Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

Year 2024, Volume: 27 Issue: 1, 1 - 17, 30.04.2024

Arzu Özmerdivanlı

https://doi.org/10.29249/selcuksbmyd.1317764

Abstract

Modern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların birçoğu, yatırımcıların bazı dönemlerde normalin üzerinde getiri elde ettiğini gösteren bulgular ortaya koymaktadır. Etkin Piyasa Hipotezi ile çelişen ve bazı dönemlerde elde edilen getirilerin ve katlanılan riskin diğer dönemlere göre farklılaştığını ifade eden etkiler takvim anomalileri olarak tanımlanmaktadır. Takvim anomalileri içerisinde genellikle günlere, aylara ve yıllara göre farklılaşan etkiler incelenmektedir. Bu çalışmada Bitcoin ve Ethereum kripto para piyasasında takvim anomalilerinin incelenmesi amaçlanmıştır. Bu kapsamda haftanın günü, yılın ayı ve yıl dönümü anomalileri kukla değişken ile temsil edilerek Bitcoin ve Ethereum için belirlenen TGARCH(1,1) ve EGARCH(2,2) modeline ilave edilmiş ve Bitcoin için 18.07.2010 – 17.05.2023 dönemini, Ethereum için 10.03.2016 – 17.05.2023 dönemini kapsayan günlük veriler üzerinden analiz yapılmıştır. Çalışma sonucunda elde edilen bulgular, Bitcoin ve Ethereum piyasasında haftanın günü ve yılın ayı anomalilerinin bulunduğunu göstermektedir.

Keywords

Takvim Anomalileri, Bitcoin, Ethereum, TGARCH, EGARCH

The Examination Calendar Anomalies in Bitcoin and Ethereum Markets

Abstract

The Efficient Market Hypothesis, one of the cornerstones of modern finance theory, argues that it is not possible to obtain returns above the market by using all the information available in the market. However, many of the studies conducted in financial markets reveal findings that investors earn abnormal returns in some periods. The effects that contradict the Efficient Market Hypothesis and express that the returns obtained and the risk incurred in some periods differ compared to other periods are defined as calendar anomalies. Within the calendar anomalies, the effects that differ according to days, months and years are examined. In this study, it is aimed to examine calendar anomalies in Bitcoin and Ethereum crypto money markets. In this context, the day of the week, month of the year and turn of the year anomalies were represented by a dummy variable and added to the TGARCH(1,1) and EGARCH(2,2) model determined for Bitcoin and Ethereum and analysis has been done using daily data covering the period 18.07.2010 – 17.05.2023 for Bitcoin and 10.03.2016 - 17.05.2023 for Ethereum. The result of the study shows that there are anomalies of the day of the week and the month of the year in the Bitcoin and Ethereum market

Keywords

Calendar Anomalies, Bitcoin, Ethereum, TGARCH, EGARCH

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