Gelişmekte Olan Ülke Borsaları ve Kripto Para Bitcoin için Nedensellik Analizi

Öz

Kripto paralar konusunda küresel düzeyde bir farkındalık gelişmesinde, arkasında blockchain teknolojisi bulunan Bitcoin’in önemli bir yeri vardır. Günümüzde, Bitcoin ve diğer kripto para birimleri yeterince derin bir piyasa oluşturmakta ve yüksek getiri sağlayabilmekte, fakat volatilitelerinin yüksek olması nedeniyle spekülasyon aracı olarak da görülmektedir. Kripto paralar, işlem maliyetlerinin çok düşük olması ve işlemlerin oldukça hızlı gerçekleştirilebilmesine imkân sağlaması sebebiyle hem transfer hem de yatırım aracı olarak kullanılmaktadır. Yatırım aracı olarak kullanılması borsa, altın, döviz, faiz, tahvil gibi başka yatırım araçları ile ilişkisinin nasıl olduğu sorusunu gündeme getirmektedir. Bu çalışmanın amacı, gelişmekte olan ülke borsaları BIST100 (XU100), Bovespa (BVSP), MOEX Russia (IMOEX) ve BSE Sensex 30 (BSESN) ile Bitcoin arasındaki nedensellik ilişkilerini 2010 Ocak – 2021 Şubat arası aylık verileri için Hacker ve Hatemi-J (2006) Bootstrap nedensellik analizi ile ortaya koymaktır. Analiz sonucunda Bitcoin’den gelişmekte olan ülke borsalarına doğru tek yönlü nedensellik elde edilmiştir.

Anahtar Kelimeler

• Bitcoin
• Borsa
• Nedensellik Analizi
• Hacker ve Hatemi-J (2006) Testi

Causality Analysis for Developing Country Stock Exchanges and Cryptocurrency Bitcoin

Öz

Bitcoin, which has blockchain technology behind it, has an important place in the development of awareness on cryptocurrencies at a global level. Currently, Bitcoin and other cryptocurrencies create a deep enough market and can generate high returns, but they are also seen as a tool for speculation due to their high volatility. Cryptocurrencies are used both as a transfer and investment tool because of the very low transaction costs and the ability to perform transactions very quickly. Its use as an investment tool raises the question of how it relates to other investment instruments such as stock market, gold, foreign currency, interest, and bonds. The aim of this study is to examine the causality relationships between the developing country stock markets BIST100 (XU100), Bovespa (BVSP), MOEX Russia (IMOEX) and BSE Sensex 30 (BSESN) and Bitcoin, by Hackers and Hatemi-J (2006) Bootstrap causality analysis for monthly data from January 2010 to February 2021. As a result of the analysis, one-way causality from Bitcoin to developing country stock markets has been obtained.

Anahtar Kelimeler

• Bitcoin
• Stock Exchange
• Causality Analysis
• Hacker and Hatemi-J (2006) Test

Kaynakça

1. Antonakakis, N., Chatziantoniou, I. & Gabauer, D. (2019). Cryptocurrency market contagion: market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61(1), 37-51.
2. Atik, M., Kose, Y., Yılmaz, B., & Saglam, F. (2015). Kripto Para: Bitcoin ve Döviz Kurları Üzerine Etkileri. Bartın Üniversitesi İ.İ.B.F. Dergisi, 6(11), 247-261.
3. Baek, C. & Elbeck, M. (2015). Bitcoins as an Investment or Speculative Vehicle? A First Look. Applied Economics Letters, 22(1), 30-34.
4. Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. The Financial Review, 45(2), 217-229.
5. Baur, D. G., Hong, K. & Lee, A. D. (2017). Bitcoin: Medium of Exchange or Speculative Assets? Journal of International Financial Markets, Institutions and Money, 54(1), 177-189.
6. Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444–455. doi:10.1086/295472
7. Bohme, R., Christin, N., Edelman, B., & Moore, T. (2015). Bitcoin: Economics, technology, and governance. Journal of Economic Perspectives, 29(2), 213–238. doi:10.1257/jep.29.2.213
8. Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a ? Finance Research Letters, 20, 192-198.

