THE RELATIONSHIP INVESTIGATION BETWEEN BITCOIN AND SAFE INVESTMENT PRODUCTS (HAVENS) BY THE MARKOW REGIME SWITCHING MODEL AFTER TRADE WARS

Year 2020, , 54 - 65, 30.03.2020

Cuneyt Dırıcan

https://doi.org/10.17261/Pressacademia.2020.1181

Abstract

Purpose- Determination whether there exists a connection or interaction between Bitcoin and safe investment products, which were seen as safe havens, during the trade wars formalized with US President Donald Trump after the 2016 US presidential election is the main of this paper. With the first tariff raise (application) which officially started trade wars, it is desired to understand whether there was a change in the safe investment product preference in the period of the first tariff raise and the US Central Bank's decision to enlarge the balance sheet over the NY FED in September 2019 (after the July 2019 first interest rate cut) due to the liquidity shortage between banks.
Methodology– Using Markow Regime Switching Model, the relationship between Bitcoin, gold, silver, Swiss franc and Japanese yen between these two dates and market regimes (bullish, bearish) were examined. Since the dollar and the euro have already been seen as safe havens as base currency, they are not included in the analysis.
Findings- If bullish, Japanese yen and Swiss franc can affect investors in Bitcoin’s investment decisions, contrary it can be seen that there is not any effect in the bear market regime. In Bitcoin, investor behavior is longer to hold its position in the bear market.
Conclusion- Similar to some studies in the literature, during the period of trade wars, Bitcoin could be evaluated as a profit-making investment instrument and portfolio diversification rather than being a safe investment product (haven) among the regimes.

Keywords

Investment Banking, Cryptocurrencies, Gold, Foreign Exchange, Forex, Financial Markets

TİCARET SAVAŞLARI SONRASINDA BİTCOİN VE GÜVENLİ YATIRIM ÜRÜNLERİ (LİMANLARI) ARASINDAKİ İLİŞKİNİN MARKOW REJİM DEĞİŞİM MODELİ İLE İNCELENMESİ

Abstract

Amaç – Bu çalışmanın amacı, 2016 ABD başkanlık seçimi sonrası ABD Başkanı Donald Trump’ın kararı ile uygulamaya geçen ilk gümrük tarife artışı ile resmiyete dökülen ticaret savaşları döneminde, Bitcoin ile güvenli liman olarak görülen yatırım ürünleri arasında bir bağlantı, etkileşim olup olmadığının tespit edilmesidir. İlk gümrük tarife uygulaması ile ABD Merkez Bankası’nın bankalar arasındaki likidite sıkışıklığı nedeni ile (Temmuz 2019 ilk faiz indirimi sonrasında) Eylül 2019’da NY FED üzerinden bilanço büyütme kararı almasına kadar geçen aradaki dönemde güvenli yatırım ürünü tercihinde bir değişiklik olup olmadığı hususu bu çalışmanın amacıdır.
Metodoloji- Markow Rejim Değişim Modeli ile bu iki tarih ve rejimler (boğa, ayı piyasası) arasındaki Bitcoin, altın, gümüş, İsviçre frangı ve Japon yeni ilişkisine bakılmıştır. Dolar ve Euro baz para olarak zaten güvenli liman olduğundan ayrıca analize dahil edilmemiştir.
Bulgular- Boğa piyasasında Yen ve Frangın Bitcoin’de yatırımcıya etki edebileceği, ayı piyasası rejimindeyse Bitcoin adına bir etkinin görülmediği söylenebilir. Bitcoin özelinde ayı piyasasında yatırımcı davranışı daha uzun pozisyon tutma şeklinde olmaktadır.
Sonuç- Ticaret savaşları döneminde, literatürdeki bazı benzer çalışmaların sonucuna uygun şekilde, dalgalanma dönemlerinde rejimler arasında Bitcoin güvenli yatırım ürünü (limanı) olmaktan çok getiri amaçlı ve portföy çeşitlendirme ürünü olarak değerlendirilebilecektir.

Keywords

Yatırım bankacılığı, kripto paralar, altın, döviz, foreks, finansal piyasalar

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