Research Article
BibTex RIS Cite

Kripto Para Getirilerinde Haftanın Gün Etkisi

Year 2021, Volume: 25 Issue: 3, 1356 - 1372, 28.09.2021
https://doi.org/10.53487/ataunisosbil.883979

Abstract

Bu çalışmada, kripto para piyasalarında haftanın gün etkisinin varlığı araştırılmıştır. Kripto para getirilerinde takvim anomalilerinin varlığına ilişkin yapılan ampirik çalışmalar incelendiğinde çoğu araştırmacının sadece Bitcoin piyasasına odaklandığı görülmektedir. Bu çalışmada ise Bitcoin’in yanı sıra Ocak 2021 itibarıyla hem işlem hacmi hem de piyasa değeri açısından öne çıkan toplam on kripto para analiz edilmiştir. Kripto para birimleri farklı tarihlerde piyasaya sürüldüklerinden dolayı veri setinde ele alınan dönem farklılık göstermektedir. Tahmin edilen kukla değişkenli EKK, ARCH ve GARCH regresyon modelleri sonucunda haftanın her bir gününün farklı kripto para cinsleri üzerinde istatistiksel olarak anlamlı bir etkiye sahip oluğu tespit edilmiştir. Bulgular sekiz kripto para piyasasının etkin olmadığını göstermektedir.

References

  • Abdioglu, Z., Degirmenci, N. (2013). ‘‘İstanbul Menkul Kıymetler Borsasında Mevsimsel Anomaliler’’. Business and Economics Research Journal, 4(3), 55-73.
  • Aharon, D. Y., Qadan, M. (2019). ‘‘Bitcoin and the Day of the Week Effect’’. Finance Research Letters, 31. 415-425
  • Ariss, R. T., Rezvanian, R., Mehdian, S. M. (2011). ‘‘Calendar Anomalies in the Gulf Cooperation Council Stock Markets’’. Emerging Markets Review, 12(3), 293-307.
  • Basher, S. A., Sadorsky, P. (2006). ‘‘Day of the Week Effects in Emerging Stock Markets’’. Applied Economics Letters, 13(10), 621-628.
  • Baur, D. G., Cahill, D., Godfrey, K., Liu, Z. F. (2019). ‘‘Bitcoin Time of Day, Day of Week and Month of Year Effects in Returns and Trading Volume’’. Finance Research Letters, 31, 78-92.
  • Bitcoin. (2021). https://www.bitcoin.com
  • Bollerslev, T. (1986). ‘‘Generalized Autoregressive Conditional Heteroskedasticity’’. Journal of Econometrics, 31(3), 307-327.
  • Caporale, G. M., Plastun, A. (2019). ‘‘The Day of the Week Effect in The Cryptocurrency Market’’. Finance Research Letters, 31. 258-269.
  • Chen, G., Kwok, C. C. Y., Rui, O.M. (2000). ‘‘The Day of the Week Regularity in the Stock Markets of China’’. Journal of Multinational Financial Management, 11(2), 139–163.
  • Cross, F. (1973). ‘‘The Behavior of Stock Prices on Fridays and Mondays’’. Financial Analysts Journal, 29(6), 67-69.
  • Dangi, V. (2020). ‘‘Day of the Week Effect in Cryptocurrencies' Returns and Volatility’’. Ramanujan International Journal of Business and Research, 5, 139-167.
  • Dubois, M., Louvet, P. (1996). ‘‘The Day of the Week Effect: The International Evidence’’. Journal of Banking & Finance, 20(9), 1463-1484.
