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Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi

Year 2019, Issue: 84, 149 - 164, 04.10.2019

Tuna Can Güleç Hüseyin Aktaş

https://doi.org/10.25095/mufad.625790
Cited By: 4

Abstract

Kripto para birimi fiyatlarının tartışmalı yükselişi, bu varlıkların finansal sistemin geleceğindeki rolü ile ilgili görüşleri kutuplaştırmıştır. Piyasa etkinliğine dair en kritik göstergelerden birisi olan fiyat balonları, piyasanın geleceğine dair yapısal ipuçları taşımaktadır. Bu çalışmanın amacı, dünya çapında kripto-borsalarda işlem gören kripto para birimlerinde spekülatif fiyat balonlarının varlığını araştırmaktır. Bu amaçla piyasada en çok işlem gören 8 kripto para biriminde spekülatif fiyat balonlarının varlığı, günlük frekansta veriler kullanılarak, 1000 tekrarlı Monte Carlo Simülasyonu ile doğrulanan Sup-Augmented Dickey-Fuller testine tabi tutulmuştur. Analiz bulgularına göre, fiyat seviyelerinin spekülatif fiyat balonu olarak nitelendirilebileceğine dair bir bulguya rastlanmamıştır. Öte yandan, fiyat seviyelerinin bu varlıkların içsel değerlerinin üzerinde seyrettiğine dair bulgular, piyasada spekülatif olmayan fiyat balonlarının varlığına işaret etmektedir. Bu sonuçlar kripto para birimi fiyatlarının ani bir fiyat düşüşü yerine kademeli olarak düşüş yaşayacağına dair bir işaret olarak yorumlanmıştır. 

Bu çalışma, güncel finans literatürünün en tartışmalı konularından birisi olan kripto para piyasalarında fiyat balonlarının niteliğini spekülatif açıdan ele alması açısından literatüre katkı sağlamaktadır.


