Kripto Para Piyasasının Borsa İstanbul Endeksleri Üzerindeki Etkileri

Yıl 2022, Cilt: 7 Sayı: 2, 481 - 499, 30.06.2022

Bekir Tamer Gökalp

https://doi.org/10.30784/epfad.1081705

Cited By: 3

Öz

Kripto para piyasalarında yaşanan gelişmelerin dünya borsaları üzerinde ciddi etki gösterdiği birçok çalışmada vurgulanmıştır. Bu etkiler sebebiyle dünya borsalarındaki dalgalanmalar artmış, yatırımcıların bu piyasaları daha yakından takip etmesi ve stratejilerini bu gelişmelere göre belirlemeleri zorunluluğu doğmuştur. Bu çalışmada kripto para piyasasında yaşanan gelişmelerin Borsa İstanbul (BİST) endeksleri üzerinde etkili olup olmadığı incelenmiştir. Bu amaçla en popüler üç kripto para birimi olan Bitcoin, Ethereum ve Ripple verileri kullanılmış, bunların BIST100, BIST30 ve bankacılık (XBANK) endeksleri üzerindeki yayılım etkileri araştırılmıştır. Petrol fiyatları (WTI) ve korku endeksi (VIX) değişkenleri de çalışmada kontrol değişkenleri olarak kullanılmıştır. 01/01/2014-31/12/2021 dönemine ilişkin gerçekleştirilen analizlerden elde edilen bulgular kripto para piyasalarından çalışmada incelediğimiz endekslere doğru pozitif bir yayılım etkisi olduğunu göstermiştir. Kontrol değişkenlerinden petrol fiyatlarının volatilite üzerinde tüm modellerde anlamlı etkisi olduğu tespit edilirken korku endeksinin etkisi konusunda farklı sonuçlar elde edilmiştir. Elde edilen bulgular borsa yatırımcılarının yatırım kararlarında çeşitli ekonomik değişkenleri takip etmeleri gerektiğinin yanı sıra kripto para piyasasındaki gelişmeleri de yakından izlemelerinin zorunlu olduğunu göstermiştir. 

Anahtar Kelimeler

Yayılım Etkisi, Kripto Paralar, Volatilite Yayılımı, BEKK-GARCH, DCC-GARCH

The Effects of Cryptocurrency Market on Borsa Istanbul Indices

Öz

It has been emphasized in many studies that the developments in the crypto money markets have a serious impact on the world stock markets. Due to these effects, the fluctuations in the world stock markets have increased, and it has become necessary for investors to follow these markets more closely and determine their strategies according to these developments. In this study, it was examined whether the developments in the crypto money market have an effect on Borsa Istanbul (BIST) indices. For this purpose, data of the three most popular cryptocurrencies Bitcoin, Ethereum and Ripple were used, and their spillover effects on BIST100, BIST30 and banking (XBANK) indices were investigated. Oil prices (WTI) and fear index (VIX) variables were also used as control variables in the study. The findings obtained from the analyses in our study carried out for the period 01/01/2014-31/12/2021 showed that there is a positive spillover effect from the crypto money markets to the indices we examined. While oil prices were found to be statistically significant in all models among the control variables, different results were obtained on the effect of the fear index. The findings show that it is imperative for stock market investors to closely monitor the developments in the crypto money market in addition to track various economic variables, in their investment decisions.

