Dijital Emtia Olarak Bitcoin’e Yatırım Portföyünde Yer Verilmeli mi?: Bitcoin’in Altın, Gümüş ve Petrol Fiyatları ile İlişkisi Üzerine Bir İnceleme

Abstract

Bu çalışmada, çoklu yapısal kırılmalar altında, Bitcoin ile ticari emtialar olarak nitelenen altın, gümüş ve ham petrol fiyatları arasındaki uzun dönemli ilişkiler incelenmiştir. Böylece dijital bir emtia olarak Bitcoin’in alternatif bir yatırım aracı olup olamayacağı araştırılmıştır. Ampirik analizin ilk aşamasında, serilerin durağanlık düzeyleri geleneksel birim kök testleri ve Carrion-i-Silvestre vd.’nin (2009) m yapısal kırılmalı birim kök testi ile sınanmıştır. İkinci aşamada Maki (2012) eşbütünleşme testi uygulanmıştır. Analiz sonuçlarına göre, Bitcoin ve analize konu edilen ticari emtia fiyatları arasında yapısal kırılma altında eşbütünleşme ilişkisinin olduğu tespit edilmiştir. Üçüncü aşamada uzun dönem katsayılarının tahminleri için Dinamik En Küçük Kareler Yöntem (DOLS) tahmincisi kullanılmıştır. Elde edilen sonuçlara göre altın fiyatlarının Bitcoin fiyatlarını pozitif yönde etkilediği, gümüş ve ham petrolün ise Bitcoin fiyatlarını uzun dönemde negatif yönde etkilediği saptanmıştır. Son aşamada yapılan nedensellik analizi sonuçlarına göre altından Bitcoin’e doğru tek yönlü bir nedensellik ilişkisi tespit edilmiştir. Bitcoin ile petrol ve gümüş fiyatları arasında bir nedensellik ilişkisine rastlanmamıştır.

Keywords

• Bitcoin
• Dijital Emtia
• Finansal Riskten Korunma
• Yapısal Kırılma
• Eşbütünleşme

Should Bitcoin Be Included in The Investment Portfolio as A Digital Commodity?: A Study on The Relationship of Bitcoin with The Prices of Gold, Silver and Oil

Abstract

In this study, the long-run relationship between Bitcoin and commercial commodities as gold, silver, and crude oil prices is examined under multiple structural breaks. The study investigates whether Bitcoin as a digital commodity can be an alternative investment tool in investment portfolios or not. In the first stage of the empirical analysis, the stationarity levels of the series were tested with traditional unit root tests and Carrion-i-Silvestre et al.’s (2009) m structural breaks unit root test. In the second stage, Maki (2012) cointegration test was applied. The results of the analysis show that there is a cointegration relationship between Bitcoin and the commercial commodity prices under structural break. In the third stage, the Dynamic Least Squares Method (DOLS) estimator was used to investigate the long-term coefficients. The results of the study indicate that in the long term, gold prices affect Bitcoin prices positively, while silver and crude oil affect it negatively. According to the results of the causality analysis made in the last stage, we determined a causality relationship from gold to Bitcoin. It is not found a causal relationship between Bitcoin and oil and silver prices.

Keywords

• Bitcoin
• Digital Commodity
• Hedging
• Structural Break
• Cointegration

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