Keywords

Spekülatif Balon Kripto Para SADF

References

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  • Bianchetti, Marco - Ricci, Camilla -Scaringi, Marco (2018),“Are Cryptocurrencies Real Financial Bubbles? Evidence From Quantitative Analyses”, https://ssrn.com/abstract=3092427 (February 24, 2018).
  • Blanchard, Olivier J. - Watson, Mark W. (1982),“Bubbles, Rational Expectations and Financial Markets.”,https://www.nber.org/papers/w0945 (March 14, 2018).
  • Bozoklu, Şeref -Zeren, Fatma (2013),“Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, Cilt:5, Sayı:9.
  • Caballero, Ricardo (2006),“On The Macroeconomics of Asset Shortages” https://www.nber.org/papers/w12753 (March 14, 2018).
  • Cagan, Phillip (1956),“The Monetary Dynamics of Hyperinflation”, University of Chicago Press, Chicago and London, pp. 25-117.
  • Cassidy, John (2010),“Interview with Eugene Fama.”,https://www.newyorker.com/news/john-cassidy/interview-with-eugene-fama (April 1, 2018).
  • Cheah, Engtuck - Fry, John (2015),“Speculative Bubbles in Bitcoin Markets? An Empirical İnvestigation into the Fundamental Value of Bitcoin”, Economics Letters, No:130, Vol:1, pp. 32-36.
  • De Bondt, Werner -Thaler, Richard (1995),“Financial Decision-Making İn Markets And Firms: A Behavioral Perspective”, Handbooks in Operations Research and Management Science, No: 9, Vol:1, pp. 385-410.
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  • Diba, Behzad – Grossman, Herschel (1987),“On the İnception of Rational Bubbles”,The Quarterly Journal of Economics, No:102, Vol. 3, pp. 697-700.
  • Diba, Behzad – Grossman, Herschel (1988a),“The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, No:98, Vol:392, pp. 746-754.
  • Diba, Behzad – Grossman, Herschel (1988b),“Rational İnflationary Bubbles”, Journal of Monetary Economics, No:21, Vol 1, pp. 35-46.
  • Edison, Hali - Luangaram, Pongsak -Miller, Marcus (2000),“Asset Bubbles, Leverage And ‘Lifeboats’: Elements Of The East Asian Crisis”, The Economic Journal, No:110, Vol: 460, pp. 309-334.
  • Evans, George (1991),“Pitfalls in Testing For Explosive Bubbles in Asset Prices”, The American Economic Review, No: 81 Vol: 4, pp. 922-930.
  • Flood, Robert -Hodrick, Robert (1990),“On Testing For Speculative Bubbles”, Journal of economic perspectives, No:4, Vol:2, pp. 85-101.
  • Friedman, Milton (1957),“Introduction to A Theory of the Consumption Function”, https://www.nber.org/chapters/c4403 (March 14, 2018).
  • Fry, John-Cheah, Engtuck (2016),“Negative Bubbles and Shocks in Cryptocurrency Markets”, International Review of Financial Analysis, No:47, Vol: 1, pp. 343-352.
  • Goldgar, Anne (2008), Tulipmania: Money, Honor, And Knowledge in the Dutch Golden Age, Vol:1, University of Chicago Press, Chicago, The USA.
  • Groshoff, David (2014),“Kickstarter My Heart: Extraordinary Popular Delusions and the Madness of Crowdfunding Constraints and Bitcoin Bubbles”, Wm.Mary Bus. L. Rev., No:5, Vol:1, pp. 489.
  • Grossman, Gene -Yanagawa, Noriyuki (1993),“Asset Bubbles And Endogenous Growth”, Journal of Monetary Economics, No:31, Vol:1, pp. 3-19.
  • Hafner, Christian (2018),“Testing for Bubbles in Cryptocurrencies With Time-Varying Volatility”, International Research Training Group, No: 1792, Vol:1, pp. 18.
  • Hunter, William - Kaufman, George -Pomerleano, Michael (2005), Asset Price Bubbles: The İmplications For Monetary, Regulatory, And İnternational Policies, Vol:1, MIT Press, Michigan, The USA.
  • İpekten, Berna ve Aksu, Hayati (2009),“Alternatif Yabancı Yatırım Araçlarının İMKB İndeksi Üzerine Etkisi”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Sayı:13, Cilt: 1, ss. 413-423.
  • Meltzer, Allan (2003), Rational and Nonrational Bubbles, Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies, Vol:1, MIT Press, Michigan, The USA.
  • Miller, Marcus -Luangaram, Pongsak (1998),“Financial Crisis İn East Asia: Bank Runs, Asset Bubbles And Antidotes”, National Institute Economic Review, No: 165, Vol: 1, pp. 66-82.
  • Mishkin, Frederic -White, Eugene (2002),“US stock Market Crashes And Their Aftermath: İmplications For Monetary Policy”, https://www.nber.org/papers/w8992 (April 2, 2018).
  • Mishkin, Frederic - White, Eugene (2003),“Stock Market Bubbles: When Does İntervention Work ?”,Milken Institute Review, No:5, Vol. 1, pp. 44-52.
  • Mullainathan, Sendhil -Thaler, Richard H (2000),“Behavioral Economics”, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=245733 (March 15, 2018).
  • Obstfeld, Maurice - Rogoff, Kenneth -Wrenlewis, Simon (1996), Foundations of International Macroeconomics, Vol: 1, MIT Press Cambridge, Cambridge, The UK.
  • Okuyan, Aydın -Taşçı, Mehmet (2009),“İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doguş Üniversitesi Dergisi, Sayı:10, Cilt: 2, ss. 272-283.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2011), “Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review, No:52, Vol:1, pp.201-226.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2013), “Technical Supplement to the Paper: Testing For Multiple Bubbles: Limit Theory of Real Time Detectors”, https://onlinelibrary.wiley.com/doi/abs/10.1111/iere.12131(March 18, 2018).
  • Phillips, Peter - Shi, Shuping -Yu, Jun (2014),“Specification Sensitivity in Right‐Tailed Unit Root Testing For Explosive Behaviour”, Oxford Bulletin of Economics and Statistics, No:76, Vol: 3, pp. 315-333.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2015),“Testing for Multiple Bubbles: Historical Episodes Of Exuberance And Collapse in the S&P 500”, International Economic Review, No: 56, Vol: 4, pp. 1043-1078.
  • Roubini, Nouriel (2006),“Why Central Banks Should Burst Bubbles”, International Finance, No:9, Vol: 1, pp. 87-107.
  • Rudebusch, Glenn (2005),“Monetary Policy And Asset Price Bubbles”, https://econpapers.repec.org/article/fipfedfel/y_3a2005_3ai_3aaug5_3an_3a2005-18.htm (April 2, 2018).
  • Shiller, Robert (2000),“Irrational Exuberance, Philosophy and Public Policy Quarterly”, No: 20, Vol:1, pp. 18-23.
  • Thaler, Richard (2005),“Advances in Behavioral Finance”, Vol. 1, Princeton University Press, Princeton, The USA.
  • Tirole, Jean (1985),“Asset Bubbles And Overlapping Generations ”, Econometrica: Journal of the Econometric Society, No: 1, Vol. 1,pp.1499-1528.
  • Wei, Deng (2017),“Price Bubbles in Bitcoin: Evidence, Causes and Implications”, Journal of Shanghai University of Finance and Economics, No: 1, Vol. 1, pp.150-62.
  • Yanik, Serhat -Aytürk, Yusuf (2011),“Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, No:51, Vol: 1, pp.175-190.