Anahtar Kelimeler

Spillover Effect, Cryptocurrencies, Volatility Spread, BEKK-GARCH, DCC-GARCH

Kaynakça

• Agosto, A. and Cafferata, A. (2020). Financial bubbles: A study of co-explosivity in the cryptocurrency market. Risks, 8(2). http://doi.org/10.3390/risks8020034
• Akar, C. (2007). Volatilite modellerinin öngörü performansları: ARCH, GARCH ve SWARCH karşılaştırması. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 8(2), 201-217. https://dergipark.org.tr/tr/pub/ifede
• Akar, C. and Çiçek, S. (2016). “New” monetary policy instruments and exchange rate volatility. Empirica, 43(1), 141-165. http://doi.org/10.1007/s10663-015-9298-y
• Alkan, B. and Çiçek, S. (2020). Spillover effect in financial markets in Turkey. Central Bank Review, 20(2), 53-64. http://doi.org/10.1016/j.cbrev.2020.02.003
• Baba, Y., Engle, R.F., Kraft, D.F. and Kroner, K.F. (1990). Multivariate simultaneous generalized ARCH. San Diego: University of California.
• Baur, D.G. and Lucey, B.M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229. http://doi.org/10.1111/j.1540-6288.2010.00244.x
• Beckmann, J., Berger, T. and Czudaj, R. (2015). Does gold act as a hedge or a safe haven for stocks? A smooth transition approach. Economic Modelling, 48, 16-24. http://doi.org/10.1016/j.econmod.2014.10.044
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
• Bouri, E., Shahzad, S.J.H., Roubaud, D., Kristoufek, L. and Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156-164. http://doi.org/10.1016/j.qref.2020.03.004
• Chancharat, S. and Butda, J. (2021). Return and volatility linkages between bitcoin, gold price, and oil price: Evidence from diagonal BEKK–GARCH model. In W.A. Barnet and B.S. Sergi (Eds.), Environmental, social, and governance perspectives on economic development in Asia (pp. 69-81). Bingley: Emerald Publishing Limited.
• Charfeddine, L., Benlagha, N. and Maouchi, Y. (2020). Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors. Economic Modelling, 85, 198-217. http://doi.org/10.1016/j.econmod.2019.05.016
• Çiçek, S. (2013). Asymmetry and non-linearity in monetary policy of a small-open economy: Evidence from Taylor rule. International Research Journal of Economics and Finance, 107, 140-153. Retrieved from http://www.internationalresearchjournaloffinanceandeconomics.com/
• Çiçek, S. and Akar, C. (2013). The asymmetry of inflation adjustment in Turkey. Economic Modelling, 31, 104-118. http://doi.org/10.1016/j.econmod.2012.11.026
• Çiçek, S., Akar, C. ve Yücel, E. (2011). Türkiye’de enflasyon beklentilerinin çapalanması ve güvenilirlik. İktisat İşletme ve Finans, 26(304), 37-55. http://doi.org/10.3848/iif.2011.304.3044
• Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. http://doi.org/10.1016/j.econlet.2018.01.004
• Dirican, C. and Canoz, I. (2017). The cointegration relationship between bitcoin prices and major world stock indices: An analysis with ARDL model approach. Journal of Economics Finance and Accounting, 4(4), 377-392. http://doi.org/10.17261/Pressacademia.2017.748
• Dyhrberg, A.H. (2016). Bitcoin, gold and the dollar -A GARCH volatility analysis. Finance Research Letters, 16, 85-92. http://doi.org/10.1016/j.frl.2015.10.008
• Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007. http://doi.org/10.2307/1912773
• Fang, L., Bouri, E., Gupta, R. and Roubaud, D. (2019). Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? International Review of Financial Analysis, 61, 29-36. http://doi.org/10.1016/j.irfa.2018.12.010
• Gayaker, S., Ağaslan, E., Alkan, B. and Çiçek, S. (2021). The deterioration in credibility, destabilization of exchange rate and the rise in exchange rate pass-through in Turkey. International Review of Economics and Finance, 76, 571-587. http://doi.org/10.1016/j.iref.2021.07.004
• Giudici, P. and Pagnottoni, P. (2019). High frequency price change spillovers in bitcoin markets. Risks, 7(4), 111. http://doi.org/10.3390/risks7040111
• Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M.C. and Siering, M. (2014). Bitcoin-asset or currency? Revealing users' hidden intentions. Revealing users' hidden intentions. Paper presented at the 22nd European Conference on Information Systems. Tel Aviv, Israel. Retrieved from https://aisel.aisnet.org/ecis2014/proceedings/track10/15/
