Bitcoin as a New Hedge Instrument Tool: Bitconomy

Yıl 2018, Cilt: 11 Sayı: 2, 217 - 232, 25.04.2018

Mutlu Başaran Öztürk , Halil Arslan , Temur Kayhan , Mustafa Uysal

https://doi.org/10.25287/ohuiibf.415713

Cited By: 10

Öz

In
2017, Bitcoin's mcap exceeds level of $200 billion and it has come to agenda of
institutional investors. While the world's largest futures exchanges like CME
and CBOE list Bitcoin, Microsoft, PWC and Overstock have begun to define
Bitcoin in their platforms. Certain conditions are necessary for Bitcoin to be
seen as an investment tool; being traded in an efficient markets, clear pricing
formation and being diversification tool for portfolios. According to results
of Johansen test, Bitcoin moved independently from other traditional assets
except gold. When Bitcoin's so-called independent moves is defined as
Bitconomy, this means that a risky asset at the micro level can reduce risk of
portfolios in a macro sense. The fact that occupation of a very small area in
the financial system and degree of difficulty in Bitcoin production is in
conflict with the classical economy can be shown as reasons why correlations
are meaningless. The rise in Bitcoin’s price in North Korean and Ukrainian
tensions and the long-term positive relationship between gold and Bitcoin being
criticized for their high variance, indicating an interesting irony as Bitcoin
may be a safe haven in the future. The studies in literature show that variance
of Bitcoin decreases continuously.

Anahtar Kelimeler

Bitcoin, Portfolio Diversification, Hedge, Johansen, Bitconomy

Yeni Bir Hedge Enstrumanı Olarak Bitcoin: Bitconomi

Öz

2017 yılında Bitcoin’in piyasa değerinde önemli bir artış
yaşanmış ve 200 milyar dolar seviyesi aşılarak Bitcoin kurumsal yatırımcıların
gündemine gelmeye başlamıştır. CME ve CBOE gibi dünyanın en büyük vadeli işlem
borsaları Bitcoin’i listelerken Microsoft, PWC ve Overstock gibi kurumlar
Bitcoin’i tanımlamaya başlamışlardır. Bitcoin’in bir yatırım aracı olarak
görülebilmesi için bazı şartlar gereklidir. Verimli bir piyasada işlem görmesi,
fiyatlama formasyonunun belirginleşmesi ve portföyler için bir çeşitlendirme
aracı olabilmesi bunlardan bazıları olarak görülebilir. Ana akım varlık
grupları ile Bitcoin arasındaki uzun vadeli ilişkiyi Johansen Eşbütünleşme
testi ile inceleyen çalışma sonuçlarına göre Bitcoin’in altın haricinde diğer
geleneksel finansal ve emtia varlıklarından bağımsız bir hareket gösterdiği ortaya
çıkmıştır. Bitcoin’in söz konusu bağımsız hareketi Bitconomi olarak
tanımlanırken bu durum mikro seviyede riskli bir varlığın makro anlamda
portföylerin riskini düşürebileceği anlamına gelmektedir. Finansal sistemde çok
küçük bir alanı işgal etmesi ve Bitcoin üretimindeki zorluk derecesinin klasik
ekonomi ile çelişmesi korelasyonun anlamsız olmasının nedenleri arasında
gösterilebilir. Kuzey Kore ve Ukrayna gerilimlerinde Bitcoin fiyatındaki
artışlar ve altın ile Bitcoin arasındaki uzun vadeli pozitif ilişki yüksek varyansı
nedeniyle eleştirilen Bitcoin’in gelecekte güvenli liman olabileceği gibi
ilginç bir ironiye işaret etmektedir. Literatürdeki çalışmalar her geçen yıl
Bitcoin’in varyansının gerilediğini göstermektedir.

Anahtar Kelimeler

Bitcoin, Portföy Çeşitlendirmesi, Hedge, Johansen, Bitconomi

Kaynakça

• Alexander, E., Gasser, S., & Weinmayer, K. (2015, Jun 4). Caveat emptor: Does Bitcoin improve portfolio diversification? https://ssrn.com/abstract=2408997 adresinden alındı
• Baur, D., & Lucey, B. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Finance Reviews, 217–229.
• Baur, D., Lee, A., & Hong, K. (2017). Bitcoin: Medium of exchange or speculative assets? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2561183 adresinden alındı
• Bouoiyour, J., & Selmi, R. (2015). What does Bitcoin look like? Annals of Economics and Finance, 449-492.
• Bouri, E., Jalkh, N., Molnár, P., & Roubaud, D. (2017). Bitcoin for energy commodities before and after the December 2013 crash: Diversifier, hedge or safe haven? APPLIED ECONOMICS, 5063–5073.
• Brière, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with Bitcoin. Journal of Asset Management, 365-373.
• Carpenter, A. (2016). Portfolio diversification with Bitcoin. Journal of Undergraduate in France, 1-27.
• Ciaian, P., Rajcaniova, M., & Kancs, D. (2016). The economics of Bitcoin price formation. Applications Economics, 1799–1815.
• Dickey, D., & Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 427-431.
• Dwyer, G. (2015). The economics of bitcoin and similar private digital currencies. Journal of Financial Stability, 81-91.
• Dyhrberg, A. (2016). Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters, 139-144.
• Fama, E. (1970). Efficient capital market: A review of theory and empirical work. The Journal of Finance, 383-417.
• Garcia, D., Tessone, C., Mavrodiev, P., & Perony, N. (2014). The digital traces of bubbles: Feedback cycles between socio-economic signals in the Bitcoin economy. Journal of the Royal Society Interface, 20140623.
• Granger, C. W., C. (1969). Investigating causal relations by econometric models and cross-spectral methods. Journal of Econometric Society, 424-438.
• Halaburda, H., & Gandal, N. (2014). Competition in the Cryptocurrency Market. https://www.econstor.eu/bitstream/10419/103022/1/791932281.pdf adresinden alındı
• Jin Lim, S., & Masih, M. (2017). Exploring portfolio diversification opportunities in Islamic capital markets through Bitcoin: Evidence from MGARCH-DCC and Wavelet approaches. https://mpra.ub.uni-muenchen.de/79752/ adresinden alındı
• Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inferences on cointegration with applications to the demand for money. Oxford Bulletiın of Economics and Statistics, 169-210.
• Kristoufek, L. (2015). What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PloS one, 10(4), e0123923 adresinden alındı
• Moro, A., & Kajtazi, A. (2017, Kasım). Bitcoin, Portfolio Diversification and Chinese Financial Markets. SSRN Electronic Journal: DOI: 10.2139/ssrn.3062064 adresinden alındı
• Nadarajah, S., & Chu, J. (2017). On the inefficiency of Bitcoin. Economics Letters, 6–9.
• Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf adresinden alındı
• Narayan, P., & Smyth, R. (2005). Cointegration of stock markets between New Zealand, Australia and the G7 economies: Searching for co-movement under structural change. Australian Economic Papers, 231-247.
• Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 335-346.
• Rogojanu, A., & Badea, L. (2014). The issue of competing currencies. Case study–Bitcoin. Theoretical Applications Economics, 103–114.
• Toda, H., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 225-250.
• Velde, F. (2013). Bitcoins: A primer. The Federal Reserve Bank of Chicago. Essays on Issues: , 317, December.
• Yermack, D. (2013). Is Bitcoin a real currency? An economic appraisal. NBER Working Paper, No. 19747.