Kripto Para Piyasalarının Covid-19 Pandemisinde Asimetrik Volatilite Karakteristiği

Yıl 2022, , 121 - 136, 29.03.2022

Berkan Ataş

https://doi.org/10.18037/ausbd.1095129

Öz

Teknolojideki gelişim finansal piyasaları da doğrudan etkilemekte ve yeni ürün ve hizmetlerin piyasalara kazandırılmasına katkı sağlamaktadır. Kripto para piyasası da gelişen teknoloji ve dijitalleşme sonucu hayatımıza giren finansal araçlardandır. Yaklaşık 2 Trilyon Dolar değeri bulunan bu piyasalar, yatırımcılar tarafından oldukça büyük ilgi görmesine rağmen hakkındaki bilgi sınırlı seviyededir. Çalışmada kripto para piyasasındaki asimetrik volatilite bulguları Covid-19 pandemisi ve öncesi baz alınarak karşılaştırmalı olarak incelenmiştir. Çalışmadaki veriler piyasa değeri olarak en büyük 4 kripto para birimini kapsamaktadır. Volatilite asimetrisinin tespiti için GJR-GARCH (1,1) modeli uygulanmıştır. Bulunan sonuçlara göre kripto para birimlerinin tamamında kriz öncesi dönemde asimetrik volatilite görülmezken kriz sonrası dönem için asimetrik volatilite özelliği göstermektedir. Tersine (zıt yönlü) asimetrik volatilite bulgusuna hem kriz öncesi hem de kriz sonrası dönemde rastlanmamıştır. Bununla birlikte kripto para piyasasında hem pandemi öncesi hem de pandemi sonrası dönemlerde büyük dalgalanmalar yaşansa da ertesinde uzun dönemli varyansa yakınsama (mean reversion) etkisinin görüldüğü tespit edilmiştir.

Anahtar Kelimeler

Kripto Para Piyasaları, Asimetrik Volatilite, Volatilite Modellemesi, Risk Yönetimi

Kaynakça

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