Year 2019, Issue: 84, 149 - 164, 04.10.2019

Tuna Can Güleç Hüseyin Aktaş

https://doi.org/10.25095/mufad.625790
Cited By: 4

Abstract

References

  • Bailey, Martin J. (1956),“The Welfare Cost Of İnflationary Finance”, Journal of Political Economy, No: 64, Vol:2, pp. 93-110.
  • Bianchetti, Marco - Ricci, Camilla -Scaringi, Marco (2018),“Are Cryptocurrencies Real Financial Bubbles? Evidence From Quantitative Analyses”, https://ssrn.com/abstract=3092427 (February 24, 2018).
  • Blanchard, Olivier J. - Watson, Mark W. (1982),“Bubbles, Rational Expectations and Financial Markets.”,https://www.nber.org/papers/w0945 (March 14, 2018).
  • Bozoklu, Şeref -Zeren, Fatma (2013),“Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, Cilt:5, Sayı:9.
  • Caballero, Ricardo (2006),“On The Macroeconomics of Asset Shortages” https://www.nber.org/papers/w12753 (March 14, 2018).
  • Cagan, Phillip (1956),“The Monetary Dynamics of Hyperinflation”, University of Chicago Press, Chicago and London, pp. 25-117.
  • Cassidy, John (2010),“Interview with Eugene Fama.”,https://www.newyorker.com/news/john-cassidy/interview-with-eugene-fama (April 1, 2018).
  • Cheah, Engtuck - Fry, John (2015),“Speculative Bubbles in Bitcoin Markets? An Empirical İnvestigation into the Fundamental Value of Bitcoin”, Economics Letters, No:130, Vol:1, pp. 32-36.
  • De Bondt, Werner -Thaler, Richard (1995),“Financial Decision-Making İn Markets And Firms: A Behavioral Perspective”, Handbooks in Operations Research and Management Science, No: 9, Vol:1, pp. 385-410.
  • Diba, Behzad –Grossman,Herschel (1985),“The Impossibility of Rational Bubbles.”, https://www.nber.org/papers/w1615 (March 21, 2018).
  • Diba, Behzad – Grossman, Herschel (1987),“On the İnception of Rational Bubbles”,The Quarterly Journal of Economics, No:102, Vol. 3, pp. 697-700.
  • Diba, Behzad – Grossman, Herschel (1988a),“The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, No:98, Vol:392, pp. 746-754.
  • Diba, Behzad – Grossman, Herschel (1988b),“Rational İnflationary Bubbles”, Journal of Monetary Economics, No:21, Vol 1, pp. 35-46.
  • Edison, Hali - Luangaram, Pongsak -Miller, Marcus (2000),“Asset Bubbles, Leverage And ‘Lifeboats’: Elements Of The East Asian Crisis”, The Economic Journal, No:110, Vol: 460, pp. 309-334.
  • Evans, George (1991),“Pitfalls in Testing For Explosive Bubbles in Asset Prices”, The American Economic Review, No: 81 Vol: 4, pp. 922-930.
  • Flood, Robert -Hodrick, Robert (1990),“On Testing For Speculative Bubbles”, Journal of economic perspectives, No:4, Vol:2, pp. 85-101.
  • Friedman, Milton (1957),“Introduction to A Theory of the Consumption Function”, https://www.nber.org/chapters/c4403 (March 14, 2018).
  • Fry, John-Cheah, Engtuck (2016),“Negative Bubbles and Shocks in Cryptocurrency Markets”, International Review of Financial Analysis, No:47, Vol: 1, pp. 343-352.
  • Goldgar, Anne (2008), Tulipmania: Money, Honor, And Knowledge in the Dutch Golden Age, Vol:1, University of Chicago Press, Chicago, The USA.
  • Groshoff, David (2014),“Kickstarter My Heart: Extraordinary Popular Delusions and the Madness of Crowdfunding Constraints and Bitcoin Bubbles”, Wm.Mary Bus. L. Rev., No:5, Vol:1, pp. 489.
  • Grossman, Gene -Yanagawa, Noriyuki (1993),“Asset Bubbles And Endogenous Growth”, Journal of Monetary Economics, No:31, Vol:1, pp. 3-19.
  • Hafner, Christian (2018),“Testing for Bubbles in Cryptocurrencies With Time-Varying Volatility”, International Research Training Group, No: 1792, Vol:1, pp. 18.
