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Bitcoin’in Çeşitlendirme ve Riski Dengeleme Kabiliyeti

Year 2023, Volume: 8 Issue: 3, 519 - 538, 30.09.2023
https://doi.org/10.30784/epfad.1333841

Abstract

Kripto varlıklar bilhassa son yıllarda popülaritesini arttırmış bir yatırım alternatifi özelliği taşımaktadırlar. Bu bakımdan bu konuda gerçekleştirilecek çalışmalar yatırımcıların rasyonel yatırım kararları verebilmesi açısından önem arz etmektedir. Çalışmada Bitcoin’in hisse senedi piyasalarına bir çeşitlendirme ya da riski dengeleme aracı olarak kullanılıp kullanılamayacağı araştırılmak istenmiştir. Bu bağlamda Bitcoin’in BIST 100 ve S&P 500 endeksleri ile olan ilişkisi incelenmiştir. Eşbütünleşme ilişkisini araştırmaya yönelik Engle-Granger Eşbütünleşme Analizi, uzun dönem katsayılarının tahminlenmesi amacıyla ise FMOLS ve DOLS yöntemleri kullanılmıştır. İnceleme periyodu olarak Bitcoin’in işlem hacmi bakımından yüksek seyrettiği 02.11.2020-19.07.2022 tarih aralığı seçilmiştir. Ayrıca ilgili dönem Bitcoin’in boğa ve ayı periyotlarını kapsayan dört alt döneme ayrılmıştır. Araştırma sonucunda Bitcoin ile BIST 100 arasında koentegre bir ilişkinin varlığına ulaşılamamıştır. Bitcoin ile S&P 500 arasında ise 1. boğa ve 2. ayı periyotlarında bir ilişki saptanmış; bu periyotlarda Bitcoin’in S&P 500 üzerinde pozitif bir etkisi bulgulanmıştır. Çalışmada, Bitcoin ile BIST 100 endeksi arasında tüm dönemlerde, S&P 500 için ise beş dönemin üçünde eşbütünleşme ilişkisinin olmadığı tespit edilmiştir. Bu bulgular, özellikle BIST 100 yatırımcılarının, portföylerinde Bitcoin’e de yer vermeleri halinde daha iyi çeşitlendirilmiş portföyler elde edebileceklerine dair güçlü kanıtlar sunmaktadır.

References

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  • Grobys, K. (2021). When Bitcoin has the flu: On Bitcoin’s performance to hedge equity risk in the early wake of the COVID-19 outbreak. Applied Economics Letters, 28(10), 860-865. https://doi.org/10.1080/13504851.2020.1784380
  • Guesmi, K., Saadi, S., Abid, I. and Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437. https://doi.org/10.1016/j.irfa.2018.03.004
  • Gürsoy, S. and Tunçel, M.B. (2020). Kripto paralar ve finansal piyasalar arasındaki ilişkinin incelenmesi: Bitcoin ve seçili pay piyasaları arasında yapılmış nedensellik analizi (2010-2020). Üçüncü Sektör Sosyal Ekonomi Dergisi, 55(4), 2126-2142. doi: 10.15659/3.sektor-sosyal-ekonomi.20.10.1344
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  • Kapar, B. and Olmo, J. (2021). Analysis of Bitcoin prices using market and sentiment variables. The World Economy, 44(1), 45-63. https://doi.org/10.1111/twec.13020
  • Klein, T., Thu, H.P. and Walther, T. (2018). Bitcoin is not the new gold – A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105-116. https://doi.org/10.1016/j.irfa.2018.07.010
  • Konuşkan, A., Teker, T., Ömürbek, V. ve Bekci, İ. (2019). Kripto paraların fiyatları arasındaki ilişkinin tespitine yönelik bir araştırma. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 311-318. Erişim adresi: https://dergipark.org.tr/en/pub/sduiibfd/
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Diversification and Hedging Capability of Bitcoin

Year 2023, Volume: 8 Issue: 3, 519 - 538, 30.09.2023
https://doi.org/10.30784/epfad.1333841

