Price Bubbles in Cryptocurrency Market and Effects of Investor Attention

Öz

Cryptocurrencies, which do not have a certain intrinsic value and whose price cannot be predicted with economic fundamentals, are open to speculation and the view that their prices are driven by a number of behavioral factors is becoming increasingly common. It is thought that these features trigger bubble formations as well as high volatility and uncertainty in the market. To test this assumption, the GSADF approach introduced by Phillips, Shi and Yu (2015) was applied using the weekly data set for the period 07.08.2015-30.01.2022 for six cryptocurrencies. In the examined period, bubble formations were detected in all six cryptocurrencies. The findings obtained by logistic regression analysis showed that Google Trends search queries, which are used as the representative of investor attractiveness, are effective in the formation of these bubbles. It is thought that the obtained results will be beneficial for investors, portfolio managers and regulatory authorities.

Anahtar Kelimeler

• Financial Bubbles
• Bitcoin
• GSADF Method
• Google Trends

Kripto Para Piyasasında Fiyat Balonları ve Yatırımcı İlgisinin Etkisi

Öz

Belirli bir içsel değeri bulunmayan ve fiyatı ekonomik temellerle tahmin edilemeyen kripto paraların spekülasyona açık oldukları ve fiyatlarının davranışsal birtakım faktörler tarafından yürütüldüğü görüşü giderek yaygınlık kazanmaktadır. Söz konusu özelliklerin piyasada yüksek volatilite ve belirsizliğin yanı sıra balon oluşumlarını da tetiklediği düşünülmektedir. Bu varsayımı test etmek üzere altı kripto para birimi için 07.08.2015-30.01.2022 dönemine ait haftalık veri seti kullanılarak Phillips, Shi ve Yu (2015) tarafından tanıtılan GSADF yaklaşımı uygulanmıştır. İncelenen dönemde altı kripto paranın tamamında balon oluşumları tespit edilmiştir. Lojistik regresyon analizi ile elde edilen bulgular ise bu balonların oluşumunda yatırımcı ilgisinin temsilcisi olarak kullanılan Google Trends arama sorgularının etkili olduğunu göstermiştir. Ulaşılan sonuçların yatırımcılar, portföy yöneticileri ve düzenleyici otoriteler için faydalı olacağı düşünülmektedir.

Anahtar Kelimeler

• Finansal Balonlar
• Bitcoin
• GSADF Yöntemi
• Google Trends

Kaynakça

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