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Covid -19 Sürecinde Altın ve Petrol Fiyatlarının Bitcoin Üzerindeki Asimetrik Etkisi

Year 2021, Volume: 23 Issue: 3, 911 - 926, 31.12.2021
https://doi.org/10.26745/ahbvuibfd.939898

Abstract

COVID-19'un başlangıcı, 2020'nin belirleyici olayı haline geldi ve kripto para birimleri de dahil olmak üzere tüm dünyadaki finansal piyasaları etkiledi. Bu süreçte, altın ve diğer emtialar gibi güvenli bir liman olarak görülmeye başlanan kripto para birimlerine ve diğer dijital varlıklara yatırıma olan ilgi arttı. Bu amaçla bu çalışmada Covid-19 sürecinde, altın ve petrol fiyatlarında meydana gelen şokların Bitcoin fiyatları üzerindeki asimetrik etkisi incelenmiştir. Çalışmada Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif (NARDL) analiz yöntemi kullanılmıştır. Analizin sonucunda, uzun vadede altın fiyatlarında meydana gelen negatif şokların Bitcoin fiyatlarını olumlu etkilediği, petrol fiyatlarında meydana gelen negatif şokların ise Bitcoin fiyatlarını olumsuz etkilediği sonucuna ulaşılmıştır. Uzun vadede altın ve petrol fiyatlarında meydana gelen pozitif şokların ise Bitcoin fiyatları üzerinde istatistiki olarak anlamlı bir etkisinin olmadığı görülmüştür. Kısa vadede ise hem altın hem de petrol fiyatlarında meydana gelen pozitif şokların Bitcoin fiyatlarını olumlu etkilediği, negatif şokların ise olumsuz etkilediği tespit edilmiştir. Sonuç olarak, Bitcoin’in küresel yatırımcılar için finansal çeşitlendirmede ideal olabileceği ve yeni bir sanal altın olarak piyasalardaki yerini alabileceği görülmüştür.

References

  • Aksoy, E., Teker, T., Mazak, M. ve Kocabıyık, T. (2020). Kripto Paralar ve Fiyat İlişkileri Üzerine Bir Analiz: Toda-Yamamoto Nedensellik Analizi İle Bir İnceleme, Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Sayı:37, 110-129.
  • Aksu, H. ve Başar, S. (2016). Türkiye Ekonomisinde Hasılanın İşsizlik Üzerindeki Dinamik Etkileri, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20 (1), 275-286.
  • Al-Naif, K. L. (2020). The Relationship Between Crypto Currencies and Official Arabian Currencies Exchange Rate, Academy of Accounting and Financial Studies Journal, Volume 24, Issue 2, 1-10.
  • Baur, D. G., Dimpfl, T. and Kuck, K. (2018). Bitcoin, gold and the US dollar – A replication and extension, Finance Research Letters, Cilt 25, 103-110.
  • Bouri, E., Gupta, R., Lahiani, A. and Shahbaz, M. (2018). Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices, Resources Policy, (57), 224–235.
  • Corelli, A. (2018). Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis, Risks, 6 (4), 1-11.
  • Çıtak, F., Uslu, H., Batmaz, O. ve Hoş, S. (2020). Do renewable energy and natural gas consumption mitigate CO2 emissions in the USA? New insights from NARDL approach, Environmental Science and Pollution Research, 1-12
  • Çütçü, İ. ve Kılıç, Y. (2018). Bitcoin Fiyatları İle Dolar Kuru Arasındaki İlişki: Yapısal Kırılmalı Zaman Serisi Analizi, Yönetim ve Ekonomi Araştırmaları Dergisi, Cilt: 16 Sayı: 4, 349-366.
  • Demir, E., Simonyan, S., Garcia-Gomez, C. D. and Lau, C. K. M. (2021). The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model, Finance Research Letters, (40), 1-6.
  • Deniz, E. A. ve Teker, D. (2019). Determinants of Bitcoin prices. PressAcademia Procedia (PAP), V.10, 17-21.
  • Dirican, C. ve Canoz, İ. (2017). The cointegration relationship between Bitcoin prices and major world stock indices: an analysis with ARDL model approach. Journal of Economics, Finance and Accounting (JEFA), V.4, Iss.4, 377-392.
  • Erdaş, M. L. ve Çağlar, A. E. (2018). Analysis of the relationships between Bitcoin and exchange rate, commodities and global indexes by asymmetric causality test, Eastern Journal of European Studies, Volume 9, Issue 2, 27-45.
  • Ghorbel, A. ve Jeribi, A. (2021). Investigating the relationship between volatilities of cryptocurrencies and other financial assets, Decisions in Economics and Finance, https://doi.org/10.1007/s10203-020-00312-9
  • Gonzalez, M. O., Jareno, F. and Skinner, F. S. (2020). Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns, Mathematics, 8, 810, 2-22.
  • Güleç, Ö. F., Çevik, E. ve Bahadır, N. (2018). Bitcoin ile Finansal Göstergeler Arasındaki İlişkinin İncelenmesi, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 7, Sayı: 2 (Özel Sayı: Finansal Raporlamada Güncel Yaklaşımlar), 18-37.
  • Güven, Ö. ve Bulut, Ş. (2021). Güncel Haliyle Bitcoin ve Piyasadaki Değeri Üzerine Bir İnceleme, Troyacademy, 6 (1), 80-89.
  • Jareno, F., Gonzalez, M. O., Tolentino, M. and Sierra, K. (2020). Bitcoin and gold price returns: A quantile regression and NARDL analysis, Resources Policy (67), 1-14.
  • Ji, Q., Bouri, E., Gupta, R. and Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach, The Quarterly Review of Economics and Finance, Vol 70, 203-213.
  • Junior, P. O., Adam, A. M., Tweneboah, G. and McMillan, D. (2020). Connectedness of cryptocurrencies and gold returns: Evidence from frequency-dependent quantile regressions, Cogent Economics & Finance, 8(1), 1-19.
  • Öztürk, S. S. (2020). Dynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returns, Journal Risk and Financial Management, 13, 275, 1-14.
  • Pesaran, M.H.; Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches To The Analysis of Level Relationships, Journal of Applied Econometrics, Vol 16, Issue 3, 289–326.
  • Shin, Y.; Yu, B. and Greenwood-Nimmo, M., (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, Sickles, R.C. and Horrace, W.C.(Ed.), Festschrift in Honor of Peter Schmidt, Econometric Methods and Applications, Springer, New York, NY, 281-314
  • Telek, C. ve Şit, A. (2020). Kripto paraların altın ve dövizle ilişkisi: Bitcoin örneği, Turkish Studies - Economy, 15(2), 913-924.
  • Thampanya, N., Nasir, M. A. and Huynh, T. L. (2020). Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution, Technological Forecasting and Social Change, Volume 159, 1-13.
  • Wang, J., Xue, Y. and Liu, M. (2016). An Analysis of Bitcoin Price Based on VEC Model, International Conference on Economics and Management Innovations (ICEMI 2016), 146-152.

