Research Article
Year 2020,
Volume: 12 Issue: 23, 653 - 671, 31.07.2020
Abstract
Bireysel ve kurumsal yatırımcıların finansal piyasalarda yatırım kararları alırken sıklıkla kullandıkları analizler temel analiz ve teknik analiz şeklinde ikiye ayrılmaktadır. Temel analiz; makroekonomik gidişatı, sektörel gelişmeleri ve spesifik olarak yatırım yapılacak varlığın finansal göstergelerini dikkate alırken, teknik analiz; finansal varlıkların geçmiş fiyat hareketlerinden yola çıkarak bu finansal varlığın gelecekteki fiyat hareketlerini tahminlemeye çalışmaktadır. Teorik altyapısı Dow Teorisine dayanan ve “finansal varlığın geçmiş fiyat hareketleri zamanla tekrarlanacaktır” gibi bir takım varsayımlar barındıran teknik analiz yöntemine göre yatırım kararı alınırken çeşitli indikatörler, osilatörler ve formasyonlar kullanılmaktadır. Bu göstergelerden Hareketli Ortalamaların Yakınsaması/Uzaklaşması (MACD), Bollinger Band (BBand), Göreceli Güç Endeksi (RSI) yatırımcıların sıklıkla kullandıkları göstergeler arasındadır. Bu çalışmada 2014-2018 Bitcoin (BTC) ve Ethereum (ETH) günlük fiyat verileri kullanılarak MACD, BBand ve RSI test edilmiş, BTC ve ETH Al/Sat kararları tahmin edilmeye çalışılmıştır. Çıkan sonuçlar neticesinde kripto paraların yatırımcılara sağlayacağı getiriler hesaplanmıştır. Finansal piyasalarda en fazla işlem gören kripto paraların analiz edildiği çalışmada, yatırım kararlarında teknik analizin ne derece etkili olduğu ve bu yatırımlardan teknik analiz kullanılarak herhangi bir getiri sağlanıp sağlanamayacağı irdelenmiştir. Elde edilen bulgulara göre BBand, RSI ve MACD yöntemleri birbirleri ile çelişkili sinyaller verebilmektedir. Bu nedenle yatırımcıların kullanacakları analiz yöntemine göre kazanç ve kayıplarının farklılaşabileceğini söylemek mümkündür
Keywords
References
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Year 2020,
Volume: 12 Issue: 23, 653 - 671, 31.07.2020
Abstract
References
- ACHELIS, Steven. (2001), Technical Analysis from A to Z. New York: McGraw Hill.
- AKOĞUZ, Ufuk; AKKAN, Taner. (2018), “Tendency Monitoring and Nearest-Time Estimation of Rapid Changing Data: Cryptocurrency Example” 26th Signal Processing and Communications Applications Conference (SIU). IEEE, 1-3.
- APPEL, Gerald. (2005), Technical Analysis: Power Tools for Active Investors. FT Press.
- APPEL, Gerald; HITSCHLER, Frederic. (1980), Stock Market Trading Systems. Homewood, IL: Dow Jones-Irwin.
- ATZEI, Nicola; BARTOLETTI, Massimo; CIMOLI, Tiziana. (2017), A survey of Attacks on Ethereum Smart Contracts (SoK), In: MAFFEI Matteo; RYAN, Mark (eds) Principles of Security and Trust, Lecture Notes in Computer Science, Vol 10204. Springer, Berlin.
- BADEV, Anton; CHEN, Matthew. (2014), “Bitcoin: Technical Background and Data Analysis”, FEDS Working Paper No. 2014-104. Available at SSRN: https://ssrn.com/abstract=2544331
- BAYRAKTAR, Ahmet. (2012), “Etkin Piyasalar Hipotezi”, Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 4(1), 37-47.
- BÖHME, Rainer; CHRISTIN, Nicolas; EDELMAN, Benjamin; MOORE, Tyler. (2015), “Bitcoin: Economics, Technology, and Governance”, Journal of Economic Perspectives, 29(2), 213-38.
- BOLLINGER, John. (1992), “Using Bollinger Bands”, Stocks & Commodities, 10(2), 47-51.
- BOLLİNGER, John. (2001), Bollinger on Bollinger Bands, 1st Edition, McGraw-Hill Education.
- BOXER, Harry. (2014), Profitable Day and Swing Trading: Using Price/volume Surges and Pattern Recognition to Catch Big Moves in the Stock Market, John Wiley & Sons.
- BRYANS, Danton. (2014), “Bitcoin and Money Laundering: Mining for an Effective Solution”, Ind. LJ, 89, 441.
- CHEN, Shaozhen; ZHANG, Bangqian; ZHOU, GengJian; QIN, Qiaoxu. (2018), “Bollinger Bands Trading Strategy Based on Wavelet Analysis”, Applied Economics and Finance, 5(3), 49-58.
- CHONG, Terence Tai-Leung; NG, Wing-Kam. (2008), “Technical Analysis and the London Stock Exchange: Testing the MACD and RSI Rules Using the FT30”, Applied Economics Letters, 15(14), 1111-1114.