  • Hunter, William - Kaufman, George -Pomerleano, Michael (2005), Asset Price Bubbles: The İmplications For Monetary, Regulatory, And İnternational Policies, Vol:1, MIT Press, Michigan, The USA.
  • İpekten, Berna ve Aksu, Hayati (2009),“Alternatif Yabancı Yatırım Araçlarının İMKB İndeksi Üzerine Etkisi”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Sayı:13, Cilt: 1, ss. 413-423.
  • Meltzer, Allan (2003), Rational and Nonrational Bubbles, Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies, Vol:1, MIT Press, Michigan, The USA.
  • Miller, Marcus -Luangaram, Pongsak (1998),“Financial Crisis İn East Asia: Bank Runs, Asset Bubbles And Antidotes”, National Institute Economic Review, No: 165, Vol: 1, pp. 66-82.
  • Mishkin, Frederic -White, Eugene (2002),“US stock Market Crashes And Their Aftermath: İmplications For Monetary Policy”, https://www.nber.org/papers/w8992 (April 2, 2018).
  • Mishkin, Frederic - White, Eugene (2003),“Stock Market Bubbles: When Does İntervention Work ?”,Milken Institute Review, No:5, Vol. 1, pp. 44-52.
  • Mullainathan, Sendhil -Thaler, Richard H (2000),“Behavioral Economics”, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=245733 (March 15, 2018).
  • Obstfeld, Maurice - Rogoff, Kenneth -Wrenlewis, Simon (1996), Foundations of International Macroeconomics, Vol: 1, MIT Press Cambridge, Cambridge, The UK.
  • Okuyan, Aydın -Taşçı, Mehmet (2009),“İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doguş Üniversitesi Dergisi, Sayı:10, Cilt: 2, ss. 272-283.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2011), “Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review, No:52, Vol:1, pp.201-226.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2013), “Technical Supplement to the Paper: Testing For Multiple Bubbles: Limit Theory of Real Time Detectors”, https://onlinelibrary.wiley.com/doi/abs/10.1111/iere.12131(March 18, 2018).
  • Phillips, Peter - Shi, Shuping -Yu, Jun (2014),“Specification Sensitivity in Right‐Tailed Unit Root Testing For Explosive Behaviour”, Oxford Bulletin of Economics and Statistics, No:76, Vol: 3, pp. 315-333.
  • Phillips, Peter - Shi, Shuping - Yu, Jun (2015),“Testing for Multiple Bubbles: Historical Episodes Of Exuberance And Collapse in the S&P 500”, International Economic Review, No: 56, Vol: 4, pp. 1043-1078.
  • Roubini, Nouriel (2006),“Why Central Banks Should Burst Bubbles”, International Finance, No:9, Vol: 1, pp. 87-107.
  • Rudebusch, Glenn (2005),“Monetary Policy And Asset Price Bubbles”, https://econpapers.repec.org/article/fipfedfel/y_3a2005_3ai_3aaug5_3an_3a2005-18.htm (April 2, 2018).
  • Shiller, Robert (2000),“Irrational Exuberance, Philosophy and Public Policy Quarterly”, No: 20, Vol:1, pp. 18-23.
  • Thaler, Richard (2005),“Advances in Behavioral Finance”, Vol. 1, Princeton University Press, Princeton, The USA.
  • Tirole, Jean (1985),“Asset Bubbles And Overlapping Generations ”, Econometrica: Journal of the Econometric Society, No: 1, Vol. 1,pp.1499-1528.
  • Wei, Deng (2017),“Price Bubbles in Bitcoin: Evidence, Causes and Implications”, Journal of Shanghai University of Finance and Economics, No: 1, Vol. 1, pp.150-62.
  • Yanik, Serhat -Aytürk, Yusuf (2011),“Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, No:51, Vol: 1, pp.175-190.
There are 42 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Tuna Can Güleç This is me