Asymmetric Effects of Gold and Oil Prices on Bitcoin in the Covid -19 Process

Year 2021, Volume: 23 Issue: 3, 911 - 926, 31.12.2021
https://doi.org/10.26745/ahbvuibfd.939898

Abstract

The onset of COVID-19 has become the defining event of 2020 and has affected financial markets all over the world, including cryptocurrencies. In this process, the interest in investing in cryptocurrencies and other digital assets, which started to be seen as a safe haven like gold and other commodities, increased. For this purpose, in this study, the asymmetric effect of shocks in gold and oil prices on Bitcoin prices during the Covid-19 process was examined. Nonlinear Autoregressive Distributed Lag (NARDL) analysis method was used in the study. As the end of the analysis, it was concluded that negative shocks in gold prices in the long term affect Bitcoin prices positively, while negative shocks in oil prices affect Bitcoin prices negatively. It has been observed that positive shocks in gold and oil prices in the long term do not have a statistically significant effect on Bitcoin prices. In the short term, it has been determined that positive shocks in both gold and oil prices affect Bitcoin prices positively, while negative shocks have a negative impact on it. In conclusion, it is observed that Bitcoin can be ideal for financial diversification for global investors and take its place in the markets as a new virtual gold.

References

  • Aksoy, E., Teker, T., Mazak, M. ve Kocabıyık, T. (2020). Kripto Paralar ve Fiyat İlişkileri Üzerine Bir Analiz: Toda-Yamamoto Nedensellik Analizi İle Bir İnceleme, Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Sayı:37, 110-129.
  • Aksu, H. ve Başar, S. (2016). Türkiye Ekonomisinde Hasılanın İşsizlik Üzerindeki Dinamik Etkileri, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20 (1), 275-286.
  • Al-Naif, K. L. (2020). The Relationship Between Crypto Currencies and Official Arabian Currencies Exchange Rate, Academy of Accounting and Financial Studies Journal, Volume 24, Issue 2, 1-10.
  • Baur, D. G., Dimpfl, T. and Kuck, K. (2018). Bitcoin, gold and the US dollar – A replication and extension, Finance Research Letters, Cilt 25, 103-110.
  • Bouri, E., Gupta, R., Lahiani, A. and Shahbaz, M. (2018). Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices, Resources Policy, (57), 224–235.
  • Corelli, A. (2018). Cryptocurrencies and Exchange Rates: A Relationship and Causality Analysis, Risks, 6 (4), 1-11.
  • Çıtak, F., Uslu, H., Batmaz, O. ve Hoş, S. (2020). Do renewable energy and natural gas consumption mitigate CO2 emissions in the USA? New insights from NARDL approach, Environmental Science and Pollution Research, 1-12
  • Çütçü, İ. ve Kılıç, Y. (2018). Bitcoin Fiyatları İle Dolar Kuru Arasındaki İlişki: Yapısal Kırılmalı Zaman Serisi Analizi, Yönetim ve Ekonomi Araştırmaları Dergisi, Cilt: 16 Sayı: 4, 349-366.
  • Demir, E., Simonyan, S., Garcia-Gomez, C. D. and Lau, C. K. M. (2021). The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model, Finance Research Letters, (40), 1-6.
  • Deniz, E. A. ve Teker, D. (2019). Determinants of Bitcoin prices. PressAcademia Procedia (PAP), V.10, 17-21.