Abstract

Cryptocurrencies, especially in recent years, have gained popularity as an alternative investment. In this regard, studies conducted in this field are important for investors to make rational investment decisions. This study aims to investigate whether Bitcoin can be used for diversification or hedging in stock markets. In this context, the relationship between Bitcoin and BIST 100, S&P 500 indices has been examined. The Engle-Granger Cointegration Analysis has been used to investigate the cointegration relationship, and the FMOLS and DOLS methods have been used to estimate long-term coefficients. The study period has been selected as the period from 02.11.2020 to 19.07.2022, during which Bitcoin had a high trading volume. Additionally, this period has been divided into four sub-periods, covering both bull and bear periods of Bitcoin. The research results indicate that no cointegrating relationship could be found between Bitcoin and BIST 100. However, a relationship has been found between Bitcoin and S&P 500 during the 1. bull and 2. bear periods. During these periods, a positive impact of Bitcoin on the S&P 500 has been found. In the study, it has been determined that there is no cointegration relationship between Bitcoin and the BIST 100 index for all periods, while for the S&P 500, there is no cointegration relationship in three out of five periods. These findings provide strong evidence, especially for BIST 100 investors, that by including Bitcoin in their portfolios, they can achieve better-diversified portfolios.

References

  • Baur, D.G. and Lucey, B.M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
  • Beck, T., Demirgüç-Kunt, A. and Levine, R. (2003). Law and finance: Why does legal origin matter? Journal of Comparative Economics, 31(4), 653-675. https://doi.org/10.1016/j.jce.2003.08.001
  • Bouri, E., Gupta, R., Tiwari, A.K. and Roubaud, D. (2017a). Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters, 23, 87-95. https://doi.org/10.1016/j.frl.2017.02.009
  • Bouri, E., Molnár, P., Azzi, G., Roubaud, D. and Hagfors, L.I. (2017b). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
  • Bouri, E., Roubaud, D. and Shahzad, S.J.H. (2020). Do Bitcoin and other cryptocurrencies jump together? The Quarterly Review of Economics and Finance, 76, 396-409. https://doi.org/10.1016/j.qref.2019.09.003
  • Briere, M., Oosterlinck, K. and Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with Bitcoin. Journal of Asset Management, 16, 365-373. https://doi.org/10.1057/jam.2015.5
  • Caseretto, F. (2018). Finansal korunma hedging (2. Bs.). İstanbul: Scala Yayıncılık.
  • Chan, W.H., Le, M. and Wu, Y.W. (2019). Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. The Quarterly Review of Economics and Finance, 71, 107-113. https://doi.org/10.1016/j.qref.2018.07.004
  • Conlon, T., Corbet, S. and McGee, R.J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. https://doi.org/10.1016/j.ribaf.2020.101248
  • Conlon, T. and McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. https://doi.org/10.1016/j.frl.2020.101607
  • Conlon, T., Lucey, B.M. and Uddin, G.S. (2018). Is gold a hedge against inflation? A wavelet time-scale perspective. Review of Quantitative Finance and Accounting, 51(2), 317-345. https://doi.org/10.1007/s11156-017-0672-7
  • Conover, C.M., Jensen, G.R., Johnson, R.R. and Mercer, J.M. (2010). Is now the time to add commodities to your portfolio? The Journal of Investing, 19(3), 10-19. doi:10.3905/joi.2010.19.3.010
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B. and Yarovaya, L. (2018). Exploring the dynamic R-relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34. https://doi.org/10.1016/j.econlet.2018.01.004
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(1), 427-431. https://doi.org/10.1080/01621459.1979.10482531
  • Dickey, D.A. and Fuller, W.A. (1981). Likelihood ratio tests for autoregressive time series with a unit root. Econometrica, 49, 1057-1072. https://doi.org/10.1080/01621459.1979.10482531
  • Dirican, C. and Canoz, I. (2017). The cointegration relationship between Bitcoin prices and major world stock indices: An analysis with ARDL model approach. Journal of Economics Finance and Accounting, 4(4), 377-392. https://doi.org/10.17261/Pressacademia.2017.748
  • Dyhrberg, A.H. (2016). Hedging capabilities of Bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139-144. https://doi.org/10.1016/j.frl.2015.10.025
  • Engle, R.F. and Granger, C.W.J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276. https://doi.org/10.2307/1913236
