Abstract
İktisat bilimi, ekonomik aktörlerin tercihlerini ve bu tercihlerin ekonomik göstergelere olan etkisini incelemektedir. Özelde, davranışsal iktisat okulu bu tercihlerin zaman zaman rasyonaliteden ayrıldığını ve bu irrasyonalitenin yol açtığı ekonomik krizleri de modelleyen çıkarımlar yapmaktadır. 2008 yılının sonlarında kripto para olan Bitcoin deneysel olarak kullanılmış, bu tarihten sonra bu kripto finans aracı hızla işlem görmeye başlamıştır. Ancak daha sonraki yıllarda Bitcoin’nin değerindeki dalgalanmalar onun finansal bir araç olmaktan daha çok bir deney aracı olduğu yönünde eleştirilmesine neden olmuştur.
Bu çalışmada etkin piyasa hipotezi ve davranışsal iktisat öğretilerinden yola çıkarak bitcoin piyasasının fiyat balonlarıyla spekülatif ve rassal hareketlere açık olup olmadığı (Supremum Augmented Dickey-Fuller ) SADF testi ile analiz edilmiştir. Ampirik bulgulara göre 2015-2019 dönemine ait Bitcoin fiyatlarında ortaya çıkan şokların etkisi kalıcıdır ve rassal yürüyüş hipotezi geçerlidir.
References
- Bartos, J. (2015), “Does Bıtcoın Follow The Hypothesıs Of Effıcıent Market?”, International Journal of Economic Sciences, 3(2), 10-23 Bilgili, S., Üçay K., Esen, Ö. (2015),” Bist 100 (Xu100) Endeksinde Doğrusal-Dışı Yapılar”, Bilgi Ekonomisi ve Yönetimi Dergisi, X (II):143-167 Cheah, E. & Fry, J. (2015), “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into The Fundamental Value of Bitcoin”, Economics Letters, 130, 32-36 Coşkun, Y. ve Seven, Ü. (2016), Finansal Piyasalarda Etkinlik, Edt. Gündoğdu, A. ,Finansal Piyasalar ve Kurumlar Teori ve Türkiye Uygulamasına Güncel Bakış, 1. Baskı, Seçkin Kitapevi, Ankara De Bondt, Werner F. M. Ve Thaler, Richard (1984),” Does the Stock Market Overreact?”, The Journal of Finance, 40 (3): 793-805 Dimitrova1 V., Fernandez-Martınez M., Sanchez-Granero M. A., Trinidad Segovia J. E. (2019), “Some Comments On Bitcoin Market (İn)Efficiency”, PLOS ONE 14 (7), 1-14. Dwyer, Gerald P. (2015),” The Economics of Bitcoin and Similar Private Digital Currencies”, Journal of Financial Stability, 17:81–91. Fama, Eugene (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25:383-417. Frascaro mercado e Frascaroli, B. F. and Pinto, T. C. (2016)”Innovative aspects of Bitcoin, market microetructure and volatility returns”, Revista Brasileira de Economia de Empresas, 18(2):49–70. Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M.C., Siering, M. (2014), “Bitcoin- Asset or Currency? Revealing Users Hidden Intentions” Twenty Second European Conference on Information Systems, Tel Aviv Hepkorucu, A. , Genç, S. (2019), “Kripto Para Değerleri için Spekülatif Fiyat Balonlarının Test Edilmesi :Bitcoin Üzerine Bir Uygulama”, Veri Bilimi Dergisi, 2(1), 44-50 Kahraman, İ. K., Küçükşahin, H., Çağlak, E. (2019),” Kripto Para Birimlerinin Volatilite Yapısı: GARCH Modelleri Karşılaştırması”, Fiscaoeconomia, 3(2): 21-45 Kurihara Y, Fukushima A. The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective. Journal of Applied Finance and Banking. 2017; 7: 57–64. Latif, S. R., Mohd, M. A., Amin, M. N. M. ve Mohamad, A. I. (2017),”Testing the Weak Form Efficient Market in Cyrptocurrency”, Journal of Engineering and Applied Science, 12 (9): 2285-2288 Lerner, J. (2003). The New Financial Thing: The Origins of Financial Innovations. Harvard University and National Bureau of Economic Research Mete, S., Koy, A., Ersoy, H. (2019),” Kriptoparalarda Fiyat Balonu İncelemesi”, BDDK Bankacılık ve Finansal Piyasalar, 13(1): 105-120 Pavlidis, E., García, E.M., Grossman, V. (2018),” Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices”, Globalization and Monetary Policy Institute Working Paper, No. 325 https://doi.org/10.24149/gwp325r1 Philips, P.C.B., Shi, S. ve Yu, J. (2014). “Specification Sensitivity in Right-Tailed Unit Root Testing For Explosive Behavior”, Oxford Bulletin of Economics and Statistics, 76(3): 315–333 Phillips, P.C.B., Yu, J., (2011) “Dating the timeline of financial bubbles during the subprime crisis”, Quantitative Economics, 2 (3), 455–491. https://doi.org/10.3982/qe82 Swan, M. (2015), Blockchain, O'Reilly Media, ABD Taskinsoy, J. (2019),” This Time is Different: Facebook's Libra Can Improve Both Financial Inclusion and Global Financial Stability as a Viable Alternative Currency to the U.S. Dollar”, Journal of Accounting, Finance and Auditing Studies, 5 (4): 67-86 Weber W. (2016), “Bitcoin and legitimacy crisis of money”, Cambridge Journal of Economics, 40(1), 17-41. Zeren, F, Esen, S. (2018). “Geleceğin Para Birimi Ya Da Sadece Bir Balon: Bitcoin”, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21 (39), 433-448 İnternet Kaynakları Blog Bucket https://www.blogbucket.org/what-is-crypto-currency , (08/02/2020). Weusecoins https://www.weusecoins.com/en/questions/#how-does-bitcoin-work , (10/02/2020)
Abstract
Economics examines the preferences of economic actors and their impact on economic indicators. Specifically, the school of behavioral economics makes inferences modelling the economic crises caused by these irrational preferences.
