Bitcoin Kapanış Fiyatları ile İşlem Hacmi Arasındaki Nedensellik: Zamanla Değişen Asimetrik Etkiler

Öz

İnternetin yaygınlaşmasıyla birlikte finansal piyasalarda da önemli gelişmeler yaşanmıştır. Kripto parada internetin finansal piyasalara kazandırmış olduğu faktörlerden biridir. Kripto paraların çeşitleri bulunmaktadır. En eski ve işlem hacmi en büyük olanı ise Bitcoin’dir. Bu çalışma, 17 Eylül 2014 ile 30 Haziran 2024 tarihleri arasında Bitcoin’in kapanış fiyatları-işlem hacmi arasındaki nedensellik ilişkisini kapsamlı bir şekilde incelemeyi amaçlamaktadır. Bu kapsamda, Hacker-Hatemi (2006) simetrik nedensellik testi, Hatemi-J (2012) Asimetrik Nedensellik Testi ve Zamanla Değişen Asimetrik Nedensellik Analizi yöntemleri kullanılmıştır. Hacker-Hatemi (2006) Simetrik Nedensellik Testi sonucunda, değişkenler arasında nedensellik ilişkisi elde edilememiştir. Ancak Hatemi-J (2012) Asimetrik Nedensellik Testi sonucunda, kapanış fiyatlarının pozitif şokları ile işlem hacminin pozitif şokları arasında çift yönlü nedensellik ilişkisi, işlem hacminin negatif şoklarından fiyatların negatif şoklarına doğru tek yönlü nedensellik olduğu görülmüştür.

Anahtar Kelimeler

• Bitcoin İşlem Hacmi
• Bitcoin Kapanış Fiyatı
• Simetrik Nedensellik Testi
• Asimetrik Nedensellik Testi
• Zamanla Değişen Asimetrik Nedensellik Analizi

Causality between Bitcoin Closing Prices and Trading Volume: Time-Varying Asymmetric Effects

Öz

Financial markets have evolved as the Internet has become widespread. Cryptocurrency is one of the factors that the internet has brought to the financial markets. Different cryptocurrencies exist. The oldest and the one with the largest trading volume is bitcoin. It aims to fully investigate a cause-and-effect relationship between Bitcoin's closing price and trading volume between 17/09/2014 and 30/06/2024. In this context, Hacker-Hatemi (2006) symmetric causality test, Hatemi-J (2012) Asymmetric Causality Test and Time-Varying Asymmetric Causality Analysis methods were used. The Hacker-Hatemi (2006) symmetric causality test, Hatemi-J (2012) Asymmetric Causality Test and Time-Varying Asymmetric Causality Analysis methods were used in the study. As a result of the Hacker-Hatemi (2006) Symmetric Causality Test, no causal relationship was found between the variables. However, Hatemi-J (2012) Asymmetric Causality Test revealed that there is a bidirectional causality relationship between positive shocks of closing prices and positive shocks of trading volume and unidirectional causality from negative shocks of trading volume to negative shocks of prices.

Anahtar Kelimeler

• Bitcoin Trading Volume
• Bitcoin Closing Price
• Symmetric Causality Test
• Asymmetric Causality Test
• Time-Varying Asymmetric Causality Analysis

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