Volatility and the Day of the Week Effect on Bitcoin Returns

Öz

Bitcoin emerged as a peer-to-peer electronic cash system with no owner and no central authority. It has increased in popularity over the years due to reasons such as being used as a means of exchange without the need for any intermediary, fast and low cost of transactions. In this process, the increases in its circulation amount and its demand and the sudden increases and decreases in its price caused high volatility. For this reason, in this study, it is aimed to determine the volatility in Bitcoin returns with the effect of the day of the week. In this direction, the result of the analysis has been relatively strengthened by using the data set consisting of 2877-day closing prices in the study. As a result of the analysis, it was determined that the day with the highest return was Monday and the day with the highest volatility in return was Saturday.

Anahtar Kelimeler

• Cryptocurrency-Bitcoin
• Volatility
• Predictive model
• ARCH-GARCH
• Day of Week effect

Bitcoin Getirileri Üzerinde Haftanın Günü ve Oynaklık Etkisi

Öz

Bitcoin, sahibi ve merkezi otoritesi bulunmayan eşler arası elektronik nakit sistemi olarak ortaya çıkmıştır. Herhangi bir aracıya ihtiyaç duymadan değişim aracı olarak kullanılması, işlemlerin hızlı ve maliyetinin düşüklüğü gibi sebeplerle de yıllar içerisinde popülaritesini artırmıştır. Bu süreçte dolaşımdaki miktarının ve talebindeki artışlar ile fiyatındaki ani yükselişler ve düşüşler yüksek oynaklığa neden olmuştur. Bu sebeple çalışmada, Bitcoin getirilerinde haftanın günü etkisi ile getirilerdeki oynaklığın belirlenmesi amaçlanmıştır. Bu doğrultuda çalışmada 2877 günlük kapanış fiyatlarından oluşan veri seti kullanılarak analiz sonucu göreli olarak sağlamlaştırılmıştır. Analiz sonucunda getirinin en yüksek olduğu gün pazartesi, getirideki oynaklığın en yüksek olduğu gün cumartesi olarak belirlenmiştir.

Anahtar Kelimeler

• Kripto para -Bitcoin
• Haftanın günü etkisi
• Tahmin modeli
• ARCH-GARCH
• Oynaklık

Kaynakça

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