  • Durai, S. R. S., Paul, S. (2018). ‘‘Calendar Anomaly and the Degree of Market Inefficiency of Bitcoin’’. Madras School of Economics Working Paper, 168. Erişim: 01.02.2021. http://www.mse.ac.in/wp-content/uploads/2018/05/Working-Paper-16 8. pdf
  • Decourt, R., Chohan, U. W., Perugini, M. L. (2019). ‘‘Bitcoin Returns and the Weekday Effect’’. Erişim: 01.02.2021. file:///C:/Users/c/Downloads/SSRN-id34351 76.pdf
  • Engle, R. F. (1982). ‘‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’’. Econometrica: Journal of the Econometric Society, 987-1007.
  • Evci, S. (2020). ‘‘Bitcoin Piyasasında Haftanın Günü Anomalisi’’. Alanya Akademik Bakış, 4(1), 53-61.
  • Fama, E. F. (1970). ‘‘Efficient Capital Markets: a Review of Theory and Empirical Work”. Journal of Finance, 25(2), 383-417.
  • French, K. R. (1980). ‘‘Stock Returns and the Weekend Effect’’. Journal of Financial Economics, 8(1), 55-69.
  • Güneysu Atasoy, F., Yamak, N. (2011). ‘‘İMKB'de Haftanın Günü Etkisinin Kriz Dönemleri için Araştırılması’’. Finans Politik ve Ekonomik Yorumlar Dergisi, 48(560), 33-44.
  • Investopedia. (2021). https://www.investopedia.com
  • Ke, M. C., Chiang, Y. C., Liao, T. L. (2007). ‘‘Day of the Week Effect in the Taiwan Foreign Exchange Market’’. Journal of Banking & Finance, 31(9), 2847-2865.
  • Kurihara, Y., Fukushima, A. (2017). ‘‘The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective’’. Journal of Applied Finance & Banking, 7(3), 57-64.
  • Kinateder, H., Papavassiliou, V. G. (2019). ‘‘Calendar Effects in Bitcoin Returns and Volatility’’. Finance Research Letters, 38. Erişim: 01.02.2021. https://doi.org/10.10 16/j.frl.2019.101420
  • Ma, D., Tanizaki, H. (2019). ‘‘The Day of the Week Effect on Bitcoin Return and Volatility’’. Research in International Business and Finance, 49, 127-136.
  • McFarland, J. W., Pettit, R. R., Sung, S. K. (1982). ‘‘The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement’’. The Journal of Finance, 37(3), 693-715.
  • Mbanga, C. L. (2019). ‘‘The Day of the Week Pattern of Price Clustering in Bitcoin’’. Applied Economics Letters, 26(10), 807-811.
  • Robiyanto, R., Susanto, Y. A., Ernayani, R. (2019). ‘‘Examining the Day of the Week Effect and the Month of the Year Effect in Cryptocurrency Market’’. Jurnal Keuangan dan Perbankan, 23(3), 361-375.
  • Yaya, O. S., Ogbonna, E. A. (2019). ‘‘Do we Experience Day of the Week Effects in Returns and Volatility of Cryptocurrency?’’. MPRA Paper No. 91429, Erişim: 01.02.2021. https://mpra.ub.uni-muenchen.de/91429/1/MPRA_paper_91429.pdf
  • Yılmaz, F., Akkaya, G. (2020). ‘‘Kripto Para Piyasalarında Etkinlik; Haftanın Günü Etkisi: Bitcoin ve Litecoin Örneği’’. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178.
  • Zhang, J., Lai, Y., Lin, J. (2017). ‘‘The Day of the Week Effects of Stock Markets in Different Countries’’. Finance Research Letters, 20, 47-62.
Year 2021, Volume: 25 Issue: 3, 1356 - 1372, 28.09.2021
https://doi.org/10.53487/ataunisosbil.883979