Hüseyin Aktaş

Publication Date October 4, 2019
Submission Date February 14, 2019
Published in Issue Year 2019 Issue: 84

Cite

APA Güleç, T. C., & Aktaş, H. (2019). Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. The Journal of Accounting and Finance(84), 149-164. https://doi.org/10.25095/mufad.625790
AMA Güleç TC, Aktaş H. Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. The Journal of Accounting and Finance. October 2019;(84):149-164. doi:10.25095/mufad.625790
Chicago Güleç, Tuna Can, and Hüseyin Aktaş. “Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi”. The Journal of Accounting and Finance, no. 84 (October 2019): 149-64. https://doi.org/10.25095/mufad.625790.
EndNote Güleç TC, Aktaş H (October 1, 2019) Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. The Journal of Accounting and Finance 84 149–164.
IEEE T. C. Güleç and H. Aktaş, “Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi”, The Journal of Accounting and Finance, no. 84, pp. 149–164, October 2019, doi: 10.25095/mufad.625790.
ISNAD Güleç, Tuna Can - Aktaş, Hüseyin. “Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi”. The Journal of Accounting and Finance 84 (October 2019), 149-164. https://doi.org/10.25095/mufad.625790.
JAMA Güleç TC, Aktaş H. Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. The Journal of Accounting and Finance. 2019;:149–164.
MLA Güleç, Tuna Can and Hüseyin Aktaş. “Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi”. The Journal of Accounting and Finance, no. 84, 2019, pp. 149-64, doi:10.25095/mufad.625790.
Vancouver Güleç TC, Aktaş H. Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. The Journal of Accounting and Finance. 2019(84):149-64.

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