Blockchain Analiz Göstergelerinin Bitcoin Fiyatı Üzerindeki Etkisi

Yıl 2022, Cilt: 18 Sayı: 2, 109 - 140, 30.12.2022

Yunus Kalkan , Halim Tatlı

Öz

Bitcoin, pek çok kullanıcıyı kendine çekmeyi başaran, Blockchain piyasasında en çok ilgi gören ilk başarılı kripto para birimi konumundadır. Bitcoin fiyatının aşırı oynak yapısı, araştırmacıları Bitcoin fiyat hareketlerini incelemeye sevk etmiş ve bu konuda oldukça fazla çalışmanın yapılmasını sağlamıştır. Bu tez, Bitcoin fiyatını belirleyen bazı değişkenler kullanılarak Bitcoin fiyat hareketlerinin yönünü anlamaya dönük analizler içermektedir. Çalışmanın analiz dönemi için Ocak 2012 – Aralık 2021 tarihlerini kapsayan her ayın son gününe ait verilerden oluşan zaman serileri kullanılmıştır. Bitcoin fiyatı bağımlı değişken; Harcanan Çıktı Kâr Oranı (SOPR), Madenci Kârlılığı (PM), Bitcoin Aktif Adres (BAA), Google Trendler (GT) ve Dow Jones Borsası Endüstri Endeksi (DJIA) bağımsız değişkenler olarak seçilmiştir. Çalışmanın değişkenlerinin ilk önce durağanlık seviyeleri tespit edilmiş, ardından ARDL Sınır Testi ve Toda-Yamamoto Nedensellik Testi uygulanarak analiz sonuçlarına ulaşılmıştır. Elde edilen ARDL (3,0,3,0,0,0) modelinin kısa ve uzun dönem bulgularına göre: Kısa dönemde Blockchain ağına özgü göstergelerden SOPR, PM ve BAA değişkenleri Bitcoin fiyatını anlamlı olarak pozitif etkilediği tespit edilmiştir. lnDJIA ve GT değişkenleri ile Bitcoin fiyatı arasında anlamlı bir ilişki bulunmamıştır. Uzun dönemde ise SOPR, PM, lnDJIA ve BAA anlamlı ve pozitif yönde Bitcoin fiyatı ile ilişkili iken GT ile anlamlı bir ilişkinin varlığı tespit edilmemiştir. Toda-Yamamoto test sonuçlarına göre ise Bitcoin Fiyatı ile SOPR değişkeni arasında çift yönlü, BAA değişkeni arasında tek yönlü Granger nedensellik ilişkisi bulunmuştur.

Anahtar Kelimeler

Bitcoin, Bitcoin Fiyat Hareketliği, Blockchain, Kripto Para

The Effect of Blockchain Analysis Indicators on Bitcoin Price

Öz

Bitcoin is the first successful cryptocurrency that has attracted the most attention in the Blockchain market, which has managed to attract many users. The extremely volatile nature of the Bitcoin price has prompted researchers to study Bitcoin price movements and has enabled a lot of work to be done on this issue. In this thesis, it contains analyzes aimed at understanding the direction of Bitcoin price movements using some variables that determine the Bitcoin price. January December 2021 – January 2012 For the analysis period of the study, time series consisting of the data of the last day of each month covering the dates were used. Bitcoin price, dependent variable; Spent Output Profit Ratio (SOPR), Miner Profitability (PM), Bitcoin Active Address (BAA), Google Trends (GT) and Dow Jones Stock Exchange Industry Index (DJIA) were selected as independent variables. The stationarity levels of the variables of the study were determined first, then the ARDL Boundary Test and Toda-Yamamoto Causality Test were applied to reach the results of the analysis. According to the short and long-term findings of the ARDL (3,0,3,0,0,0) model obtained: In the short term, SOPR, PM and BAA variables, which are specific to the Blockchain network, have been found to have a significant positive effect on the Bitcoin price. There was no significant relationship between lnDJIA and GT variables and Bitcoin price. In the long term, while SOPR, PM, lnDJIA and BAA were significantly and positively associated with Bitcoin price, no significant relationship was found with GT. According to the Toda-Yamamoto test results, a two-way Granger causality relationship was found between the Bitcoin Price and the SOPR variable, and a one-way Granger causality relationship between the BAA variable.

Anahtar Kelimeler

Bitcoin, Bitcoin Price Volatility, Blockchain, Cryptocurrency

Kaynakça

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