Kripto Varlıklar Gerçek Dünya Şokları ile Ilişkili mi? Terörist Saldırıları, Bitcoin ve NFT’ler Arasındaki Bağlantı

Yıl 2023, , 113 - 132, 30.01.2023

Firuze Simay Sezgin , Caner Özdurak

https://doi.org/10.26650/JEPR1127482

Öz

Bu çalışmada, terörist saldırılarının Bitcoin fiyatlarındaki ve Değiştirilemez Jeton (NFT) satışlarındaki fiyat dalgalanmalarına etkisi araştırılmaktadır. Kripto paraların temel değer önermesi, Merkezi Olmayan Finans (DeFi) ve blokzincir teknolojisi daha hızlı, daha ucuz ve daha şeffaf bir finansal sistem için devrim niteliğinde gelişmelerdir. Buna karşın birçok terör örgütü, dünyanın dört bir yanındaki terörist faaliyetlerini finanse etmek için gelişmiş ülke ekonomilerinin güçlü bir şekilde regüle edilmiş konvansiyonel bankacılık sistemlerini kripto paraların anonim özelliğini kullanarak suistimal etme eğilimindedir. Makalemizdeki analizler, Bitcoin ve NFT piyasalarının getirilerinin terör saldırılarının organizasyon ve finansman aşamaları ile pozitif olarak ilişkili olduğunu, ancak terör sonrası oluşan koşullar ile negatif ilişkili olduğunu, yani saldırıdan önce pozitif anormal getiriler (AG) ürettiğini ancak saldırı sonrasında negatif anormal getiriler (AG) ürettiğini göstermektedir. Ek olarak Bitcoin haber etki eğrisi (HEE) neredeyse simetrik iken, NFT HEE’leri asimetriktir ve pozitif şokların oynaklık üzerindeki etkisi aynı büyüklükteki negatif şoklardan önemli ölçüde daha fazladır. Önceki çalışmalar terörist saldırı haberlerinin Bitcoin getirileri için iyi haber olduğunu savunduğu üzere, AG analiz sonuçlarının HEE sonuçlarıyla birleştirilmesi araştırmacılara daha sağlıklı sonuçlar sunacaktır.

Anahtar Kelimeler

Kripto paralar, Terör saldırıları, Getiri, Oynaklık, Olay çalışması, Haber etki eğrileri

Are Crypto Assets Connected to Real World Shocks? The Nexus Between Terrorist Attacks, Bitcoin and NFTs

Öz

This study investigates the impact of terrorist attacks on the price fluctuations of Bitcoin prices and NFT sales. Although the value proposition of cryptocurrencies, Decentralized Finance, and the whole blockchain revolution is a quicker, cheaper, and more transparent kind of finance, various terrorist organizations tend to use cryptocurrency anonymously to finance their terrorist activities around the world by bypassing the banking system of the regulated countries. The analyses reveal that returns of Bitcoin and NFT markets are positively associated with the organization and funding phases of the terrorist attacks but negatively associated with the post-terrorist attack circumstances, meaning that it generates positive abnormal returns (AR) prior to the attack but creates negative AR right after the attack. Furthermore, while the Bitcoin news impact curve (NIC) is nearly symmetric, the NFT NIC is asymmetric, with positive shocks having significantly more impact on future volatility than negative shocks of the same magnitude. Since previous studies claim that terrorist attack news is good news for Bitcoin returns, we will enrich our AR analysis results with NICs results.

Anahtar Kelimeler

Cryptocurrencies, Terror attacks, Returns, Volatility, Event study, News impact curves

