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Year 2020, Volume: 11 Issue: 1, 34 - 37, 30.07.2020

E.asena Deniz Dilek Teker

https://doi.org/10.17261/Pressacademia.2020.1235

Abstract

References

  • C.Baek-M.Elbeck “Bitcoin’s as an Investment or Speculative Vehicle? A First Look”.Applied Economics Letters, 2014, 22(1), s.30-34.
  • Chuen, D.L.K., Guo, L., Wang, Y. (2018). Cryptocurrency: A New Investment Opportunity?. The Journal of Alternative Investments. 20 (3). 16-40. http://jai.iijournals.com/content/20/3/16
  • Çabuk, Altan, M., Balcılar, 1998,“What Does A Unit Root Mean? The Statistical and Economic Interpretation Of Unit Root Processes With A Survey Of Unit Root Test”, Journal of the Faculty of Economics and Administrative Sciences, Cukurova University, Special Issue on Econometrics, 8, 289- 332.
  • Eisl,A. Gasser,S.Weinmayer K. (2015) Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?,SSRN Electronic Journal- Accessed: 15.06.2020
  • Enders, Walter (1995), Applied Econometric Time Series, Birinci Baskı, Wiley. (New York: lowa State University).
  • Güleç, Ö. F., Çevik, E. and Bahadır, N. (2018). Investigation of the Relationship Between Bitcoin and Financial Indicators. Kırklareli University Journal of Faculty of Economics and Administrative Sciences, 7 (2), 18-37.
  • Herpel, M., (2011). 2011 Observations on the Digital Currency Industry, DGCmaga- zine.
  • Işıkçok, Erkan (1994). Causality Analysis in Time Series. Bursa: Uludağ University – Versitesi PrintingHouse.
  • Kanat, E. and Öget, E. (2018). Bitcoin exchanges between Turkey and G7 country with a long and Analysis of Short-Term Relationship. Journal of Finance, Economics and Social Research, 3 (3), 601-614.
  • Kocabıyık Turan (2016) Analysis of Decision Stages in Johansen Cointegration Test. Süleyman Demirel University Journal of Social Sciences Institute. Number: Ciep Special Issue
  • Nakamoto S. (2008). Peer To Peer Electronic Cash System, https://bitcoin.org/ bitcoin. Taken from pdf. Accessed: 03/05/2020
  • Özgen, F.B. and Güloğlu, B. (2004). VAR Technical Analysis of the Economic Impact of Domestic Debt in Turkey. METU Studies in Development, 31: 93-114.
  • Sönmez, A., (2014). “Sanal Para Bitcoin”, The Turkish Online Journal of Design, Art and Communication – TODJAC, 4(3): 1 – 14.
  • Szetela, B., Mentel, G., & Gedek, S. (2016). Dependency analysis between Bitcoin and selected global currencies. Dynamic econometric models (Vol (16)), 133-144.
  • Zhu Y., Dickinson D. ve Li Jianjun (2017). Analysis on the influence factors of Bitcoin’s price based on VEC model Financial Innovation 3:3, 1-13. DOI: 10.1186/s40854-017-0054-0
  • Yıldırım, H. (2018). Testing the Relationship Between Daily Bitcoin and Gold Prices: The Johansen Cointegration Test Between 2012-2013. Journal of Human and Social Sciences Researches, 7 (4), 2328-2343

CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES

Year 2020, Volume: 11 Issue: 1, 34 - 37, 30.07.2020

E.asena Deniz Dilek Teker

https://doi.org/10.17261/Pressacademia.2020.1235

Abstract

Purpose- As the cryptocurrency market is beginning to attract investors, a new portfolio of cryptocurrencies has been published in the literature on macro-economic factors affecting these currencies. This research also aimed to identify the interaction between gold, brent oil, Bitcoin, Ethereum and Ripple.
Methodology- The database includes the Daily prices of Bitcoin, Ethereum, Ripple, gold and brent oil prices between the period of 03.04.2018-31.12.2020 which consist of 500 daily data. Natural logaritm for each indicator is used. First, the stationarity of the series were analyzed with ADF (Augmented Dickey Fuller) unit root test. Lag lengths are determined. Interactions between the series were analyzed by the Johansen Cointegration test, Granger Causality test, Impulse- Response Function and Variance Decomposition method.
Findings- The series are found out to be stationary at first difference. According to the cointegration test result, cointegration could not be found between our data. According to Granger causality analysis, only one-way relationship was found from bitcoin to gold. Impulse response graphs indicate that all variables respond in a reducing way to reducing shocks occurred in each indicator. Shocks have lost their effect on average in 2 days.
Conclusion- The results indicate that the effect of gold and brent oil prices on bitcoin, ethereum, ripple daily prices do not have a strong effect. The results may be beneficial for investors to consider diversification for the portfolios.

