KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ

Önder Büberkökü

doi:10.29106/fesa.996151

KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ

Abstract

Bu çalışmada Binance coin (BCH), Bitcoin cash (BNB), Stellar (XLM) ve Cardano’dan (ADA) oluşan kripto para birimlerini içeren yatırımların yol açabileceği risklerin nasıl ölçülebileceği ve yönetilebileceğine ilişkin analizler üzerinde durulmuştur. Bu amaçla öncelikle van der Weide (2002) tarafından geliştirilen dört değişkenli GO-GARCH-NLS (Generalized orthogonal- general autoregressive conditional heteroskedasticity- non-linear least squares) modeli kullanılarak ilgili kripto para birimleri için zamanla değişen şartlı varyans, kovaryans ve korelasyon değerleri elde edilmiş, ardından Kroner ve Sultan (1993) ile Kroner ve Ng (1998) tarafından geliştirilen yaklaşımlar dikkate alınarak optimal portföy ağırlıkları ile optimal hedge rasyoları belirlenmiştir. Çalışmada ayrıca hem tekil kripto para birimleri hem de bu kripto para birimlerine dayalı olarak oluşturulan optimal portföyler için kısa ve uzun pozisyonlar dikkate alınarak yeniden örnekleme yöntemine (boostrapped) dayalı tarihi simülasyon yöntemi ile piyasa riski ölçüm analizlerine yer verilmiştir. Tüm bu analizler sonucunda bu kripto para birimlerine dayalı olarak beklenen getiri oranlarında bir değişikliğe yol açmadan riski minimize eden optimal portföy ağırlıklarının nasıl belirlenebileceği, bu optimal portföylerin taşıdığı piyasa riskinin ve sağladığı çeşitlendirme etkisin ne olduğu ve her bir kripto para biriminde taşınabilecek uzun (kısa) pozisyonların yol açabileceği risklerin diğer para birimlerinde taşınabilecek kısa (uzun) pozisyonlar ile nasıl hedge edilebileceği gibi konulara dönük olarak önemli bulgulara ulaşılmıştır.

Keywords

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Details

Primary Language

Turkish

Subjects

Finance

Journal Section

Research Article

Authors

Önder Büberkökü ^*
0000-0002-7140-557X
Türkiye

Publication Date

December 31, 2021

Submission Date

September 15, 2021

Acceptance Date

December 9, 2021

Published in Issue

Year 2021 Volume: 6 Number: 4

DOI

https://doi.org/10.29106/fesa.996151

IZ

https://izlik.org/JA68CM74GB

Cite

RIS / Bibtex

APA

Büberkökü, Ö. (2021). KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 6(4), 735-755. https://doi.org/10.29106/fesa.996151

AMA

1.Büberkökü Ö. KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2021;6(4):735-755. doi:10.29106/fesa.996151

Chicago

Büberkökü, Önder. 2021. “KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ”. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi 6 (4): 735-55. https://doi.org/10.29106/fesa.996151.

EndNote

Büberkökü Ö (December 1, 2021) KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6 4 735–755.

IEEE

[1]Ö. Büberkökü, “KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ”, Finans Ekonomi ve Sosyal Araştırmalar Dergisi, vol. 6, no. 4, pp. 735–755, Dec. 2021, doi: 10.29106/fesa.996151.

ISNAD

Büberkökü, Önder. “KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 6/4 (December 1, 2021): 735-755. https://doi.org/10.29106/fesa.996151.

JAMA

1.Büberkökü Ö. KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2021;6:735–755.

MLA

Büberkökü, Önder. “KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ”. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, vol. 6, no. 4, Dec. 2021, pp. 735-5, doi:10.29106/fesa.996151.

Vancouver

1.Önder Büberkökü. KRİPTO PARA PİYASALARINDA FİNANSAL RİSK YÖNETİMİ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2021 Dec. 1;6(4):735-5. doi:10.29106/fesa.996151

Cited By

Kripto Varlık Dolandırıcılığı

Anadolu Üniversitesi Hukuk Fakültesi Dergisi

https://doi.org/10.54699/andhd.1245157