Kripto Para Piyasasının Borsa İstanbul Endeksleri Üzerindeki Etkileri

Abstract

Kripto para piyasalarında yaşanan gelişmelerin dünya borsaları üzerinde ciddi etki gösterdiği birçok çalışmada vurgulanmıştır. Bu etkiler sebebiyle dünya borsalarındaki dalgalanmalar artmış, yatırımcıların bu piyasaları daha yakından takip etmesi ve stratejilerini bu gelişmelere göre belirlemeleri zorunluluğu doğmuştur. Bu çalışmada kripto para piyasasında yaşanan gelişmelerin Borsa İstanbul (BİST) endeksleri üzerinde etkili olup olmadığı incelenmiştir. Bu amaçla en popüler üç kripto para birimi olan Bitcoin, Ethereum ve Ripple verileri kullanılmış, bunların BIST100, BIST30 ve bankacılık (XBANK) endeksleri üzerindeki yayılım etkileri araştırılmıştır. Petrol fiyatları (WTI) ve korku endeksi (VIX) değişkenleri de çalışmada kontrol değişkenleri olarak kullanılmıştır. 01/01/2014-31/12/2021 dönemine ilişkin gerçekleştirilen analizlerden elde edilen bulgular kripto para piyasalarından çalışmada incelediğimiz endekslere doğru pozitif bir yayılım etkisi olduğunu göstermiştir. Kontrol değişkenlerinden petrol fiyatlarının volatilite üzerinde tüm modellerde anlamlı etkisi olduğu tespit edilirken korku endeksinin etkisi konusunda farklı sonuçlar elde edilmiştir. Elde edilen bulgular borsa yatırımcılarının yatırım kararlarında çeşitli ekonomik değişkenleri takip etmeleri gerektiğinin yanı sıra kripto para piyasasındaki gelişmeleri de yakından izlemelerinin zorunlu olduğunu göstermiştir. 

Keywords

• Yayılım Etkisi
• Kripto Paralar
• Volatilite Yayılımı
• BEKK-GARCH
• DCC-GARCH

The Effects of Cryptocurrency Market on Borsa Istanbul Indices

Abstract

It has been emphasized in many studies that the developments in the crypto money markets have a serious impact on the world stock markets. Due to these effects, the fluctuations in the world stock markets have increased, and it has become necessary for investors to follow these markets more closely and determine their strategies according to these developments. In this study, it was examined whether the developments in the crypto money market have an effect on Borsa Istanbul (BIST) indices. For this purpose, data of the three most popular cryptocurrencies Bitcoin, Ethereum and Ripple were used, and their spillover effects on BIST100, BIST30 and banking (XBANK) indices were investigated. Oil prices (WTI) and fear index (VIX) variables were also used as control variables in the study. The findings obtained from the analyses in our study carried out for the period 01/01/2014-31/12/2021 showed that there is a positive spillover effect from the crypto money markets to the indices we examined. While oil prices were found to be statistically significant in all models among the control variables, different results were obtained on the effect of the fear index. The findings show that it is imperative for stock market investors to closely monitor the developments in the crypto money market in addition to track various economic variables, in their investment decisions.

Keywords

• Spillover Effect
• Cryptocurrencies
• Volatility Spread
• BEKK-GARCH
• DCC-GARCH

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