Kaynakça

• Ahmad, T., Hussain, S., Akbar, M., & Rehman, U., A. (2022). Impact of terrorism on stock market: Evidence from developed and developing markets. International Journal of Disaster Risk Reduction, 70. google scholar
• Almaqableh, L., K. Reddy, V. Pereira, V. Ramiah, D. Wallace, & J. F. Veron. (2022). An investigative study of links between terrorist attacks and cryptocurrency markets. Journal of Business Research, 147:177-188. google scholar
• Amiram, D., Jørgensen, B. N., & Rabetti, D. (2022). Coins for bombs: The predictive ability of on-chain transfers for terrorist attacks. Journal of Accounting Research, 60(2): 427-466. google scholar
• Apergis, E., & N. Apergis. (2016). The impact of 11/13 Paris terrorist attacks on stock prices: Evidence from the international defence industry. Applied Economics Letters, 4(1): 1-4. google scholar
• Aslam, F., & H.-G. Kang. (2015). How different terrorist attacks affect stock markets. Defence and Peace Economics, 26(6): 634-648. google scholar
• Barros, C. P., & L.A. Gil-Alana. (2009). Stock market returns and terrorist violence: Evidence from the Basque country. Applied Economics Letters, 16: 1575-1579. google scholar
• Baur, D. G., T. Dimpfl, & K. Kuck. (2018). Bitcoin, gold and the US dollar – A replication and extension. Finance Research Letters, 25: 103-110. google scholar
• Bolt, W., & M. R. Van Oordt. (2020). On the value of virtual currencies. Journal of Money, Credit and Banking, 52(4): 835-862. google scholar
• Cam, M., & V. Ramiah. (2014). The influence of systematic risk factors and econometric adjustments in event studies. Review of Quantitative Finance and Accounting, 42(2): 171-189. google scholar
• Chen, A. H., & T.F. Siems. (2004). The effects of terrorism on global capital markets. European Journal of Political Economy, 20: 349-366. google scholar
• Ciaian, P., M. Rajcaniova, & d’A Kancs. (2016). The digital agenda of virtual currencies: Can Bitcoin become a global currency? Information Systems and e-Business Management, 14(4): 883- 919. google scholar
• Eldor, R., Hauser, S., Kroll, Y., & Shoukair, S. (2012). Financial markets and terrorism: the perspective of the two sides of the conflict. Journal of Business Administration Research, 1(2): 18-29. google scholar
• Fama, E. F., L. Fisher, M.C. Jensen, & R. Roll. (1969). The adjustment of stock prices to new information. International Economic Review, 10: 1-21. google scholar
• FATF. (2021). Ethnically or Racially Motivated Terrorism Financing. FATF, France. google scholar
• Foley, S., J. Karlsen, & T.J. Putnins. (2018). Sex, drugs, and Bitcoin: How much illegal activity is financed through cryptocurrencies? Review of Financial Studies, 32(5): 1798-1853. google scholar
• Gandal, N., J. Hamrick, T. Moore, & T. Oberman. (2018). Price manipulation in the Bitcoin ecosystem. Journal of Monetary Economics, 1-11. google scholar
• Glaser, F. K., Zimmerman, M. Haferkorn, M.C. Weber, & M. Siering. (2014). “Bitcoin – Asset or currency? Revealing users’ hidden intentions.” ECIS 2014 Proceedings – 22nd European Conference on Information Systems. google scholar
• Graham, M., & V. Ramiah. (2012). Global terrorism and adaptive expectations in financial markets: Evidence from Japanese equity market. Research in International Business and Finance, 26(1): 97-119. google scholar
• Hayes, A. S. (2017). Cryptocurrency value formation: An empirical study leading to a cost of production model for valuing Bitcoin. Telematics and Informatics, 34(7): 1308-1321. google scholar
• Howcroft, E. January 11, 2022. “NFT sales hit $25 billion in 2021, but growth shows signs of slowing.” Reuters.Retrieved from https://www.reuters.com/markets/europe/nft-sales-hit-25-billion- 2021-growth-shows-signsslowing-2022-01-10/ google scholar
• Irwin, A. S., & G. Milad. (2016). The use of crypto-currencies in funding violent jihad. Journal of Money Laundering Control, 19(1): 407-425. google scholar
• Li, X., & C.A. Wang. (2017). The technology and economic determinants of cryptocurrency exchange rates: The case of Bitcoin. Decision Support Systems, 95: 49-50. google scholar
• Lo, G., Marcelin, I., Bassene, T., & Sene, B. (2022). The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities. Finance Research Letters, 50: 103194. google scholar
• Nakamoto, S. (2008). “Bitcoin: A peer-to-peer electronic cash system.” Retrieved from http://bitcoin.org/bitcoin. pdf. google scholar
• Nelson, D. B. (1991). “Conditional Heteroskedasticity in asset returns: A new approach.” Econometrica, 59(2): 347-370. google scholar
• Nofer, M., P. Gomber, & O. Hinz. (2017). Blockchain. Business & Information Systems Engineering, 59: 183–187. google scholar
• Poyser, O. (2018). “Herding behavior in cryptocurrency markets.” Universitat Autònoma de Barcelona, Department of Applied Economics (November). Retrieved from http://arxiv.org/abs/1806.11348 google scholar
• Ramiah, V., & M. Graham. (2013). The impact of domestic and international terrorism on equity markets: Evidence from Indonesia. International Journal of Accounting and Information Management, 21(1): 91-107. google scholar
• Ramiah, V., B. Martin, & I. Moosa. (2013). How does the stock market react to the announcement of green policies? Journal of Banking and Finance, 37(5): 1747-1758. google scholar
• Ramiah, V., D. Wallace, J.F. Veron, K. Reddy, & R. Elliott. (2019). The effects of recent terrorist attacks on risk and return in commodity markets. Energy Economics, 77: 13-22. google scholar
• Ramiah, V. (2012). The impact of international terrorist attacks on the risk and return of Malaysian equity portfolios. Review of Pacific Basin Financial Markets and Policies, 15(4): 145-171. google scholar
• Richman, V., M.R. Santos, & J.T. Barkoulas. (2005). Short- and long-term effects of the September 11 event: The international evidence. International Journal of Theoretical and Applied Finance, 8(7): 947-958. google scholar
• Rotta, N., T. & Parana, E. (2022). Bitcoin as a digital commodity. New Political Economy, 27: 1046-1061. google scholar
• National Consortium for the Study of Terrorism and Responses to Terrorism (START). (2021). Global Terrorism Database [Data file]. Retrieved from https://www.start.umd.edu/gtd google scholar
• Tupman, W.A., & J. Harvey. (2009). Ten myths about terrorist funding. Journal of Money Laundering Control, 12(2): 189-205. google scholar
• Van Alstyne, M. (2014). Why Bitcoin has value. Communications of the ACM, 57(5): 30-32. google scholar
• Veron, J.F., I. Wang, H. Duong, V.N.T. Dang, H.N.A. Pham, D. Wallace, & V. Ramiah. (2017). How did the French and Belgium equity markets react to their domestic terrorist attacks? Journal of Business and Financial Affairs, 6(2): 1-4. google scholar
• Yermack, D. (2015). Is Bitcoin a real currency? An economic appraisal. In D.L.K. Chuen (Ed.), Handbook of digital currencies, Elsevier, London, 31-44. google scholar