  • Engle, R.F. and Yoo, B.S. (1987). Forecasting and testing in co-integrated systems. Journal of Econometrics, 35(1), 143-159. https://doi.org/10.1016/0304-4076(87)90085-6
  • Ergungor, O.E. (2003). Market- vs. bank-based financial systems: Do rights and regulations really matter? Journal of Banking and Finance, 28(12), 2869-2887. https://doi.org/10.1016/j.jbankfin.2003.04.001
  • Gil-Alana, L.A., Abakah, E.J.A. and Rojo, M.F.R. (2020). Cryptocurrencies and stock market indices. Are they related? Research in International Business and Finance, 51, 101063. https://doi.org/10.1016/j.ribaf.2019.101063
  • Grobys, K. (2021). When Bitcoin has the flu: On Bitcoin’s performance to hedge equity risk in the early wake of the COVID-19 outbreak. Applied Economics Letters, 28(10), 860-865. https://doi.org/10.1080/13504851.2020.1784380
  • Guesmi, K., Saadi, S., Abid, I. and Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437. https://doi.org/10.1016/j.irfa.2018.03.004
  • Gürsoy, S. and Tunçel, M.B. (2020). Kripto paralar ve finansal piyasalar arasındaki ilişkinin incelenmesi: Bitcoin ve seçili pay piyasaları arasında yapılmış nedensellik analizi (2010-2020). Üçüncü Sektör Sosyal Ekonomi Dergisi, 55(4), 2126-2142. doi: 10.15659/3.sektor-sosyal-ekonomi.20.10.1344
  • Hillier, D., Draper, P. and Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62(2), 98-106. https://doi.org/10.2469/faj.v62.n2.4085
  • Huang, Y., Duan, K. and Mishra, T. (2021). Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis. Finance Research Letters, 43, 102016. https://doi.org/10.1016/j.frl.2021.102016
  • Iacurci, G. (2023). Crypto is Gen Z’s most common investment. That may be risky, experts said. Retrieved from https://www.cnbc.com/2023/06/07/crypto-is-gen-zs-most-common-investment-that- may-be-risky.html
  • Ji, Q., Bouri, E., Gupta, R. and Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. The Quarterly Review of Economics and Finance, 70, 203-213. https://doi.org/10.1016/j.qref.2018.05.016
  • Kapar, B. and Olmo, J. (2021). Analysis of Bitcoin prices using market and sentiment variables. The World Economy, 44(1), 45-63. https://doi.org/10.1111/twec.13020
  • Klein, T., Thu, H.P. and Walther, T. (2018). Bitcoin is not the new gold – A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105-116. https://doi.org/10.1016/j.irfa.2018.07.010
  • Konuşkan, A., Teker, T., Ömürbek, V. ve Bekci, İ. (2019). Kripto paraların fiyatları arasındaki ilişkinin tespitine yönelik bir araştırma. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 311-318. Erişim adresi: https://dergipark.org.tr/en/pub/sduiibfd/
  • Kristoufek, L. (2020). Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: New evidence from the COVID-19 pandemic. Frontiers in Physics, 8, 296. https://doi.org/10.3389/fphy.2020.00296
  • Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13-37. https://doi.org/10.1016/B978- 0-12-780850-5.50018-6
  • Maeso-Fernandez, F., Osbat, C., and Schnatz, B. (2006). Towards the estimation of equilibrium exchange rates for transition economies: Methodological issues and a panel cointegration perspective. Journal of Comparative Economics, 34(3), 499-517. https://doi.org/10.1016/j.jce.2006.05.003
  • Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.2307/2975974
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. https://doi.org/10.2307/1910098
  • Nguyen, K.Q. (2022). The correlation between the stock market and Bitcoin during COVID-19 and other uncertainty periods. Finance Research Letters, 46(Part A), 102284. https://doi.org/10.1016/j.frl.2021.102284
  • Pasha, A. and Ramzan, M. (2019). Asymmetric impact of economic value-added dynamics on market value of stocks in Pakistan stock exchange, a new evidence from panel co-integration, FMOLS and DOLS. Cogent Business & Management, 6(1), 1653544. https://doi.org/10.1080/23311975.2019.1653544
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There are 53 citations in total.

Details

Primary Language Turkish
Subjects Financial Forecast and Modelling, Investment and Portfolio Management, Finance and Investment (Other)
Journal Section Makaleler
Authors

Gökhan Berk Özbek 0000-0003-0288-069X

Publication Date September 30, 2023
Acceptance Date September 27, 2023
Published in Issue Year 2023 Volume: 8 Issue: 3

Cite

APA Özbek, G. B. (2023). Bitcoin’in Çeşitlendirme ve Riski Dengeleme Kabiliyeti. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 8(3), 519-538. https://doi.org/10.30784/epfad.1333841