Keywords

Crytocurrency Johansen Co-integration Test Granger Casuality Test Impulse- Response Function and Variance Decomposition

References

  • C.Baek-M.Elbeck “Bitcoin’s as an Investment or Speculative Vehicle? A First Look”.Applied Economics Letters, 2014, 22(1), s.30-34.
  • Chuen, D.L.K., Guo, L., Wang, Y. (2018). Cryptocurrency: A New Investment Opportunity?. The Journal of Alternative Investments. 20 (3). 16-40. http://jai.iijournals.com/content/20/3/16
  • Çabuk, Altan, M., Balcılar, 1998,“What Does A Unit Root Mean? The Statistical and Economic Interpretation Of Unit Root Processes With A Survey Of Unit Root Test”, Journal of the Faculty of Economics and Administrative Sciences, Cukurova University, Special Issue on Econometrics, 8, 289- 332.
  • Eisl,A. Gasser,S.Weinmayer K. (2015) Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?,SSRN Electronic Journal- Accessed: 15.06.2020
  • Enders, Walter (1995), Applied Econometric Time Series, Birinci Baskı, Wiley. (New York: lowa State University).
  • Güleç, Ö. F., Çevik, E. and Bahadır, N. (2018). Investigation of the Relationship Between Bitcoin and Financial Indicators. Kırklareli University Journal of Faculty of Economics and Administrative Sciences, 7 (2), 18-37.
  • Herpel, M., (2011). 2011 Observations on the Digital Currency Industry, DGCmaga- zine.
  • Işıkçok, Erkan (1994). Causality Analysis in Time Series. Bursa: Uludağ University – Versitesi PrintingHouse.
  • Kanat, E. and Öget, E. (2018). Bitcoin exchanges between Turkey and G7 country with a long and Analysis of Short-Term Relationship. Journal of Finance, Economics and Social Research, 3 (3), 601-614.
  • Kocabıyık Turan (2016) Analysis of Decision Stages in Johansen Cointegration Test. Süleyman Demirel University Journal of Social Sciences Institute. Number: Ciep Special Issue
  • Nakamoto S. (2008). Peer To Peer Electronic Cash System, https://bitcoin.org/ bitcoin. Taken from pdf. Accessed: 03/05/2020
  • Özgen, F.B. and Güloğlu, B. (2004). VAR Technical Analysis of the Economic Impact of Domestic Debt in Turkey. METU Studies in Development, 31: 93-114.
  • Sönmez, A., (2014). “Sanal Para Bitcoin”, The Turkish Online Journal of Design, Art and Communication – TODJAC, 4(3): 1 – 14.
  • Szetela, B., Mentel, G., & Gedek, S. (2016). Dependency analysis between Bitcoin and selected global currencies. Dynamic econometric models (Vol (16)), 133-144.
  • Zhu Y., Dickinson D. ve Li Jianjun (2017). Analysis on the influence factors of Bitcoin’s price based on VEC model Financial Innovation 3:3, 1-13. DOI: 10.1186/s40854-017-0054-0
  • Yıldırım, H. (2018). Testing the Relationship Between Daily Bitcoin and Gold Prices: The Johansen Cointegration Test Between 2012-2013. Journal of Human and Social Sciences Researches, 7 (4), 2328-2343
There are 16 citations in total.

Details

Primary Language English
Subjects Finance, Business Administration
Journal Section Articles
Authors

E.asena Deniz This is me 0000-0003-1772-9714

Dilek Teker This is me 0000-0002-3893-4015

Publication Date July 30, 2020
Published in Issue Year 2020 Volume: 11 Issue: 1

Cite

APA Deniz, E., & Teker, D. (2020). CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES. PressAcademia Procedia, 11(1), 34-37. https://doi.org/10.17261/Pressacademia.2020.1235
AMA Deniz E, Teker D. CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES. PAP. July 2020;11(1):34-37. doi:10.17261/Pressacademia.2020.1235
Chicago Deniz, E.asena, and Dilek Teker. “CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES”. PressAcademia Procedia 11, no. 1 (July 2020): 34-37. https://doi.org/10.17261/Pressacademia.2020.1235.
EndNote Deniz E, Teker D (July 1, 2020) CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES. PressAcademia Procedia 11 1 34–37.
IEEE E. Deniz and D. Teker, “CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES”, PAP, vol. 11, no. 1, pp. 34–37, 2020, doi: 10.17261/Pressacademia.2020.1235.
ISNAD Deniz, E.asena - Teker, Dilek. “CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES”. PressAcademia Procedia 11/1 (July 2020), 34-37. https://doi.org/10.17261/Pressacademia.2020.1235.
JAMA Deniz E, Teker D. CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES. PAP. 2020;11:34–37.
MLA Deniz, E.asena and Dilek Teker. “CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES”. PressAcademia Procedia, vol. 11, no. 1, 2020, pp. 34-37, doi:10.17261/Pressacademia.2020.1235.
Vancouver Deniz E, Teker D. CRYPTO CURRENCY APPLICATIONS IN FINANCIAL MARKETS: FACTORS AFFECTING CRYPTO CURRENCY PRICES. PAP. 2020;11(1):34-7.

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