Kripto Para Kripto Para Birimleri Arasındaki Getiri Ve Volatilite Yayılımının İncelenmesi

Yıl 2021, Cilt: 18 Sayı: 2, 1 - 16, 30.12.2021

Önder Büberkökü

Öz

Bu çalışmada Bitcoin (BTC), Binance coin (BNB), Bitcoin cash (BCH), Stellar (XLM) ve Chainlink’ten (LINK) oluşan beş kripto para birimi arasındaki getiri ve volatilite yayılımı günlük veriler kullanılarak incelenmiştir. Analizlerde hem getiri ve hem de volatilite yayılımını dikkate alabilen Cheung ve Ng (1996) testinden yararlanılmıştır. Çalışma bulgular öncelikle ilgili kripto para birimlerinin hem getiri oranları hem de volatilite değerleri arasında eşanlı güçlü bir etkileşimin olduğu sonucuna işaret etmektedir. Bulgular ayrıca Stellar’ın getiri yayılımı açısından kripto para piyasalarında öncü rolü oynadığını, Binance coin’in getiri oranlarının ise Chainlink dışındaki kripto para birimlerinin getiri oranlarındaki değişimlerden tek yönlü olarak etkilendiğini göstermektedir. Volatilite yayılımına ilişkin sonuçlar incelendiğinde ise kripto para piyasalarındaki öncü rolü belirgin bir şekilde Binance coin’in oynadığı görülmektedir. Bulgular ayrıca Bitcoin ile Chainlink ve Bitcoin cash ile Stellar’ı içeren iki varlıklı portföylerin beklenen portföy çeşitlendirme etkisini sunabileceklerini göstermektedir. Son olarak da tüm bu analizler sonucunda Bitcoin’in sahip olduğu piyasa değeri ve işlem hacmi büyüklüğüne rağmen ne getiri ne de volatilite yayılımında öncü bir rolünün bulunmadığı anlaşılmaktadır.

Anahtar Kelimeler

Kripto para birimleri, Getiri yayılımı, Volatilite yayılımı

Kaynakça

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