Finansal Piyasalar ve Bitcoin Bağımlılığı: Copula-Garch Yaklaşımı

Yıl 2020, Cilt: 25 Sayı: 98, 35 - 63, 26.06.2020

Binali Selman Eren , Mustafa Erek

https://doi.org/10.36484/liberal.662625

Cited By: 2

Öz

Bu makale, Bitcoin ile kritik finansal göstergeler arasındaki ilişkiyi Copula-GARCH yöntemini kullanarak incelemeyi amaçlamaktadır. Araştırmada, Bitcoin ve ABD 10-Yıllık Tahvil Verim, Altın Piyasa, ABD Doları Endeksi, S&P 500, FTSE 100 ve NIKKEI 225'in kapanış fiyatları kullanılmaktadır. Bildiğimiz kadarıyla, bu konuyu ampirik olarak inceleyen ilk makale budur. Analiz sonuçları, Bitcoin ve önde gelen finansal göstergeler arasında güçlü bir karşılıklı bağımlılık olmadığını göstermektedir. Bu bulgular, hem uzun vadeli hem de kısa vadeli stratejilerde alım satım faaliyetlerinde politika yapıcılara, bankalara, finansal yatırımcılara ve risk yöneticilerine fayda sağlayacak yeni bilgiler sunmaktadır.

Anahtar Kelimeler

Bitcoin, copula-garch, finansal piyasalar

The Interdependence of Bitcoin and Financial Markets: A Copula-Garch Approach

Öz

This paper aims to examine the relationship between Bitcoin and preeminent financial indicators using Copula-GARCH method. In the study, we use closing prices of Bitcoin and US 10-Year Bond Yield, Gold Spot US Dollar, US Dollar Index, S&P 500, FTSE 100 and NIKKEI 225. To our knowledge, our paper is the first to examine this issue empirically. Analysis results show that there is no strong interdependence between Bitcoin and preeminent financial indicators. These findings provide new information that will benefit policy makers, banks, financial investors, and risk managers in trading activities for both long-term and short-term strategies.

Anahtar Kelimeler

bitcoin, copula-garch, financial markets

Kaynakça

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