Bitcoin’in Çeşitlendirme ve Riski Dengeleme Kabiliyeti

Yıl 2023, , 519 - 538, 30.09.2023

Gökhan Berk Özbek

https://doi.org/10.30784/epfad.1333841

Öz

Kripto varlıklar bilhassa son yıllarda popülaritesini arttırmış bir yatırım alternatifi özelliği taşımaktadırlar. Bu bakımdan bu konuda gerçekleştirilecek çalışmalar yatırımcıların rasyonel yatırım kararları verebilmesi açısından önem arz etmektedir. Çalışmada Bitcoin’in hisse senedi piyasalarına bir çeşitlendirme ya da riski dengeleme aracı olarak kullanılıp kullanılamayacağı araştırılmak istenmiştir. Bu bağlamda Bitcoin’in BIST 100 ve S&P 500 endeksleri ile olan ilişkisi incelenmiştir. Eşbütünleşme ilişkisini araştırmaya yönelik Engle-Granger Eşbütünleşme Analizi, uzun dönem katsayılarının tahminlenmesi amacıyla ise FMOLS ve DOLS yöntemleri kullanılmıştır. İnceleme periyodu olarak Bitcoin’in işlem hacmi bakımından yüksek seyrettiği 02.11.2020-19.07.2022 tarih aralığı seçilmiştir. Ayrıca ilgili dönem Bitcoin’in boğa ve ayı periyotlarını kapsayan dört alt döneme ayrılmıştır. Araştırma sonucunda Bitcoin ile BIST 100 arasında koentegre bir ilişkinin varlığına ulaşılamamıştır. Bitcoin ile S&P 500 arasında ise 1. boğa ve 2. ayı periyotlarında bir ilişki saptanmış; bu periyotlarda Bitcoin’in S&P 500 üzerinde pozitif bir etkisi bulgulanmıştır. Çalışmada, Bitcoin ile BIST 100 endeksi arasında tüm dönemlerde, S&P 500 için ise beş dönemin üçünde eşbütünleşme ilişkisinin olmadığı tespit edilmiştir. Bu bulgular, özellikle BIST 100 yatırımcılarının, portföylerinde Bitcoin’e de yer vermeleri halinde daha iyi çeşitlendirilmiş portföyler elde edebileceklerine dair güçlü kanıtlar sunmaktadır.

Anahtar Kelimeler

Bitcoin, Borsa İstanbul 100 Endeksi, Standart & Poor's 500 Endeksi, Çeşitlendirme, Riski Dengeleme

Diversification and Hedging Capability of Bitcoin

Öz

Cryptocurrencies, especially in recent years, have gained popularity as an alternative investment. In this regard, studies conducted in this field are important for investors to make rational investment decisions. This study aims to investigate whether Bitcoin can be used for diversification or hedging in stock markets. In this context, the relationship between Bitcoin and BIST 100, S&P 500 indices has been examined. The Engle-Granger Cointegration Analysis has been used to investigate the cointegration relationship, and the FMOLS and DOLS methods have been used to estimate long-term coefficients. The study period has been selected as the period from 02.11.2020 to 19.07.2022, during which Bitcoin had a high trading volume. Additionally, this period has been divided into four sub-periods, covering both bull and bear periods of Bitcoin. The research results indicate that no cointegrating relationship could be found between Bitcoin and BIST 100. However, a relationship has been found between Bitcoin and S&P 500 during the 1. bull and 2. bear periods. During these periods, a positive impact of Bitcoin on the S&P 500 has been found. In the study, it has been determined that there is no cointegration relationship between Bitcoin and the BIST 100 index for all periods, while for the S&P 500, there is no cointegration relationship in three out of five periods. These findings provide strong evidence, especially for BIST 100 investors, that by including Bitcoin in their portfolios, they can achieve better-diversified portfolios.

Anahtar Kelimeler

Bitcoin, Borsa Istanbul 100 Index, Standart & Poor’s 500 Index, Diversification, Hedging

Kaynakça

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