9. Bouri, E., Das, M., Gupta, R. & Roubaud, D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935-5949.
10. Brauneis, A. & Mestel, R. (2018). Price discovery of cryptocurrencies: bitcoin and beyond. Economics Letters, 165(1), 58-61.
11. Charfeddine, L., Benlagha, N., & Maouchi, Y. (2020). Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. Economic Modelling, 1(1), 1-21.
12. Cheung, A., Eduardo Roca, E. & Su J. J. (2015). Crypto-Currency Bubbles: An Application of the Phillips–Shi–Yu (2013) Methodology on Mt. Gox Bitcoin Prices. Applied Economics, 47(23), 2348-2358.
13. Chi M. H. (2020). Does virtual currency development harm financial stocks’ value? Comparing Taiwan and China markets. Economic Research-Ekonomska Istraživanja, 33(1), 361-378, DOI: 10.1080/1331677X.2019.1702076
14. Chow, G. C., Liu, C., & Niu, L. (2011). Co-movements of Shanghai and New York stock prices by timevarying regressions. Journal of Comparative Economics, 39(4), 577–583. doi:10.1016/j.jce.2011.06.001
15. Chuen, D. L. K., Guo, L., & Wang, Y. (2017). Cryptocurrency: A new investment opportunity? The Journal of Alternative Investments, 20(3), 16-40.
16. Chu, J., Nadarajah, S., & Chan, S. (2015). Satistical analysis of the exchange rate of Bitcoin. PloS One, 10(7), e0133678–27. doi:10.1371/journal.pone.0133678
17. Ciaian, P., Rajcaniova, M., & Kancs, D. A. (2016). The economics of Bitcoin price formation. Applied Economics, 48(19), 1799–1815.
18. Ciaian, P., Rajcaniova, M., & Kancs, D. (2018). Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets. Journal of International Financial Markets Institutions & Money, 52, 173-195. doi:10.1016/j.intfin.2017.11.001
19. Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34.
20. Dastgir, S., Demir, E., Downing, G., & Gozgor, G. (2019). The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test. Finance Research Letters, 28(1), 160-164.
21. Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters, 26(1), 145- 149.
22. Dickey, D. A. & Fuller, W. A. (1981). Distribution of the estimators for autoregressive time series with a unit root. Econometrica, 49(1), 1057-1072.
23. Dilek, S. (2018). Blockchain Teknolojisi ve Bitcoin. Turkuvaz Haberleşme ve Yayıncılık A.Ş., İstanbul, Analiz, Şubat 2018, Sayı: 231. https://setav.org/assets/uploads/2018/02/231.-Bitcoin.pdf
24. Dirican, C. & Canoz, I. (2017). Bitcoin Fiyatları ile Dünyadaki Başlıca Borsa Endeksleri Arasındaki Eşbütünleşme İlişkisi: ARDL Modeli Yaklaşımı ile Analiz. Journal of Economics, Finance and Accounting, 4(4), 377-392.
25. Dolado, J. L. & H. Lütkepohl (1996). Making Wald Tests Work for Cointegrated VAR Systems”, Econometric Reviews, 15(1), 369-386.
26. Dyhrberg, A. H. (2015). Hedging Capabilities of Bitcoin. Is it the Virtual Gold? Finance Research Letters, 16(2), 1-6.
27. Engle, R. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(1), 987-1007.
28. Eswara, M. (2017). Cryptocurrency Gyration and Bitcoin Volatility. International Journal of Business and Administration Research Review, 3(18), 187-195.
29. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. doi:10.1016/0304-405X(93)90023-5
30. Ghorbel, A., & Jeribi, A. (2021). Investigating the Relationship between Volatilities of Cryptocurrencies and other Financial Assets. Decisions in Economics and Finance, 1(1), 1-27.
31. Gil-Alana, L., Abakah, E. J. A., & Rojo, M. F. (2020). Cryptocurrencies and stock markets indices. Are they related? Research in International Business and Finance, 51(1), 1-23.
32. Gkillas, K., & Katsiampa, P. (2018). An application of extreme value theory to cryptocurrencies. Economics Letters, 164, 109–111. doi:10.1016/j.econlet.2018.01.020
33. Gozgor, G., Tiwari, A. K., Demir, E., & Akron, S. (2019). The relationship between Bitcoin returns and trade policy uncertainty. Finance Research Letters, 29(1), 75-82.
34. Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2018). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2018.03.004 Hacker, R. S. & Hatemi-J, A. (2006). Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application. Applied Economics, 38(1), 1489-1500.
35. Hatemi-J, A. (2003). A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models. Applied Economics Letters, 10(3),135-137.
36. Hileman, G. (2016, January 28). State of Bitcoin and Blockchain. New York, NY: Coin Desk. Retrieved from https://www.coindesk.com/state-of-bitcoinblockchain-2016/
37. Hung, N. T. (2019). An analysis of CEE equity market integration and their volatility spillover effects. European Journal of Management and Business Economics, 29(1), 23-40.
