BITCOIN FİYATLARINDA EŞİK DEĞER ETKİSİ

Year 2019, Volume: 6 Issue: 3, 669 - 681, 31.12.2019

Eray Gemici , Müslüm Polat

https://doi.org/10.30798/makuiibf.593500

Cited By: 2

Abstract

Bu çalışma, Bitcoin’in fiyat davranışını
otoregresif birim kökü olan iki rejimli bir TAR modeli kullanarak araştırmaktadır.
Çalışmada, durağan dışılığı ve doğrusal olmamayı eş zamanlı olarak sınayan
Caner ve Hansen (2001) tarafından geliştirilen yöntem kullanılmıştır. Bu amaçla, 16.07.2010 – 27.11.2018
dönemi için (3.056 adet günlük gözlem) Bitcoin kapanış fiyatlarına ait veri
seti oluşturularak Bitcoin fiyatlarının etkin olup olmadığı incelenmiştir.  Elde edilen bulgular, Bitcoin fiyatlarının tüm
dönem dikkate alındığında zayıf formda etkin piyasalar hipotezini desteklemektedir.
Ancak rejimler arası geçiş dikkate alındığında Bitcoin fiyat serisinde iki
rejim olduğu sonucuna ulaşılmıştır. Birinci rejimde zayıf forma etkin piyasalar
hipotezinin geçerli olduğu, ancak ikinci rejimde geçerli olmadığı tespit
edilmiştir.

Keywords

Bitcoin, Eşik Değer, TAR Model;, Etkin Piyasalar Hipotezi

THRESHOLD EFFECT IN BITCOIN PRICES

Abstract

This study
investigates the price behavior of Bitcoin using a two-regime TAR model, which
is an autoregressive unit root. In the study, the method developed by Caner and
Hansen (2001) was used which simultaneously tested non-stationary and
non-linearity. For this purpose, the data set of Bitcoin closing prices for
16.07.2010 - 27.11.2018 period (3.056 daily observations) has been created to
determine whether Bitcoin prices are efficient or not. The findings support the
hypothesis that Bitcoin prices are efficient in weak form for the whole period.
However, considering the switching
between the regimes, it was concluded that there are two regimes in the Bitcoin
price series. In the first regime, the hypothesis of efficient markets in the
weak form is valid, but not in the second regime.

Keywords

Bitcoin, Threshold Value;, TAR Model, Efficient Market Hypothesis

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