In late 2008, bitcoin, a cryptocurrency, was used experimentally, and since then this crypto-finance tool has been rapidly trading. In later years, however, fluctuations in bitcoin's value led to criticism that it was more of an experimental tool than a financial instrument. In this study, based on effective market hypothesis and behavioral economics thoughts, it is tested whether the bitcoin market is open to speculative and random walks behaviors through bubbles by (Supremum Augmented Dickey-Fuller Test) SADF. According to empirical findings, there is price bubbles in Bitcoin prices for 2015-2019 and can be considered that the random walking hypothesis is valid.
Keywords
Effective Markets Hypothesis, Random Walks Hypothesis, Behavioral Economics Thoughts, Bitcoin
References
- Bartos, J. (2015), “Does Bıtcoın Follow The Hypothesıs Of Effıcıent Market?”, International Journal of Economic Sciences, 3(2), 10-23 Bilgili, S., Üçay K., Esen, Ö. (2015),” Bist 100 (Xu100) Endeksinde Doğrusal-Dışı Yapılar”, Bilgi Ekonomisi ve Yönetimi Dergisi, X (II):143-167 Cheah, E. & Fry, J. (2015), “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into The Fundamental Value of Bitcoin”, Economics Letters, 130, 32-36 Coşkun, Y. ve Seven, Ü. (2016), Finansal Piyasalarda Etkinlik, Edt. Gündoğdu, A. ,Finansal Piyasalar ve Kurumlar Teori ve Türkiye Uygulamasına Güncel Bakış, 1. Baskı, Seçkin Kitapevi, Ankara De Bondt, Werner F. M. Ve Thaler, Richard (1984),” Does the Stock Market Overreact?”, The Journal of Finance, 40 (3): 793-805 Dimitrova1 V., Fernandez-Martınez M., Sanchez-Granero M. A., Trinidad Segovia J. E. (2019), “Some Comments On Bitcoin Market (İn)Efficiency”, PLOS ONE 14 (7), 1-14. Dwyer, Gerald P. (2015),” The Economics of Bitcoin and Similar Private Digital Currencies”, Journal of Financial Stability, 17:81–91. Fama, Eugene (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, 25:383-417. Frascaro mercado e Frascaroli, B. F. and Pinto, T. C. (2016)”Innovative aspects of Bitcoin, market microetructure and volatility returns”, Revista Brasileira de Economia de Empresas, 18(2):49–70. Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M.C., Siering, M. (2014), “Bitcoin- Asset or Currency? Revealing Users Hidden Intentions” Twenty Second European Conference on Information Systems, Tel Aviv Hepkorucu, A. , Genç, S. (2019), “Kripto Para Değerleri için Spekülatif Fiyat Balonlarının Test Edilmesi :Bitcoin Üzerine Bir Uygulama”, Veri Bilimi Dergisi, 2(1), 44-50 Kahraman, İ. K., Küçükşahin, H., Çağlak, E. (2019),” Kripto Para Birimlerinin Volatilite Yapısı: GARCH Modelleri Karşılaştırması”, Fiscaoeconomia, 3(2): 21-45 Kurihara Y, Fukushima A. The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective. Journal of Applied Finance and Banking. 2017; 7: 57–64. Latif, S. R., Mohd, M. A., Amin, M. N. M. ve Mohamad, A. I. (2017),”Testing the Weak Form Efficient Market in Cyrptocurrency”, Journal of Engineering and Applied Science, 12 (9): 2285-2288 Lerner, J. (2003). The New Financial Thing: The Origins of Financial Innovations. Harvard University and National Bureau of Economic Research Mete, S., Koy, A., Ersoy, H. (2019),” Kriptoparalarda Fiyat Balonu İncelemesi”, BDDK Bankacılık ve Finansal Piyasalar, 13(1): 105-120 Pavlidis, E., García, E.M., Grossman, V. (2018),” Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices”, Globalization and Monetary Policy Institute Working Paper, No. 325 https://doi.org/10.24149/gwp325r1 Philips, P.C.B., Shi, S. ve Yu, J. (2014). “Specification Sensitivity in Right-Tailed Unit Root Testing For Explosive Behavior”, Oxford Bulletin of Economics and Statistics, 76(3): 315–333 Phillips, P.C.B., Yu, J., (2011) “Dating the timeline of financial bubbles during the subprime crisis”, Quantitative Economics, 2 (3), 455–491. https://doi.org/10.3982/qe82 Swan, M. (2015), Blockchain, O'Reilly Media, ABD Taskinsoy, J. (2019),” This Time is Different: Facebook's Libra Can Improve Both Financial Inclusion and Global Financial Stability as a Viable Alternative Currency to the U.S. Dollar”, Journal of Accounting, Finance and Auditing Studies, 5 (4): 67-86 Weber W. (2016), “Bitcoin and legitimacy crisis of money”, Cambridge Journal of Economics, 40(1), 17-41. Zeren, F, Esen, S. (2018). “Geleceğin Para Birimi Ya Da Sadece Bir Balon: Bitcoin”, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21 (39), 433-448 İnternet Kaynakları Blog Bucket https://www.blogbucket.org/what-is-crypto-currency , (08/02/2020). Weusecoins https://www.weusecoins.com/en/questions/#how-does-bitcoin-work , (10/02/2020)
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Economics |
| Journal Section | Articles |
| Authors | |
| Publication Date | June 30, 2020 |
| Published in Issue | Year 2020 Volume: 18 Issue: 2 |