for connecting the two ideas, whereas the second option creates some empty “space” for reader to digest the information on their own: Use “which” (a relative pronoun) after a comma to introduce a non-restrictive (non-defining) relative clause. Use “that” (a demonstrative pronoun) after a period (full stop) to start an entirely new sentence.

I would use 'that is why' with a new sentence, rather than after a comma.