BAŞLICA ETKİN KRİPTO PARALARDA OYNAKLIK ANALİZİ

Year 2024, Volume: 38 Issue: 1, 161 - 183, 29.03.2024

Lokman Salih Erdem , Hayriye Atik

https://doi.org/10.48070/erciyesakademi.1401745

Abstract

Bitcoin'in 2009 yılında ortaya çıkmasıyla birlikte, birçok sektör üzerindeki etkileri gözlemlenmiştir. Ancak, kripto para piyasalarındaki yüksek volatilite ve merkezi bir kontrol olmaması, kripto paraların geleceği konusunda belirsizlik yaratmaktadır. Bu anlamda, finansal sektörlerin dinamik yapısı gereği diğer sektörlerden daha hızlı etkilendikleri doğal olarak kabul edilmektedir. Bu araştırmanın temel amacı, Bitcoin, Ethereum, Litecoin ve Ripple gibi dört kripto para biriminin yatırım aracı olarak potansiyelini değerlendirmektir. Bu amaç doğrultusunda, 1 Ocak 2018 - 1 Ocak 2023 tarihleri arasında, seçili kripto para birimlerinin getiri oranlarının volatilite özellikleri modellenmeye çalışılmıştır. Otoregresif koşullu değişen varyans modelleri (Autoregressive conditional heteroskedasticity - ARCH) analizi kullanılarak yapılan çalışmada, modelin volatilite tahmininin anlamlı sonuçlar vermesi üzerine VAR analizi ve Granger nedensellik ilişkileri eklenerek desteklenmiştir. Bu testlerin sonucunda kripto para birimlerinin risk profili incelenmiş ve gelecekteki fiyat hareketlerine ilişkin bir tahmin sağlanması amaçlanmıştır. Bu şekilde, kripto para birimlerinin potansiyel bir yatırım aracı olarak değerlendirilmesi konusunda tespitler yapılarak literatüre katkıda bulunulmuştur. Bu bağlamda, serilerde ARCH etkisi gözlemlenmiştir. Yapılan VAR ve Granger Nedensellik testleri sonucunda, Bitcoin'deki bir değişikliğin diğer altcoin'leri önemli ölçüde etkilediği ancak Ripple'da anlamlı bir etkinin olmadığı sonucuna varılmıştır.

Keywords

Kripto Para Birimi, ARCH Yöntemi, Granger nedensellik

VOLATILITY ANALYSIS IN THE MAIN ACTIVE CRYPTOCURRENCIES

Abstract

With the emergence of Bitcoin in 2009, its effects on various sectors have been observed. However, the high volatility and the absence of centralized control in cryptocurrency markets create uncertainty about the future of cryptocurrencies. In this regard, due to the dynamic nature of financial sectors, they are naturally presumed to be more rapidly affected than other sectors. The primary aim of this research is to evaluate the investment potential of four cryptocurrencies: Bitcoin, Ethereum, Litecoin, and Ripple. Towards this aim, between January 1, 2018, and January 1, 2023, the volatility characteristics of selected cryptocurrencies' return rates have been attempted to be modeled. Using Autoregressive Conditional Heteroskedasticity (ARCH) analysis, the volatility prediction of the model yielded significant results, further supported by VAR analysis and Granger causality relationships. As a result of these tests, the risk profile of cryptocurrencies has been examined, aiming to provide a forecast for future price movements. In this way, findings have been made regarding the evaluation of cryptocurrencies as a potential investment vehicle, contributing to the literature. In this context, ARCH effects have been observed in the series. Based on the VAR and Granger Causality tests, it has been concluded that while changes in Bitcoin significantly influence other altcoins, Ripple does not exhibit a significant effect.

Keywords

Cryptocurrency, ARCH Method, Granger causality

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