Determining Systematic Risks in the Virtual World: An Investigation On Cryptocurrency Markets

Öz

In the study, the systematic risk (β coefficient) of the 10 cryptocurrencies with the highest market value, which constitutes approximately 80% of the market value of 10,343 crypto coins in the crypto money market, were determined by regression analysis and the findings were evaluated. The study found that the risk of each cryptocurrency was lower than the average beta of the market. As an asset, crypto coins have become indispensable elements of today's economic and financial world and it is evaluated that this situation will continue to increase in the future. However, cryptocurrencies and the virtual world remain a significant threat to the economic and political independence and sovereignty of countries

Anahtar Kelimeler

• Crypotocurrency
• Systematic Risk
• Beta Coefficient
• Regression Model

Sanal Dünyadaki Sistematik Risklerin Belirlenmesi: Kripto Para Piyasaları Üzerine Bir Araştırma

Öz

Çalışmada kripto para piyasasında 10.343 kripto paranın piyasa değerinin yaklaşık %80'ini oluşturan piyasa değeri en yüksek 10 kripto paranın sistematik riski regresyon analizi ile belirlenerek bulgular değerlendirildi. Çalışma, her kripto para biriminin riskinin piyasanın ortalama betasından daha düşük olduğunu buldu. Kripto para birimleri, bir varlık olarak günümüz ekonomik ve finans dünyasının vazgeçilmez unsurları haline gelmiş olup, gelecekte de artmaya devam edeceği değerlendirilse de ülkelerin ekonomik, siyasi bağımsızlığına ciddi tehdit olmaya devam edebilecektir.

Anahtar Kelimeler

• Kriptopara
• Sistematik Risk
• Beta Katsayısı
• Regresyon Modeli

Kaynakça

1. Referans1 Akhtaruzzaman, M., Boubaker, S., Nguyen, D. K., & Rahman, M. R. (2022). Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis. Finance Research Letters, 47, 102787.
2. Referans2 Belk, R., Humayun, M., & Brouard, M. (2022). Money, possessions, and ownership in the Metaverse: NFTs, cryptocurrencies, Web3 and Wild Markets. Journal of Business Research, 153, 198-205.
3. Referans3 Borri, N., Massacci, D., Rubin, M., & Ruzzi, D. (2022). Crypto Risk Rewards, 1-61, http://dx.doi.org/10.2139/ssrn.4154627
4. Referans4 Brigham, E. & Ehrhardt, M. (2014). Financial Management: Theory and Practice, Fourteenth Edition, South-Western, Cengage Learning
5. Referans5 Canh, N. P., Binh, N. Q., & Thanh, S. D. (2019). Cryptocurrencies and investment diversification: empirical evidence from seven largest cryptocurrencies. Theoretical Economics Letters, 9(03), 431-452.
6. Referans6 Fang, S., Cao, G. & Egan, P. (2023). Forecasting and backtesting systemic risk in the cryptocurrency market, Finance Research Letters, 54, 103788, https://doi.org/10.1016/j.frl.2023.103788
7. Referans7 Fantazzini, D., & Calabrese, R. (2021). Crypto exchanges and credit risk: Modeling and forecasting the probability of closure. Journal of Risk and Financial Management, 14(11), 516.
8. Referans8 Far, S. B., Bamakan, S. M. H., Qu, Q., & Jiang, Q. (2022). A Review of Non-fungible Tokens Applications in the Real-world and Metaverse. Procedia Computer Science, 214, 755-762.

9. Referan9 Huynh-The, T., Gadekallu, T. R., Wang, W., Yenduri, G., Ranaweera, P., Pham, Q. V., & Liyanage, M. (2023). Blockchain for the metaverse: A Review. Future Generation Computer Systems, 143, 401-419.
10. Referan10 Jalan, A. & Matkovskyy,R. (2023). Systemic risks in the cryptocurrency market: Evidence from the FTX collapse, Finance Research Letters, 53, 103670, https://dx.doi.org/10.2139/ssrn.4364121
11. Referans11 Li, Z., Wang, Y., & Huang, Z. (2020). Risk connectedness heterogeneity in the cryptocurrency markets. Frontiers in Physics, 8, 243.
12. Referans12 Liu, Y. & Tsyvinski, A. (2020a). Risks and Returns of Cryptocurrency, The Review of Financial Studies, 34(6), 2689–2727, https://doi.org/10.1093/rfs/hhaa113
13. Referans13 Liu, W., Liang, X., & Cui, G. (2020b). Common risk factors in the returns on cryptocurrencies. Economic Modelling, 86, 299-305.
14. Referans14 Liu, Y., Tsyvinski, A & Wu, X. (2022). Common Risk Factors in Cryptocurrency, The Journal of Finance, 77(2),1133-1177, https://doi.org/10.1111/jofi.13119
15. Referans15 Makridis, C. A., Fröwis, M., Sridhar, K., & Böhme, R. (2023). The rise of decentralized cryptocurrency exchanges: Evaluating the role of airdrops and governance tokens. Journal of Corporate Finance, 79, 102358.
16. Referans16 Osivand, S. (2021). Investigation of Metaverse in cryptocurrency. GSC Advanced Research and Reviews, 9(3), 125-128.
17. Referans17 Rahman, M., Naeem, M., Karim, S. & Yarovaya, L. (2023). Commonality in Systemic Risk Across Cryptocurrencies, 1-8, http://dx.doi.org/10.2139/ssrn.4366570
18. Referans18 Schär, F. (2021). Decentralized finance: On blockchain-and smart contract-based financial markets. FRB of St. Louis Review.
19. Referans19 Shiyun, L. & Yiping, H. (2020). Do Cryptocurrencies Increase the Systemic Risk of the Global Financial Market?, China & World Economy 28(1), 122-143, DOI:10.1111/cwe.12314
20. Referans20Smales, L.A. (2020). One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns, Economic Papers: A journal of applied economics and policy, 39(2), DOI:10.1111/1759-3441.12282
21. Referans21 Tang, S. L. (2022). Cryptocurrency, NFTs and the" Metaverse": Addressing the Expanding World of Virtual Assets in Divorce Proceedings. Penn St. L. Rev., 127, 1.
22. Referans22Tetiana, Z., Volodymyr, S., Oleksandr, D., Vasyl, B., & Tetiana, D. (2022). Investment Models On Centralized and Decentralized Cryptocurrency Markets. Scientific Bulletin Of National Mining University, (1).
23. Referans23Today's Cryptocurrency Prices by Market Cap, https://coinmarketcap.com/, e.t. 02.06.2023.
24. Referans24Wongchoti, U., Thanh,D. & Thong N. (2019). Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model, Finance Research Letters, 29(C), 90-100, DOI: 10.1016/j.frl.2019.03.011
25. Referans25Vidal-Tomás, D. (2022). The new crypto niche: NFTs, play-to-earn, and metaverse tokens. Finance research letters, 47, 102742.
26. Referan26Yang, M. Y., Wang, C., Wu, Z. G., Wu, X., & Zheng, C. (2023). Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network. Finance Research Letters, 57, 104225.