- CORBET, Shaen; LUCEY, Brian; YAROVAYA, Larisa. (2018), “Datestamping the Bitcoin and Ethereum Bubbles”, Finance Research Letters, 26, 81-88.
- DEGUTIS, Augustas; NOVICKYTĖ, Lina. (2014), “The Efficient Market Hypothesis: A Critical Review of Literature and Methodology”, Ekonomika, 93(2).
- DEVRIES, Peter. (2016), “An Analysis of Cryptocurrency, Bitcoin, and the Future”, International Journal of Business Management and Commerce, 1(2), 1-9.
- DURANTIN, Gautier; SCANNELLA, Sebastien; GATEAU, Thibault; DELORME, Arnaud; DEHAIS, Frederic. (2014), “Moving Average Convergence Divergence Filter Preprocessing for Real-Time Event-Related Peak Activity Onset Detection: Application to fNIRS Signals”, 2014 36th Annual International Conference of the IEEE, 2107-2110.
- FAMA, Eugene. (1965), “The Behavior of Stock-Market Prices”, The Journal of business, 38(1), 34-105.
- GARAY, Juan; KIAYIAS, Aggelos; LEONARDOS, Nikos. (2015), The Bitcoin Backbone Protocol: Analysis and Applications, In: OSWALD, Elisabeth; FISCHLIN, Marc (eds) Advances in Cryptology -
- EUROCRYPT 2015. Lecture Notes in Computer Science, Vol 9057. Springer, Berlin.
- KARAME, Ghassan; ANDROULAKI, Elli; CAPKUN, Srdjan. (2012), “Two Bitcoins at the Price of One? Double-Spending Attacks on Fast Payments in Bitcoin”, IACR Cryptology ePrint Archive, 2012(248).
- KLASSEN, Myungsook. (2005), “Investigation of Some Technical Indexes in Stock Forecasting Using Neural Networks”, WEC, 5, 75-79.
- KONDOR, Dániel; PÓSFAI, Márton; CSABAI, István; VATTAY, Gábor. (2014), “Do the Rich Get Richer? An Empirical Analysis of the Bitcoin Transaction Network”, PloS one, 9(2), e86197.
- KROLL, Joshua; DAVEY, Ian; FELTEN, Edward. (2013), “The Economics of Bitcoin Mining, or Bitcoin In The Presence of Adversaries”, Proceedings of WEIS, 2013, 11.
- LEUNG, Joseph Man-Joe; CHONG, Terence Tai-Leung. (2003), “An Empirical Comparison of Moving Average Envelopes and Bollinger Bands”, Applied Economics Letters, 10(6), 339-341.
- LIM, Mark Andrew. (2015), The Handbook of Technical Analysis+ Test Bank: The Practitioner's Comprehensive Guide to Technical Analysis, John Wiley & Sons.
- MOORE Tyler; CHRISTIN Nikolas. (2013), Beware the Middleman: Empirical Analysis of Bitcoin-Exchange Risk, In: SADEGHI, Ahmad-Reza (eds) Financial Cryptography and Data Security. FC 2013. Lecture Notes in Computer Science, Vol 7859. Springer, Berlin.
- OMOHUNDRO, Steve. (2014), “Cryptocurrencies, Smart Contracts, and Artificial Intelligence”, AI matters, 1(2), 19-21.
- ÖZARI, Çiğdem; TURAN, Kemal; DEMİR, Esra. (2016), “Teknik İndikatörlerin Etkinliği: Bıst30 Ve Bıst100 Endeksleri Üzerine Bir Uygulama”, Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi, 6(1).
- PONSİ, Ed. (2016), Technical Analysis and Chart Interpretations: A Comprehensive Guide to Understanding Established Trading Tactics for Ultimate Profit, John Wiley & Sons.
- REID, Fergal; HARRIGAN, Martin. (2013), An Analysis of Anonymity in the Bitcoin System, In:
- ALTSHULER, Yaniv; ELOVICI, Yuval; CREMERS, Armin; AHARONY, Nadav; PENTLAND, Alex (eds) Security and Privacy in Social Networks. Springer, New York.
- SEO, Yunbeom; HWANG, Changha. (2018), “Predicting Bitcoin Market Trend with Deep Learning Models”, Quantitative Bio-Science, 37(1), 65-71.
- SOVBETOV, Yhlas. (2018), “Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero”, Journal of Economics and Financial Analysis, 2(2), 1-27
- VICTOR, Alexander. (2017), Introducing Cryptocurrency, “https://www.researchgate.net/publication/320616742”, Erişim tarihi: 09.10.2018
- WILDER, J. Welles. (1978), New Concepts in Technical Trading System, Greensboro, NC: Trend Research.
There are 37 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | July 31, 2020 |
| Submission Date | January 27, 2019 |
| Published in Issue | Year 2020 Volume: 12 Issue: 23 |