Bubbles in Bitcoin Markets: Gezeralized Sup ADF Test

Year 2019, , 187 - 192, 13.12.2019

Mehmet Songur

https://doi.org/10.18506/anemon.506466

Cited By: 5

Abstract

Along
with the rapid developments in the use of internet, the money that is
physically involved in human life has also started to be digitalized. Such digitized
currencies are generally called crypto currencies. Currently, Bitcoin has the
highest transaction volume among the crypto currencies. The first bitcoin was
released in 2009. However, in the last few years it has started to attract
considerable attention. One of the main reasons for this interest is the
significant increase in the value of Bitcoin. In the context of these
increases, it is important to investigate the existence of speculative bubbles
in the Bitcoin market. In this context, the aim of this study is to investigate
the presence of speculative bubbles in the Bitcoin market during the period
2015-2018. In line with the purpose, Generalized Sup ADF test developed by
Phillips et al. (2015) is used to detect speculative bubbles. The results show
that there are many bubbles in the bitcoin market.

Keywords

Bitcoin, Speculative Bubbles, GSADF Test

Bitcoin Piyasasında Balonlar: Genelleştirilmiş Eküs ADF Testi

Abstract

İnternet
kullanımındaki hızlı gelişmeler ile birlikte, insan hayatına fiziksel olarak
dahil olan para da dijitalleşmeye başlamıştır. Bu tür dijitalleşmiş para
birimlerine genel olarak kripto para denilmektedir. Hali hazırda, Bitcoin,
kripto para birimleri arasında en yüksek işlem hacmine sahiptir. İlk Bitcoin
2009 yılında piyasaya sürüldü. Fakat son birkaç yılda ciddi derecede ilgi
çekmeye başladı. Bu ilginin temel nedenlerinden birisi, Bitcoin'in değerinde
önemli artışların olmasıdır. Söz konusu değer artışları bağlamında, Bitcoin
piyasasında spekülatif balonların varlığının araştırılması önem arz etmektedir.
Bu bağlamda, çalışmanın amacı 2015-2018 dönemi boyunca Bitcoin piyasasında
spekülatif balonların varlığını araştırmaktır. Amaç doğrultusunda, spekülatif
balonların tespiti için Phillips vd. (2015) tarafından geliştirilen
Genelleştirilmiş Eküs ADF testi kullanılmıştır. Elde edilen bulgular, Bitcoin
piyasasında çok sayıda baloncuk olduğunu göstermektedir. 

Keywords

Bitcoin, Spekülatif Balonlar, GSADF Testi

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