KRİPTO PARA PİYASASINDA ETKİN PİYASA HİPOTEZİNİN İNCELENMESİ

Year 2021, Volume: 3 Issue: 2, 75 - 90, 30.11.2021

Alper Aslan , Bilge Çipe

Abstract

Kripto paralar piyasaya çıktığından bu yana yatırımcıların ve devletlerin dikkatini çekmiştir. Son yıllarda birçok araştırmacının yoğunlaştığı kripto paraların diğer ekonomik kavramlarla ilişkisi incelenirken en çok rastlanılan konu finansal piyasalar bağlamında olmuştur. Bu çalışmada 2017:10/2019:5 dönemine ait aylık veriler kullanılarak Etkin Piyasa Hipotezinin, Bitcoin, Ethereum, Ripple (XRP), Bitcoin Cash ve EOS fiyatları için geçerli olup olmadığı araştırılmıştır. Bu doğrultuda verilere uygulanan zaman serisi, panel seri ve yapısal kırılmalı birim kök testleri sonucuna göre Etkin Piyasa Hipotezinin zayıf formunun, kripto para piyasaları için genel olarak geçerli olduğu sonucuna ulaşılmıştır.

Keywords

Kripto para, Etkin Piyasa Hipotezi, Birim Kök Testleri

References

• Bachelier, Louis. Th´eorie de la sp´eculation. Annales scientifiques de l’Ecole ´. Paris: Normale Sup´erieure, 1900.
• Baltagi, Badi H. Econometric Analysis of Panel Data . England: John Wiley & Sons Ltd, 2005.
• Bariviera, Aurelio F. «The inefficiency of Bitcoin revisited: A dynamic approach.» Economics Letters, 2017: Vol: 161, p: 1-4.
• Bartos, Jakub. «Does Bitcoin follow to hypothesis of efficient market.» International Journal of Economic Sciences, 2015: Vol. 4, p:10-23 .
• Breitung, Jörg. «The local power of some unit root tests for panel data, ,, Bingle.» Advances in Econometrics, 2001: Vol:15, P:161-177.
• Breusch, Trevor S, ve Adrian Pagan. «The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics.» Review of economic Studies, 1980: Vol:47 P:239-253.
• Buchholz, Martis, Jess Delaney, ve Joseph Warren. «Bits and Bets Information, Price Volatility, and Demand for Bitcoin.» Economics 312 Working Paper, 2012.
• Chu, Jeffrey, Yuanyuan Zhang, ve Stephen Chan. «The adaptive market hypothesis in the high frequency cryptocurrency market.» International Review of Financial Analysis, 2019: 6/221-231.
• Corbet, Shaen, Brian Lucey, Maurice Peat, ve Samuel Vigne. «Bitcoin Futures—What use are they?» Economics Letters, 2018: 172/23-27. Escanciano, J. Carlos, ve Ignacio N. Lobato. «Testing the martingale hypothesis.» Palgrave Handbook of Econometrics içinde, yazan Patterson K. (eds) Mills T.C., 972-1003. London: Palgrave Macmillan, 2009.
• Fama, Eugene F. «Efficient capital markets: A review of theory and empirical work.» Journal ofFinance, 1970: 25 (2)/383-417.
• Hurst, Harold Edvin. «Long-term storage capacity of reservoir.» Transactions of the American Society of Civil Engineers, 1951: 116/770-808.
• Im, Kyung So, M. Harsem Pesaran, ve Yongcheol Shin. «Testing for Unit Roots in Heterogeneous Panels.» Journal Of Econometrics, 2003: 115/53-74.
• Khuntia, Sashikanta, ve J.K. Pattanayak. «Adaptive market hypothesis and evolving predictability of bitcoin.» Economics Letters, 2018: 167/ 26-28.
• Koçoğlu, Şahnaz, Yasin Erdem Çevik, ve Cihan Tanrıöven. «Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı.» İşletme Araştırmaları Dergisi, 2016: 8(2), 77-97.
• Kwiatkovski, Denis, Peter C. B. Phillips, Peter Schmidt, ve Yongcheol Shin. «Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series have a Unit Root.» Journal of Econometrics, 1992: 54/ 159-178.
• Lee, Chien Chiang, Ching Chuan Tsong, ve Cheng Feng Lee. «Testing for the efficient market hypothesis in stock prices: International evidence from nonlinear heterogeneous panels.» Macroeconomic Dynamics, Cambridge University Press, 2014: 18(4), 943-958.
• Levin, Andrew, Chien-Fu Lin, ve Chia-Shang James Chu. «Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties.» Journal of Econometrics, 2002: 108, 1-24.
• Nadarajah, Saralees, ve Jeffrey Chu. «On the inefficiency of Bitcoin.» Economics Letters, 2017: 150, 6-9.
• Nan, Zheng, ve Taise Kaizoji. « Market efficiency of the bitcoin Exchange rate:Weak and semi-strong form tests with the spot, futures and forward foreign Exchange rates.» International Review of Financial Analysis, 2019: 64, 273-281.
• Perron, Pierre. «The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.» Econometrica, 1989: 57, 1361-1401.
• Pesaran, M. Harsem. General Diagnostic Tests for Cross Section Dependence in Panels. London: Cambridge Working Papers in Economics, 0435, Faculty of Economics, University of Cambridge, 2004.
• Pesaran, M. Harsem, ve Takashi Yamagata. «Testing Slope Homogeneity in Large Panels.» Journal of Econometrics, 2008: 142 (1), 50-93.
• Samuelson, Paul A. «Proof That Properly Anticipated Prices Fluctuate Randomly.» Industrial Management Review, 1965: 6(2), 41-49. Tatoğlu, Ferda Yeldelen. Panel Zaman Serileri Analizi Stata Uygulamal. İstanbul: Beta Yayınları, 2017.
• Tiwari, Aviral Kumar, R. K. Jana, Debojyoti Das, ve David Roubaud. «Informational Efficiency of Bitcoin—An Extension.» Economics Letters, 2018: 163, 106-109.
• Urquhart, Andrew. «The inefficiency of Bitcoin.» Economics Letters, 2016: 148, 80-82.
• Y, Campbell John, Andrew V Lo, ve MacKinlay A. Craig. «The Econometrics of Financial Markets.» Princeton University Press, 1997: 28-33.
• Zięba, Damian, Ryszard Kokoszczyński, ve Katarzyna Śledziewska. «Shock Transmission In the Cryptocurrency Market. Is Bitcoin the Most Influential?» International Review of Financial Analysis, 2019: 64, 102-125.
• Zivot, Eric, ve Donald W.K. Andrews. «Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis.» Journal Of Business And Economic Statistics, 1992: 10(3), 253.