Abstract

References

  • Abdioglu, Z., Degirmenci, N. (2013). ‘‘İstanbul Menkul Kıymetler Borsasında Mevsimsel Anomaliler’’. Business and Economics Research Journal, 4(3), 55-73.
  • Aharon, D. Y., Qadan, M. (2019). ‘‘Bitcoin and the Day of the Week Effect’’. Finance Research Letters, 31. 415-425
  • Ariss, R. T., Rezvanian, R., Mehdian, S. M. (2011). ‘‘Calendar Anomalies in the Gulf Cooperation Council Stock Markets’’. Emerging Markets Review, 12(3), 293-307.
  • Basher, S. A., Sadorsky, P. (2006). ‘‘Day of the Week Effects in Emerging Stock Markets’’. Applied Economics Letters, 13(10), 621-628.
  • Baur, D. G., Cahill, D., Godfrey, K., Liu, Z. F. (2019). ‘‘Bitcoin Time of Day, Day of Week and Month of Year Effects in Returns and Trading Volume’’. Finance Research Letters, 31, 78-92.
  • Bitcoin. (2021). https://www.bitcoin.com
  • Bollerslev, T. (1986). ‘‘Generalized Autoregressive Conditional Heteroskedasticity’’. Journal of Econometrics, 31(3), 307-327.
  • Caporale, G. M., Plastun, A. (2019). ‘‘The Day of the Week Effect in The Cryptocurrency Market’’. Finance Research Letters, 31. 258-269.
  • Chen, G., Kwok, C. C. Y., Rui, O.M. (2000). ‘‘The Day of the Week Regularity in the Stock Markets of China’’. Journal of Multinational Financial Management, 11(2), 139–163.
  • Cross, F. (1973). ‘‘The Behavior of Stock Prices on Fridays and Mondays’’. Financial Analysts Journal, 29(6), 67-69.
  • Dangi, V. (2020). ‘‘Day of the Week Effect in Cryptocurrencies' Returns and Volatility’’. Ramanujan International Journal of Business and Research, 5, 139-167.
  • Dubois, M., Louvet, P. (1996). ‘‘The Day of the Week Effect: The International Evidence’’. Journal of Banking & Finance, 20(9), 1463-1484.
  • Durai, S. R. S., Paul, S. (2018). ‘‘Calendar Anomaly and the Degree of Market Inefficiency of Bitcoin’’. Madras School of Economics Working Paper, 168. Erişim: 01.02.2021. http://www.mse.ac.in/wp-content/uploads/2018/05/Working-Paper-16 8. pdf
  • Decourt, R., Chohan, U. W., Perugini, M. L. (2019). ‘‘Bitcoin Returns and the Weekday Effect’’. Erişim: 01.02.2021. file:///C:/Users/c/Downloads/SSRN-id34351 76.pdf
  • Engle, R. F. (1982). ‘‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation’’. Econometrica: Journal of the Econometric Society, 987-1007.
  • Evci, S. (2020). ‘‘Bitcoin Piyasasında Haftanın Günü Anomalisi’’. Alanya Akademik Bakış, 4(1), 53-61.
  • Fama, E. F. (1970). ‘‘Efficient Capital Markets: a Review of Theory and Empirical Work”. Journal of Finance, 25(2), 383-417.
  • French, K. R. (1980). ‘‘Stock Returns and the Weekend Effect’’. Journal of Financial Economics, 8(1), 55-69.
  • Güneysu Atasoy, F., Yamak, N. (2011). ‘‘İMKB'de Haftanın Günü Etkisinin Kriz Dönemleri için Araştırılması’’. Finans Politik ve Ekonomik Yorumlar Dergisi, 48(560), 33-44.
  • Investopedia. (2021). https://www.investopedia.com
  • Ke, M. C., Chiang, Y. C., Liao, T. L. (2007). ‘‘Day of the Week Effect in the Taiwan Foreign Exchange Market’’. Journal of Banking & Finance, 31(9), 2847-2865.
  • Kurihara, Y., Fukushima, A. (2017). ‘‘The Market Efficiency of Bitcoin: A Weekly Anomaly Perspective’’. Journal of Applied Finance & Banking, 7(3), 57-64.
  • Kinateder, H., Papavassiliou, V. G. (2019). ‘‘Calendar Effects in Bitcoin Returns and Volatility’’. Finance Research Letters, 38. Erişim: 01.02.2021. https://doi.org/10.10 16/j.frl.2019.101420
  • Ma, D., Tanizaki, H. (2019). ‘‘The Day of the Week Effect on Bitcoin Return and Volatility’’. Research in International Business and Finance, 49, 127-136.
  • McFarland, J. W., Pettit, R. R., Sung, S. K. (1982). ‘‘The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement’’. The Journal of Finance, 37(3), 693-715.
  • Mbanga, C. L. (2019). ‘‘The Day of the Week Pattern of Price Clustering in Bitcoin’’. Applied Economics Letters, 26(10), 807-811.
  • Robiyanto, R., Susanto, Y. A., Ernayani, R. (2019). ‘‘Examining the Day of the Week Effect and the Month of the Year Effect in Cryptocurrency Market’’. Jurnal Keuangan dan Perbankan, 23(3), 361-375.
  • Yaya, O. S., Ogbonna, E. A. (2019). ‘‘Do we Experience Day of the Week Effects in Returns and Volatility of Cryptocurrency?’’. MPRA Paper No. 91429, Erişim: 01.02.2021. https://mpra.ub.uni-muenchen.de/91429/1/MPRA_paper_91429.pdf
  • Yılmaz, F., Akkaya, G. (2020). ‘‘Kripto Para Piyasalarında Etkinlik; Haftanın Günü Etkisi: Bitcoin ve Litecoin Örneği’’. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178.
  • Zhang, J., Lai, Y., Lin, J. (2017). ‘‘The Day of the Week Effects of Stock Markets in Different Countries’’. Finance Research Letters, 20, 47-62.
There are 30 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Rahmi Yamak 0000-0002-2604-1797

Ece Erkan 0000-0002-3706-0774

Publication Date September 28, 2021
Published in Issue Year 2021 Volume: 25 Issue: 3

Cite

APA Yamak, R., & Erkan, E. (2021). Kripto Para Getirilerinde Haftanın Gün Etkisi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(3), 1356-1372. https://doi.org/10.53487/ataunisosbil.883979

Creative Commons Lisansı
ATASOBEDAtatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Creative Commons Atıf-GayriTicari-AynıLisanslaPaylaş 4.0 Uluslararası Lisansı ile lisanslanmıştır.