KRİPTO PARA PİYASALARINDA SÜRÜ DAVRANIŞLARININ ANALİZİ: EN BÜYÜK KRİPTO PARA BİRİMLERİNDEN YENİ KANITLAR

Yıl 2023, Cilt: 8 Sayı: 1, 107 - 120, 31.03.2023

Hilmi Tunahan Akkuş , İsmail Çelik , Tayfun Karakaya

https://doi.org/10.29106/fesa.1216301

Cited By: 3

Öz

Bu çalışmanın amacı kripto para getirilerinde sürü davranışının varlığının Chang vd. (2000) tarafından geliştirilen CSAD sürü davranışı ölçüm yöntemi kullanılarak araştırılmasıdır. Çalışmada piyasa büyüklüğü açısından en büyük sekiz kripto para birimi ile kripto para piyasasını temsilen MVDA endeksinin 06.12.2018-11.03.2022 dönemini kapsayan günlük kapanış verileri kullanılmaktadır. Araştırma sonucunda hem genel piyasa hem de aşağı ve yukarı piyasa durumlarına göre En Küçük Kareler (EKK) tahmin bulguları, kripto para piyasasında sürü karşıtı davranış (negatif sürü davranışı) durumunun varlığına ilişkin kanıtlar sunmaktadır. Diğer taraftan GARCH modeli sonuçları, aşağı piyasa durumunda sürü karşıtı davranış durumunun varlığı yönünde EKK tahmin sonucunu destekler nitelikte kanıtlar sunarken, diğer durumlarda istatistiksel olarak anlamsız sonuçlar sunmaktadır. Kripto para piyasalarında sürü karşıtı davranış ile ilgili kanıtların elde edilmesi, ilgili piyasada işlem yapanların piyasa çapında fikir birliği yapmadıklarını yani kendi değerlendirmelerine göre işlem yaptıklarını göstermektedir.

Anahtar Kelimeler

CSAD, Davranışsal Finans, Kripto Para, Sürü Davranışı, Sürü Karşıtı Davranış, Behavioral Finance, Cryptocurrency, Herding Behavior, Anti-Herding Behavior

ANALYSIS OF HERDING BEHAVIOR IN CRYPTOCURRENCY MARKETS: NEW EVIDENCE FROM TOP CRYPTOCURRENCIES

Öz

The aim of this study is to determine the existence of herding behavior in cryptocurrency returns using the CSAD herding behavior measurement method developed by Chang et al. (2000). In the study, the eight largest cryptocurrencies in terms of market capitalization and the Daily closing data of the MVDA index covering the period of 06.12.2018-11.03.2022 are used to represent the cryptocurrency market. As a result of the investigation, according to both the general market and the up-down market conditions, the estimation findings of the ordinary least squares (OLS) provide evidence for the existence of anti-herding behavior (negative herding) in the cryptocurrency market. On the other hand, while the results of the GARCH model provide evidence supporting the OLS prediction result for the presence of anti-herding behavior in the down market situation, they provide statistically insignificant results in other situations. Obtaining evidence of anti-herding behavior in cryptocurrency markets shows that traders in the relevant market do not have a market-wide consensus, that is, they trade according to their own assessment.

Anahtar Kelimeler

Behavioral Finance, Cryptocurrency, Herding Behavior, Anti-Herding Behavior

Kaynakça

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• İnternet Kaynakları
• www.cci30.com (Erişim Tarihi: 14.06.2022).
• www.coinmarketcap.com (Erişim Tarihi: 14.06.2022).
• www.royalton-crix.com (Erişim Tarihi: 14.06.2022).
• www.marketvector.com (Erişim Tarihi: 15.09.2022).