• Gronwald, M. (2019). Is bitcoin a commodity? On price jumps, demand shocks, and certainty of supply. Journal of International Money and Finance, 97, 86-92. http://doi.org/10.1016/j.jimonfin.2019.06.006
• Guesmi, K., Saadi, S., Abid, I. and Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis, 63, 431-437. http://doi.org/10.1016/j.irfa.2018.03.004
• Gürsoy, S. and Tunçel, M.B. (2020). Kripto paralar ve finansal piyasalar arasındaki ilişkinin incelenmesi: Bitcoin ve seçili pay piyasaları arasında yapılmış nedensellik analizi (2010-2020). 3. Sektör Sosyal Ekonomi Dergisi, 55(4), 2126-2142. http://doi.org/10.15659/3.sektor-sosyal-ekonomi.20.10.1344
• Henriques, I. and Sadorsky, P. (2018). Can bitcoin replace gold in an investment portfolio? Journal of Risk and Financial Management, 11(3), 48. http://doi.org/10.3390/jrfm11030048
• Hoang, L.T. and Baur, D.G. (2020). Forecasting bitcoin volatility: Evidence from the options market. Journal of Futures Markets, 40(10), 1584-1602. http://doi.org/10.1002/fut.22144
• Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3-6. http://doi.org/10.1016/j.econlet.2017.06.023
• Kayral, İ.E. (2020). En yüksek piyasa değerine sahip üç kripto paranın volatilitelerinin tahmin edilmesi. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 152-168. http://doi.org/10.14784/marufacd.688447
• Klein, T., Thu, H.P. and Walther, T. (2018). Bitcoin is not the new gold -A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105-116. http://doi.org/10.1016/j.irfa.2018.07.010
• Koçoğlu, Ş., Çevik, Y.E. ve Tanrıöven, C. (2016). Bitcoin piyasalarının etkinliği, likiditesi ve oynaklığı. İşletme Araştırmaları Dergisi, 8(2), 77-97. http://doi.org/10.1022/jobr.2016.09.003
• Korkmaz, Ö. (2018). The relationship between bitcoin, gold and foreign exchange returns: The case of Turkey. Turkish Economic Review, 5(4), 359-374. Retrieved from http://kspjournals.org/index.php/TER/
• Mensi, W., Rehman, M.U., Al-Yahyaee, K.H., Al-Jarrah, I.M.W. and Kang, S.H. (2019). Time frequency analysis of the commonalities between bitcoin and major cryptocurrencies: Portfolio risk management implications. The North American Journal of Economics and Finance, 48, 283-294. http://doi.org/10.1016/j.najef.2019.02.013
• Öget, E. ve Kanat, E. (2018). Bitcoin ile Türkiye ve G7 ülke borsaları arasındaki uzun ve kısa dönemli ilişkilerin incelenmesi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi (FESA), 3(3), 601-614. http://doi.org/10.29106/fesa.422113
• Selmi, R., Mensi, W., Hammoudeh, S. and Bouoiyour, J. (2018). Is bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787-801. http://doi.org/10.1016/j.eneco.2018.07.007
• Sivrikaya, A. (2020). The relationship between bitcoin trade volume and inflation uncertainty: Evidence from Turkey. Third Sector Social Economic Review, 55(4), 3037-3049. http://doi.org/10.15659/3.sektor-sosyal-ekonomi.20.12.1506
• Symitsi, E. and Chalvatzis, K.J. (2019). The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks. Research in International Business and Finance, 48, 97-110. http://doi.org/10.1016/j.ribaf.2018.12.001
• Şahin, S. and Cicek, S. (2018). Interest rate pass-through in Turkey during the period of unconventional interest rate corridor. Quantitative Finance and Economics, 2(4), 837-859. http://doi.org/10.3934/qfe.2018.4.837
• Tiwari, A.K., Raheem, I.D. and Kang, S.H. (2019). Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model. Physica A: Statistical Mechanics and Its Applications, 535, 122295. https://doi.org/10.1016/j.physa.2019.122295
• Tiwari, A.K. and Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85-91. http://doi.org/10.1016/j.resourpol.2015.09.003
• Urquhart, A. and Zhang, H. (2019). Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63, 49-57. http://doi.org/10.1016/j.irfa.2019.02.009
• Vardar, G. and Aydogan, B. (2019). Return and volatility spillovers between Bitcoin and other asset classes in Turkey: Evidence from VAR-BEKK-GARCH approach. EuroMed Journal of Business, 14(3). https://doi.org/10.1108/EMJB-10-2018-0066
• Wang, G.J., Xie, C., Wen, D. and Zhao, L. (2019). When bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to bitcoin. Finance Research Letters, 31, 489-497. http://doi.org/10.1016/j.frl.2018.12.028