Bitcoin as a New Hedge Instrument Tool: Bitconomy

Year 2018, , 217 - 232, 25.04.2018

Mutlu Başaran Öztürk , Halil Arslan , Temur Kayhan , Mustafa Uysal

https://doi.org/10.25287/ohuiibf.415713

Cited By: 10

Abstract

In
2017, Bitcoin's mcap exceeds level of $200 billion and it has come to agenda of
institutional investors. While the world's largest futures exchanges like CME
and CBOE list Bitcoin, Microsoft, PWC and Overstock have begun to define
Bitcoin in their platforms. Certain conditions are necessary for Bitcoin to be
seen as an investment tool; being traded in an efficient markets, clear pricing
formation and being diversification tool for portfolios. According to results
of Johansen test, Bitcoin moved independently from other traditional assets
except gold. When Bitcoin's so-called independent moves is defined as
Bitconomy, this means that a risky asset at the micro level can reduce risk of
portfolios in a macro sense. The fact that occupation of a very small area in
the financial system and degree of difficulty in Bitcoin production is in
conflict with the classical economy can be shown as reasons why correlations
are meaningless. The rise in Bitcoin’s price in North Korean and Ukrainian
tensions and the long-term positive relationship between gold and Bitcoin being
criticized for their high variance, indicating an interesting irony as Bitcoin
may be a safe haven in the future. The studies in literature show that variance
of Bitcoin decreases continuously.

Keywords

Bitcoin, Portfolio Diversification, Hedge, Johansen, Bitconomy

Yeni Bir Hedge Enstrumanı Olarak Bitcoin: Bitconomi

Abstract

2017 yılında Bitcoin’in piyasa değerinde önemli bir artış
yaşanmış ve 200 milyar dolar seviyesi aşılarak Bitcoin kurumsal yatırımcıların
gündemine gelmeye başlamıştır. CME ve CBOE gibi dünyanın en büyük vadeli işlem
borsaları Bitcoin’i listelerken Microsoft, PWC ve Overstock gibi kurumlar
Bitcoin’i tanımlamaya başlamışlardır. Bitcoin’in bir yatırım aracı olarak
görülebilmesi için bazı şartlar gereklidir. Verimli bir piyasada işlem görmesi,
fiyatlama formasyonunun belirginleşmesi ve portföyler için bir çeşitlendirme
aracı olabilmesi bunlardan bazıları olarak görülebilir. Ana akım varlık
grupları ile Bitcoin arasındaki uzun vadeli ilişkiyi Johansen Eşbütünleşme
testi ile inceleyen çalışma sonuçlarına göre Bitcoin’in altın haricinde diğer
geleneksel finansal ve emtia varlıklarından bağımsız bir hareket gösterdiği ortaya
çıkmıştır. Bitcoin’in söz konusu bağımsız hareketi Bitconomi olarak
tanımlanırken bu durum mikro seviyede riskli bir varlığın makro anlamda
portföylerin riskini düşürebileceği anlamına gelmektedir. Finansal sistemde çok
küçük bir alanı işgal etmesi ve Bitcoin üretimindeki zorluk derecesinin klasik
ekonomi ile çelişmesi korelasyonun anlamsız olmasının nedenleri arasında
gösterilebilir. Kuzey Kore ve Ukrayna gerilimlerinde Bitcoin fiyatındaki
artışlar ve altın ile Bitcoin arasındaki uzun vadeli pozitif ilişki yüksek varyansı
nedeniyle eleştirilen Bitcoin’in gelecekte güvenli liman olabileceği gibi
ilginç bir ironiye işaret etmektedir. Literatürdeki çalışmalar her geçen yıl
Bitcoin’in varyansının gerilediğini göstermektedir.

Keywords

Bitcoin, Portföy Çeşitlendirmesi, Hedge, Johansen, Bitconomi

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