Abstract
Kripto paralar içinde en bilinen olan Bitcoin, son yıllarda değerinin hızlı artması ile yatırımcıların dikkatini çekmiştir. Bitcoin, bir ödeme aracı olmanın yanında fiyat değişimlerinin yüksek olmasına bağlı olarak yatırım aracı olarak da kullanılmaktadır. Bu nedenle, piyasalarda yatırım aracı olarak değerlendirilen Bitcoin’in borsa endeksi ile ilişkisinin değerlendirilmesi önemlidir. Bu çalışmanın amacı, Bitcoin ile Borsa İstanbul (BIST) endeksinin 2015.01-2022.12 aylık verileri için uzun ve kısa dönem ilişkisinin belirlenmesidir. Bayer-Hanck (2013) eşbütünleşme analizi sonucunda uzun dönemli ilişkinin olduğu belirlenmiştir. Uzun dönem eşbütünleşme katsayısına göre, Bitcoin ve BIST endeksi %24.6 pozitif yönde ilişkilidir. Hata düzeltme modeli sonucunda kısa dönemde ilişki belirlenmiştir. Modelde hata düzeltme teriminin katsayısı negatif ve istatistiksel olarak anlamlı olduğundan modelin hata düzeltme mekanizması çalışmaktadır. Uzun dönemde beraber seyreden seriler arasında kısa dönemde meydana gelen sapmaların %41.9’u ortadan kalkmakta ve seriler tekrar uzun dönem denge değerine yakınsamaktadır. Kısa dönemde BTC’nin BIST üzerindeki etki değeri uzun döneme göre daha yüksek değer çıkmıştır. Böylece, BTC’nin BIST endeksi üzerindeki etkisi kısa dönemde daha etkili biçimdedir.
References
- Arı, A. (2016). Türkiye’deki Ekonomik Büyüme ve İşsizlik İlişkisinin Analizi: Yeni Bir Eşbütünleşme Testi. Siyaset, Ekonomi Ve Yönetim Araştırmaları Dergisi, 4(4), 57-67.
- Baek, C. & Elbeck, M. (2015). Bitcoins as an Investment or Speculative Vehicle? A First Look. Appl. Econ. Lett., 22(1), 30-34.
- Banerjee, A., Dolado, J. J. & Mestre, R. (1998). Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework. Journal of Time Series Analysis, 19(3), 267-283.
- Baur, D. G., Dimpfl, T. & Kuck, K. (2018). Bitcoin, Gold and the US Dollar – A Replication and Extension. Finance Research Letters, 25, 103-110.
- Bayer, C. & Hanck, C. (2013). Combining Non-Cointegration Tests. Journal of Time Series Analysis, 34(1), 83-95.
- Bhattacharjee, S. (2016). A Statistical Analysis of Bitcoin Transactions During 2012 to 2013 in Terms of Premier Currencies: Dollar, Euro and Rubles, Vidwat. The Indian Journal of Management, 1(1), 1- 5.
- Boswıjk, H. P. (1994). Testing for an Unstable Root in Conditional and Structural Error Correction Models. Journal of Econometrics, 63(1), 37-60.
- Bouri, E., Das, M., Gupta, R. & Roubaud, D. (2018). Spillovers between Bitcoin and Other Assets During Bear and Bull Markets. Appl. Econ., 50(55), 5935-5949.
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The Relationship between Crypto Money Bitcoin and the Exchange Market: Bayer-Hanck Cointegration Analysis
Abstract
Bitcoin, the most well-known among cryptocurrencies, has attracted the attention of investors with its rapid increase in value in recent years. In addition to being a payment tool, Bitcoin is also used as an investment tool due to the high price changes. For this reason, it is important to evaluate the relationship of Bitcoin, which is considered as an investment tool in the markets, with the stock market index. The aim of this study is to determine the long and short term relationship between Bitcoin and Borsa Istanbul (BIST) index for the months 2015.01-2022.12. As a result of Bayer-Hank cointegration analysis, it was determined that there is a long-term relationship. According to the long-term cointegration coefficient, Bitcoin (BTC) and BIST index are positively correlated by 24.6%. As a result of the error correction model, the relationship was determined in the short term. Since the coefficient of the error correction term in the model is negative and statistically significant, the error correction mechanism of the model works. 41.9% of the short-term deviations among the series that move together in the long-term disappear and the series converge to the long-term equilibrium value again. In the short term, the impact value of BTC on BIST has been higher than the long term. Thus, the impact of BTC on the BIST index is more effective in the short run.
References
- Arı, A. (2016). Türkiye’deki Ekonomik Büyüme ve İşsizlik İlişkisinin Analizi: Yeni Bir Eşbütünleşme Testi. Siyaset, Ekonomi Ve Yönetim Araştırmaları Dergisi, 4(4), 57-67.
- Baek, C. & Elbeck, M. (2015). Bitcoins as an Investment or Speculative Vehicle? A First Look. Appl. Econ. Lett., 22(1), 30-34.
- Banerjee, A., Dolado, J. J. & Mestre, R. (1998). Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework. Journal of Time Series Analysis, 19(3), 267-283.
- Baur, D. G., Dimpfl, T. & Kuck, K. (2018). Bitcoin, Gold and the US Dollar – A Replication and Extension. Finance Research Letters, 25, 103-110.
- Bayer, C. & Hanck, C. (2013). Combining Non-Cointegration Tests. Journal of Time Series Analysis, 34(1), 83-95.
- Bhattacharjee, S. (2016). A Statistical Analysis of Bitcoin Transactions During 2012 to 2013 in Terms of Premier Currencies: Dollar, Euro and Rubles, Vidwat. The Indian Journal of Management, 1(1), 1- 5.
- Boswıjk, H. P. (1994). Testing for an Unstable Root in Conditional and Structural Error Correction Models. Journal of Econometrics, 63(1), 37-60.
- Bouri, E., Das, M., Gupta, R. & Roubaud, D. (2018). Spillovers between Bitcoin and Other Assets During Bear and Bull Markets. Appl. Econ., 50(55), 5935-5949.
- Carrick, J. (2016). Bitcoin as a Complement to Emerging Market Currencies”. Emerg. Market. Finance Trade, 52(10), 2321-2334.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Cryptography |
| Journal Section | Research Article |
| Authors | |
| Publication Date | December 30, 2022 |
| Published in Issue | Year 2022 Volume: 3 Issue: 2 |
