KRİPTO PARALAR, COVID-19 PANDEMİSİ VE FİNANSAL BALONLAR: İLK BEŞ DİJİTAL VARLIK ÖRNEĞİ

Yıl 2021, Cilt: 14 Sayı: 1, 110 - 123, 30.06.2021

Onur Özdemir

https://doi.org/10.17218/hititsbd.881250

Cited By: 1

Öz

Bu çalışma, 2 Ocak 2020 ve 2 Ocak 2021 arasındaki dönemi kapsayan COVID-19 pandemisindeki kapanış seviyesinin günlük verilerini kullanarak ilk beş kripto para biriminin (Bitcoin, Ethereum, Ripple, Stellar ve Tether) fiyatlarındaki balon davranışını araştırmaktadır. Seçilen kripto para birimlerinin fiyatlarındaki balon davranışını test etmek için kullanılan teknik iki farklı yöntem ile araştırılmaktadır. Bu yöntemler birden çok balon dönemini belirlemek için Eküs Genişletilmiş Dickey-Fuller (Supremum Augmented Dickey-Fuller-SADF) (Phillips et al., 2011) ve Genelleştirilmiş Eküs Genişletilmiş Dickey-Fuller (Generalized Supremum Augmented Dickey-Fuller-GSADF) (Phillips et al., 2015) tarafından oluşturulan test istatistiklerinin kapsamaktadır. Elde edilen ampirik sonuçlar artan finansal istikrarsızlık nedeniyle Tether fiyatları dışında dijital varlık piyasasında potansiyel bir krizin ortaya çıktığını Bitcoin, Ethereum, Ripple ve Stellar fiyatlarında tekrar eden ve ortak bir balon davranışı çerçevesinde ortaya koymaktadır.

Anahtar Kelimeler

Kripto Paralar , Balon Davranışı , COVID-19 , Finansal İstikrarsızlık , Özyinelemeli Sağ-Kuyruk Testi

CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS

Öz

This study explores the bubble behavior in the prices of top five cryptocurrencies (i.e., Bitcoin, Ethereum, Ripple, Stellar, and Tether) using daily data of the closing level at the COVID-19 pandemic, covering the period from January 2, 2020 to January 2, 2021. The testing procedure of the bubble behavior in selected cryptocurrencies prices is investigated by two methodologies. Those covers the test statistics originated by the Supremum Augmented Dickey-Fuller (SADF) (Phillips et al., 2011) and Generalized Supremum Augmented Dickey-Fuller (GSADF) (Phillips et al., 2015) to define several bubble periods. The empirical results emphasize that bubble behavior is not a diverse and stable feature of Bitcoin, Ethereum, Ripple, and Stellar prices, except the Tether prices, which point out the emergence of a potential crisis in the digital assets market through an increasing degree of financial instability.

Anahtar Kelimeler

Cryptocurrencies , Bubble Behavior , COVID-19 , Financial Instability , Recursive Right-Tailed Tests

Kaynakça

• Bouri, E., Shahzad, S. J. H. and Roubaud, D. (2019). Co-explosivity in the cryptocurrency market. Finance Research Letters, 29, 178-183. https://doi.org/10.1016/j.frl.2018.07.005
• Bouri, E., Gkillas, K. and Gupta, R. (2020). Trade uncertainties and the hedging abilities of Bitcoin. Economic Notes, 49(3), e12173. https://doi.org/10.1111/ecno.12173
• Ciaian, P., Rajcaniova, M. and Kancs, A. (2018). Virtual relationships: short- and long-run evidence from Bitcoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195. https://doi.org/10.1016/j.intfin.2017.11.001
• Conlon, T. and McGee, R. J. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. https://doi.org/10.1016/j.frl.2020.101607
• Conlon, T., Corbet, S. and McGee, R. J. (2020). Are cryptocurrencies a safe have for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. https://doi.org/10.1016/j.ribaf.2020.101248
• Corbet, S., Lucey, B. and Yarovaya, L. (2018). Datestamping the Bitcoin and Ethereum bubbles. Finance Research Letters, 26, 81-88. https://doi.org/10.1016/j.frl.2017.12.006
• Corbet, S. Larkin, C. and Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Finance Research Letters, 35, 10155. https://doi.org/10.1016/j.frl.2020.101554
• Geuder, J., Kinateder, H. and Wagner, N. F. (2019). Cryptocurrencies as financial bubbles: the case of Bitcoin. Finance Research Letters, 31, 179-184. https://doi.org/10.1016/j.frl.2018.11.011
• Goodell, J. W. and Goutte, S. (2020). Co-movement of COVID-19 and Bitcoin: evidence from wavelet coherence analysis. Finance Research Letters, forthcoming. https://doi.org/10.1016/j.frl.2020.101625
• James, N., Menzies, M. and Chan, J. (2019). Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19. Available at: https://arxiv.org/abs/1912.06193
• Kristoufek, L. (2020). Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: evidence from the COVID-19 pandemics. Available at: https://arxiv.org/abs/2004.00047
• Lahmiri, S. and Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons & Fractals, 138, 109936. https://doi.org/10.1016/j.chaos.2020.109936
• Mnif, E., Jarboui, A. and Mouakhar, K. (2020). How the cryptocurrency market has performed during COVID-19? A multifractal analysis. Finance Research Letters, 36, 101647. https://doi.org/10.1016/j.frl.2020.101647
• Phillips, P. C. B. and Shi, S-P. (2018). Financial bubble implosion and reverse regression. Econometric Theory, 34(4), 705-753. http://doi.org/10.1017/S01266466617000202
• Phillips, P. C. B. and Shi, S-P. (2020). Real time monitoring of asset markets: bubbles and crises. In: H. D. Vinod and C. R. Rao (Eds.), Handbook of statistics: financial, macro and micro econometrics using R, vol. 42, 61-80, Amsterdam: Elsevier
• Phillips, P. C. B., Wu, Y. and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? International Economic Review, 52, 201-226. https://doi.org/10.1111/j.1468-2354.2010.00625.x
• Phillips, P. C. B., Shi, S-P. and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56, 1043-1078. https://doi.org/10.1111/iere.12132
• Vidal-Tomás, D. and Ibañes, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259-265. https://doi.org/10.1016/j.frl.2018.03.013
• Yarovaya, L., Matkovskyy, R. and Jalan, A. (2020). The effects of a ‘Black Swan’ even (COVID-19) on herding behavior in cryptocurrency markets: evidence from cryptocurrency USD, EUR, JPY and KRW markets. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3586511
• Zhang, W., Wang, P., Li, X. and Shen, D. (2018). Quantifying the cross-correlations between online searches and Bitcoin market. Physica A: Statistical Mechanics and its Applications, 509, 657-672. https://doi.org/10.1016/j.physa.2018.06.073