Forbes Tarafından Seçilen Blockchain Borsa Yatırım Fonları (BYF) İle Bitcoin ve Ethereum Getirilerinin Vektör Otoregresyon Analizi İle İncelenmesi

Year 2024, , 575 - 595, 25.12.2024

Ozan Kaymak

https://doi.org/10.37093/ijsi.1510272

Abstract

2008 yılında Bitcoin’in ortaya çıkmasından sonra kripto paralar kısa zamanda önemli bir varlık sınıfı haline gelmiştir. Kripto paralar; uzlaşma prensibine dayalı, birimler arası doğrudan işlem yapma imkânı sunan, işlemlere ait kayıtlara tüm birimlerin erişebildiği, merkeziyetsiz bir yapı olan blockchain teknolojisi ile işletilirler. Bu çalışmanın amacı, Forbes tarafından 2024 yılı için, blockchain endüstrisinde faaliyet gösteren firmalara ait sermaye varlıkları yatırımlarında uzmanlaşan en iyi borsa yatırım fonlarının 2021 Ekim ile 2024 Haziran dönemindeki haftalık getirileri ile aynı dönemdeki Bitcoin ve Ethereum haftalık getirilerinin zaman serileri Vektör Oto Regresyon Analizi ile incelenmesidir. Çalışmada Varyans Ayrıştırması ve Etki-Tepki Testleri yapılarak serilerin birbirlerine karşı etki düzeyleri incelenmiştir. Ayrıca seriler arasındaki nedensellik ilişkileri Granger Nedensellik Testi yöntemiyle araştırılmıştır. Çalışmanın sonucunda; seçili blockchain yatırım fonlarından First Trust SkyBridge Crypto Industry and Digital Economy (CRPT) haftalık getirilerinin, Bitcoin ve Ethereum haftalık getirileri ile %5 anlamlılık seviyesinde tek yönlü, sadece Bitcoin haftalık getirileri ile %10 anlamlılık düzeyinde çift yönlü Granger Nedensellik ilişkisine sahip olduğu belirlenmiştir.

Keywords

Blockchain Borsa Yatırım Fonları, Bitcoin, Ethereum, VAR Analizi

Vector Autoregression Analysis of Bitcoin and Ethereum Returns With Blockchain Exchange Traded Funds (ETF) Selected by Forbes

Abstract

After Bitcoin emerged in 2008, cryptocurrencies quickly became critical financial assets. Cryptocurrencies operate with blockchain technology, a decentralized structure based on the principle of consensus that allows direct transactions between units and all units to access the ledger. This study aims to analyze the relationships between the weekly returns of the best exchange-traded funds specializing in capital assets investments of companies operating in the blockchain industry, which Forbes selected in April 2024, and Bitcoin and Ethereum weekly returns in the period between October 2021 and June 2024, using the Vector Autoregression (VAR) method. The effect levels of the series against each other were examined by performing variance decomposition and impulse-response tests. We also investigated the causality relationships between the series using the Granger Causality Test. As a result of the study, it has been determined that the weekly returns of the First Trust SkyBridge Crypto Industry and Digital Economy ETF (CRPT) have a one-way Granger causality relationship with the weekly returns of Bitcoin and Ethereum at a 5% significance level. In addition, CRPT has a bidirectional Granger causality relationship with only Bitcoin weekly returns at a 10% significance level.

Keywords

Blockchain Exchange Traded Funds, Bitcoin, Ethereum, VAR Analysis

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