38. Hung, J., Liub, H., & Yangc, J. (2020). Improving the realized GARCH’s volatility forecast for Bitcoin with jumprobust estimators. The North American Journal of Economics and Finance, 52(1), 1-22.
39. Icellioglu, C. Ş. & Öztürk, M. B. E. (2018). Bitcoin İle SeIili Döviz Kurları Arasındaki İlişkinin Araştırılması: 2013-2017 Dönemi için Johansen Testi ve Granger Nedensellik Testi. Maliye Finans Yazıları, 109(1), 51-70.
40. Ji, Q., Bouri, E., Lau, C. K. M., & Roubaud, D. (2019). Dynamic connectedness and integration in cryptocurrency markets. International Review of Financial Analysis, 63(2), 257-272.
41. Ji, Q., Bouri, E., Gupta, R., & Roubaud, D. (2018). Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2018.05.016
42. Kang, S. H., Yoon, S. M., Bekiros, S. & Uddin, G. S. (2019b). Bitcoin as hedge or safe haven: evidence from stock, currency, bond and derivatives markets. Computational Economics, 56(2), 1-17.
43. Kanat, E. & Oget, E. (2018). Bıtcoin ile Türkiye ve G7 Ülke Borsaları Arasındaki Uzun ve Kısa Dönemli İlişkilerin İncelenmesi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 3(3), 601-614.
44. Kilic, Y. & Cutcu, I. (2018). Bitcoin Fiyatları İle Borsa İstanbul Endeksi Arasındaki Eşbütünleşme ve Nedensellik İlişkisi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13(3), 235-250.
45. Kocoglu, S., Cevik, Y. E. & Tanrıoven, C. (2016). Bitcoin Piyasalarının Etkinliği, Likiditesi ve Oynaklığı. İşletme Araştırmaları Dergisi, 8(2),77-97.
46. Kristoufek, L. (2015). What are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. Plos One, 10(4),1-15.
47. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13–37. doi:10.2307/1924119
48. Liu, H., & Gao, Y. C. (2019). The impact of corporate lifecycle on Fama–French three-factor model. Physica A: Statistical Mechanics and Its Applications, 513(1), 390–398. doi.org/10.1016/j.physa.2018.09.037.
49. Matkovskyy, R., & Jalan, A. (2019). From financial markets to Bitcoin markets: A fresh look at the contagion effect. Finance Research Letters, 31(1), 93-97.
50. McIver, R. P. & Kang, S. H. (2020). Financial crises and the dynamics of the spillovers between the US and BRICS stock markets. Research in International Business and Finance, 54(1), 1-20.
51. Montesdeoca, L. & Niranjan, M. (2020). On Comparing the Influences of Exogenous Information on Bitcoin Prices and Stock Index Values. Mathematıcal Research for Blockchain Economy, pp.93-100. DOI: 10.1007/978-3-030-37110-4_7
52. Nakamoto, S. (2009). Bitcoin: A Peer-to-Peer Electronic Cash System, Bitcoin. https://bitcoin.org/bitcoin.pdf
53. Omane-Adjepong, M., Alagidede, P., & Akosah, N. K. (2019). Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility. Physica A: Statistical Mechanics and its Applications, 514(1), 105-120.
54. Ong, B., Lee, T. M., Li, G., & Chuen, D. L. K. (2015). Evaluating the potential of alternative cryptocurrencies. In Handbook of digital currency (pp. 81-135). Academic Press.
55. Paule-Vianez, J., Prado-Rom_an, C. & G_omez-Mart_ınez, R. (2020). Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset? European Journal of Management and Business Economics, 29(3), 347-363.
56. Peng, Y., Albuquerque, P. H. M., de Sá, J. M. C., Padula, A. J. A., & Montenegro, M. R. (2018). The best of two worlds: Forecasting high frequency volatility for cryptocurrencies and traditional currencies with Support Vector Regression. Expert Systems with Applications, 97(1), 177-192.
57. Phillips, P.C. B & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
58. Ren, S., & Culpan, T. (2017). Ethereum’s wild ride needs to slow. Bloomberg Business Week, July 13.
59. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. doi:10.1016/0022-0531(76)90046-6
60. Salisu, A. A., Isah, K. & Akanni, L. O. (2018). Improving the predictability of stock returns with Bitcoin prices. The North American Journal of Economics and Finance, 48, 857-867. https://doi.org/10.1016/j.najef.2018.08.010
61. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
62. Szetela, B., Mentel, G., Bilan, Y. & Mentel, U. (2021). The relationship between trend and volume on the bitcoin market, Eurasian Economic Review, 11(1), 25-42.
63. Toda, H.Y. & Yamamoto, T. (1995). Statistical Inference in Vector Auto regressions with Possibly Integrated Process. Journal of Econometrics, 66(1-2), 225-250.
64. Umar, M., Hung, N. T., Chen, S., Iqbal, A. & Jebran, K. (2020). Are stock markets and cryptocurrencies connected. The Singapore Economic Review, 1(1), 1-20.
65. Wang, X., Chen, X. & Zhao, P. (2020). The Relationship Between Bitcoin and Stock Market. International Journal of Operations Research and Information Systems, 11(2), 22-35.
66. Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168(1), 21-24.