Bitcoin's Effect on Selected Crypto Assets: Quantitative Evidence

Year 2024, , 735 - 750, 30.09.2024

Ersin Sünbül

https://doi.org/10.29023/alanyaakademik.1422810

Abstract

Çalışmanın temel amacı, Bitcoin'in belirli kripto varlıklar üzerindeki etkilerini sistemli bir biçimde araştırmaktır. Bu bağlamda, finansal piyasalarda değeri en yüksek olan Ethereum, Tether, USD Coin, BNB, XRP ve Cardano gibi yedi kripto varlığın 2020W01 ile 2022W33 arasındaki 135 gözlemleri çalışma örneklemine dahil edilmiştir. Bu kripto varlıklar, Bitcoin ile birlikte toplam kripto varlık portföyünün neredeyse %95'ini oluşturmaktadır. Bu durum, çalışmanın geniş bir evreni temsil etmesinden kaynaklanan önemini artırmakta ve akademik literatüre katkı sağlamaktadır. Bitcoin'in seçilen kripto varlıklar üzerindeki etkilerini incelemek için, Çok Değişkenli Dinamik VAR Modeli kullanılmıştır. Model, değişkenler arasında nedensellik olduğunu kabul eder. Bu varsayımı sağlamayan değişkenler çalışma örneğinden çıkarılmıştır. Çalışmanın sonuçları, Bitcoin'in tüm kripto para birimleri üzerinde anlamlı ve tek yönlü etkiler gösterdiğini ortaya koymaktadır. Ancak, diğer kripto varlıkların Bitcoin'e etkisi, göz ardı edilebilecek kadar küçük olmuştur. Bu bağlamda, iki yönlü değerlendirmelerden elde edilen yatırım kararlarının riskli ve yanıltıcı olabileceği vurgulanmaktadır. Kripto varlıklara yönelik yatırım risklerini daha kabuledilebilir boyutlara indirebilmek maksadıyla, kapsamlı analiz yöntemlerinin kullanılması önerilmektedir.

Keywords

Bitcoin, Kripto Varlıklar, Nedensellik, Çok Değişkenli Dinamik VAR Modeli, Etki Tepkisi ve Varyans Ayrıştırma Fonksiyonları, Korelasyon ve Kovaryans Matris

Ethical Statement

Çalışmada etik kurul onayına ihtiyaç duyulan herhangi bir veri ve çalışma olmadığını taahhüt ederim. Dolayısıyla etik kurul onayı alınmamıştır.

Supporting Institution

yok

Thanks

Editör ve hakemlere destek ve emekleri için teşekürler

Bitcoin's Effect on Selected Crypto Assets: Quantitative Evidence

Abstract

The main objective of the study is to systematically investigate the effects of Bitcoin on specific crypto assets. In this context, a sample of 135 observations between 2020W01 and 2022W33 for seven crypto assets with the highest value in the financial markets, including Ethereum, Tether, USD Coin, BNB, XRP, and Cardano, has been included in the study sample. These crypto assets, along with Bitcoin, constitute almost 95% of the total crypto asset portfolio. This situation increases the importance of representing a broad universe in the study and contributes to the academic literature. To examine the effects of Bitcoin on the selected crypto assets, a Multivariate Dynamic VAR Model has been used. The model assumes causality among variables. Variables that do not meet this assumption have been excluded from the study sample. The results of the study demonstrate that Bitcoin exhibits significant and one-way effects on all cryptocurrencies. However, the impact of other crypto assets on Bitcoin has been negligible. In this context, it is emphasized that investment decisions obtained from two-way evaluations may be risky and misleading. In order to reduce investment risks for crypto assets to more acceptable levels, the use of comprehensive analysis methods is recommended.

Keywords

Bitcoin, Crypto-assets, Causality, Multivariate Dynamic VAR Model, Impulse-Response and Variance Decomposition Functions, Correlation and Covariance Matrix

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