  • Dirican, C. ve Canoz, İ. (2017). The cointegration relationship between Bitcoin prices and major world stock indices: an analysis with ARDL model approach. Journal of Economics, Finance and Accounting (JEFA), V.4, Iss.4, 377-392.
  • Erdaş, M. L. ve Çağlar, A. E. (2018). Analysis of the relationships between Bitcoin and exchange rate, commodities and global indexes by asymmetric causality test, Eastern Journal of European Studies, Volume 9, Issue 2, 27-45.
  • Ghorbel, A. ve Jeribi, A. (2021). Investigating the relationship between volatilities of cryptocurrencies and other financial assets, Decisions in Economics and Finance, https://doi.org/10.1007/s10203-020-00312-9
  • Gonzalez, M. O., Jareno, F. and Skinner, F. S. (2020). Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns, Mathematics, 8, 810, 2-22.
  • Güleç, Ö. F., Çevik, E. ve Bahadır, N. (2018). Bitcoin ile Finansal Göstergeler Arasındaki İlişkinin İncelenmesi, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 7, Sayı: 2 (Özel Sayı: Finansal Raporlamada Güncel Yaklaşımlar), 18-37.
  • Güven, Ö. ve Bulut, Ş. (2021). Güncel Haliyle Bitcoin ve Piyasadaki Değeri Üzerine Bir İnceleme, Troyacademy, 6 (1), 80-89.
  • Jareno, F., Gonzalez, M. O., Tolentino, M. and Sierra, K. (2020). Bitcoin and gold price returns: A quantile regression and NARDL analysis, Resources Policy (67), 1-14.
  • Ji, Q., Bouri, E., Gupta, R. and Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach, The Quarterly Review of Economics and Finance, Vol 70, 203-213.
  • Junior, P. O., Adam, A. M., Tweneboah, G. and McMillan, D. (2020). Connectedness of cryptocurrencies and gold returns: Evidence from frequency-dependent quantile regressions, Cogent Economics & Finance, 8(1), 1-19.
  • Öztürk, S. S. (2020). Dynamic Connectedness between Bitcoin, Gold, and Crude Oil Volatilities and Returns, Journal Risk and Financial Management, 13, 275, 1-14.
  • Pesaran, M.H.; Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches To The Analysis of Level Relationships, Journal of Applied Econometrics, Vol 16, Issue 3, 289–326.
  • Shin, Y.; Yu, B. and Greenwood-Nimmo, M., (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, Sickles, R.C. and Horrace, W.C.(Ed.), Festschrift in Honor of Peter Schmidt, Econometric Methods and Applications, Springer, New York, NY, 281-314
  • Telek, C. ve Şit, A. (2020). Kripto paraların altın ve dövizle ilişkisi: Bitcoin örneği, Turkish Studies - Economy, 15(2), 913-924.
  • Thampanya, N., Nasir, M. A. and Huynh, T. L. (2020). Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution, Technological Forecasting and Social Change, Volume 159, 1-13.
  • Wang, J., Xue, Y. and Liu, M. (2016). An Analysis of Bitcoin Price Based on VEC Model, International Conference on Economics and Management Innovations (ICEMI 2016), 146-152.
There are 25 citations in total.

Details

Primary Language Turkish
Journal Section Main Section
Authors

Filiz Yıldız Contuk 0000-0003-3757-2697

Publication Date December 31, 2021
Published in Issue Year 2021 Volume: 23 Issue: 3

Cite

APA Yıldız Contuk, F. (2021). Covid -19 Sürecinde Altın ve Petrol Fiyatlarının Bitcoin Üzerindeki Asimetrik Etkisi. Ankara Hacı Bayram Veli Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 23(3), 911-926. https://doi.org/10.26745/ahbvuibfd.939898