Testing Speculative Price Bubbles For Crypto Money Values : An Application For Bitcoin Abstract

Year 2019, Volume: 2 Issue: 1, 44 - 50, 13.07.2019

Atilla Hepkorucu , Sevdanur Genç

Abstract

The aim of this study is to determination of the speculative price
bubbles for crypto currencies by existence of bitcoin examining. The entity
with the highest transaction volume within the crypto currencies is designated
as Bitcoin, which is why it is thought that crypto money prices can reflect the
data generation process. The values of all cryptocurrencies have recently shown
a lot of price fluctuations. The speculative price bubbles can be shown as the
cause of this change. If it is not the speculative price increase, it can be
the result of the systematic risk increase of the market. The study period was
attempted to select the period in which the volatility of Bitcoin asset returns
increase. First, the standard Augmented Dickey-Fuller (ADF) test was used to
test the stationary. In order to determine speculative price bubbles; GSADF
(Phillips, Shi and Yu; 2013) test, which developed for the determination of
multiple price bubbles in recursive way, takes into account the extreme right
tail structure in the distributions. The purpose is to determine whether the
cause of price change is speculative or not. 

Keywords

Bitcoin, Crypto Money Values, Price Bubbles, ADF Unit Root Tests, Stationary

Kripto Para Değerleri için Spekülatif Fiyat Balonlarının Test Edilmesi : Bitcoin Üzerine Bir Uygulama

Abstract

Bu çalışmanın amacı;
Bitcoin varlığının incelenerek, Kripto para birimleri için spekülatif fiyat
şişkinliklerinin belirlenmesidir. Kripto para birimleri içinde işlem hacmi en
yüksek olan varlık Bitcoin olarak belirlenmiş ve bu nedenle kripto para
fiyatlarının veri üretme mekanizmasını yansıtabileceği düşünülmüştür. Tüm
kripto para birimlerinin değerleri yakın zamanda çok dalgalanma göstermiştir.
Bu değişimin nedeni olarak spekülatif fiyat şişkinlikleri gösterilebilir. Eğer
neden spekülatif fiyat artışı değil ise piyasanın sistematik riskinin arttığı
sonucuna varılabilir. Çalışma aralığı, Bitcoin varlığının getiri
volatilitesinin arttığı dönem seçilmeye çalışılmıştır. Öncelikle durağanlığın test edilmesi amacıyla standart Arttırılmış
Dickey-Fuller (ADF) testi
kullanılmıştır. Fiyat şişkinliklerinin belirlenmesi için; dağılımlarında
aşırı sağ kuyruk yapısını dikkate alan, özyinelemeli bir yapıya sahip olan ve
çoklu fiyat balonlarının tespiti için geliştirilen GSADF (Phillips, Shi ve Yu; 2013) testi kullanılmıştır.
Amaçlanan fiyat değişiminin nedeninin spekülatif olup olmadığının
belirlenmesidir.

Keywords

Bitcoin, Kripto Para Birimleri, Fiyat Balonları, ADF Birim Kök Testleri, Durağanlık

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