Bubbles in Bitcoin Markets: Gezeralized Sup ADF Test

Yıl 2019, , 187 - 192, 13.12.2019

Mehmet Songur

https://doi.org/10.18506/anemon.506466

Cited By: 5

Öz

Along
with the rapid developments in the use of internet, the money that is
physically involved in human life has also started to be digitalized. Such digitized
currencies are generally called crypto currencies. Currently, Bitcoin has the
highest transaction volume among the crypto currencies. The first bitcoin was
released in 2009. However, in the last few years it has started to attract
considerable attention. One of the main reasons for this interest is the
significant increase in the value of Bitcoin. In the context of these
increases, it is important to investigate the existence of speculative bubbles
in the Bitcoin market. In this context, the aim of this study is to investigate
the presence of speculative bubbles in the Bitcoin market during the period
2015-2018. In line with the purpose, Generalized Sup ADF test developed by
Phillips et al. (2015) is used to detect speculative bubbles. The results show
that there are many bubbles in the bitcoin market.

Anahtar Kelimeler

Bitcoin, Speculative Bubbles, GSADF Test

Bitcoin Piyasasında Balonlar: Genelleştirilmiş Eküs ADF Testi

Öz

İnternet
kullanımındaki hızlı gelişmeler ile birlikte, insan hayatına fiziksel olarak
dahil olan para da dijitalleşmeye başlamıştır. Bu tür dijitalleşmiş para
birimlerine genel olarak kripto para denilmektedir. Hali hazırda, Bitcoin,
kripto para birimleri arasında en yüksek işlem hacmine sahiptir. İlk Bitcoin
2009 yılında piyasaya sürüldü. Fakat son birkaç yılda ciddi derecede ilgi
çekmeye başladı. Bu ilginin temel nedenlerinden birisi, Bitcoin'in değerinde
önemli artışların olmasıdır. Söz konusu değer artışları bağlamında, Bitcoin
piyasasında spekülatif balonların varlığının araştırılması önem arz etmektedir.
Bu bağlamda, çalışmanın amacı 2015-2018 dönemi boyunca Bitcoin piyasasında
spekülatif balonların varlığını araştırmaktır. Amaç doğrultusunda, spekülatif
balonların tespiti için Phillips vd. (2015) tarafından geliştirilen
Genelleştirilmiş Eküs ADF testi kullanılmıştır. Elde edilen bulgular, Bitcoin
piyasasında çok sayıda baloncuk olduğunu göstermektedir. 

Anahtar Kelimeler

Bitcoin, Spekülatif Balonlar, GSADF Testi

Kaynakça

• Blanchard, O. J., & Watson, M. W. (1982). Bubbles, Rational Expectations and Financial Markets. NBER working paper, No. 945. (Erişim Tarihi: 09/12/2018), https://www.nber.org/papers/w0945
• Briere, M., Oosterlinck, K., & Szafarz, A. (2013). Virtual currency, tangible return: Portfolio diversification with Bitcoins. Journal of International Financial Markets, Institutions and Money, 16(6), 365-373.
• Ceylan, F., Tüzün, O., Ekinci, R., & Kahyaoğlu, H. (2018). Kripto Para Piyasalarında Finansal Balonlar (Bubbles): Bitcoin ve Etherium. İçinde: Bayar, Y. (Ed.), 4th SCF International Conference on Economic and Social Impacts of Globalization and Future of Turkey-EU Relations Proceedings Book, Uşak.
• Cheah, E. T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32-36.
• Delikanlı, İ. U., & Vogiazas, S. (2018). Testing for the presence of speculative price bubbles in Bitcoin. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 17(33), 511-523.
• Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
• Dowd, K. (2014). New Private Monies: A Bit-Part player? London: Institute of Economic Affairs.
• Fink, C., & Johann, T. (2014). Bitcoin Markets. (Erişim Tarihi: 09/12/2018). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2408396
• Fry, J., & Cheah, E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47, 343-352.
• Grinberg, R. (2011) Bitcoin: An innovative alternative digital currency. Hastings Science & Technology Law Journal, 4(1), 160-206.
• Gün, L. (2014). A new form of currency: Description and economic principle. Journal of Scientific Research and Reports, 3(13), 81-93.
• Kindleberger, C. P. (2000). Manias, panics, and crashes: a history of financial crises. The Scriblerian and the Kit-Cats, 32(2), 379.
• Kristoufek, L. (2015). What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PLoS ONE, 10(4): e0123923.
• MacDonell, A. (2014). Popping the Bitcoin Bubble: An Application of Log-Periodic Power Law Modeling to Digital Currency. University of Notre Dame working paper, (Erişim: 09/12/2018). https://economics.nd.edu/assets/134206/mac_donell_popping_the_biticoin_bubble_an_application_of_log_periodic_power_law_modeling_to_digital_currency.pdf
• Nakamoto, S. (2008). A peer-to-peer electronic cash system. (Erişim: 28/10/2018), https://bitcoin.org/bitcoin.pdf
• Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multible bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Econmic Review, 56(4), 1043-1078.
• Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values. International Econmic Review, 52(1), 201-226.
• Santoni, G. J. (1987). The great bull markets 1924-29 and 1982-87: Speculative bubbles or economic fundamentals?. Federal Reserve Bank of St. Louis Review, 69(9), 16-30.
• Shiller, R. J. (2005). Irrational exuberance. Princeton: Princeton University Press.
• Vockathaler, B. (2015). The Bitcoin Boom: An In Depth Analysis Of The Price Of Bitcoins. (Erişim Tarihi: 09/12/2018), https://ruor.uottawa.ca/bitstream/10393/32888/1/Vockathaler_Brian_2015_researchpaper.pdf