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THE EFFECT OF BITCOIN NEWS ON BITCOIN PRICE AND RETURN

Year 2023, Issue: 25, 220 - 234, 30.04.2023

Mehmet Songur , Seyit Ordu

https://doi.org/10.29029/busbed.1207935
Cited By: 2

Abstract

The aim of this study is to examine the relationship between Bitcoin-related news and both Bitcoin price and return within the scope of time-varying causality analysis with the help of daily data covering the period 1.1.2016-4.12.2022. The existence of the said relationship was investigated using Hacker and Hatemi-J (2006)'s Boostrapt-Based Toda-Yamamoto Causality Test and time-varying causality analysis. The causality test findings obtained indicate that there is a mutual causality relationship between the news about Bitcoin and the price of Bitcoin. On the other hand, when the causality findings between Bitcoin return and Bitcoin-related news are examined, it can be said that there is no causality relationship from Bitcoin-related news to Bitcoin returns, whereas there is a causality from Bitcoin returns to Bitcoin-related news. In addition, when we look at the course of the causality relations in question over time, it has been seen that the number of news about Bitcoin increased especially during the periods when Bitcoin prices increased. In this context, it is important for individuals who will invest in both Bitcoin and altcoin market to make transactions by taking into account the news about Bitcoin and altcoin in order for the investment to be healthy.

Keywords

Bitcoin Bitcoin News Bitcoin Price Causality

References

  • Al-Khazali, O. (2018). The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin. Economics Bulettin, 38(1), 373-382.
  • Ammous, S. (2018). Can cryptocureencies fulfil the functions of money?. The Ouarterly Review of Economics and Finance, 70, 38-51. https://doi.org/10.1016/j.qref.2018.05.010
  • Arcan, H. E. (2012). Şarkiyatçılığın aynasında Türkiye suretleri: Britanya basınında Türkiye'nin AB üyeliğine ilişkin haberlerde şarkiyatçı söylem. İstanbul University Journal of Sociology, 3(24), 83-117.
  • Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. http://dx.doi.org/10.1080/13504851.2014.916379
  • Coulter, A.K. (2022). The impact of news media on Bitcoin prices: modelling data driven discourses in the crypto-economy with natural language processing. Royal Society Open Science, 9(4), https://doi.org/10.1098/rsos.220276
  • Corbet, S., & Lucey, B.M., & Larkin, J.C. (2020). The contagion effects of the COVID-19 pandemic: evidence from Gold and cryptocurrencies. SSRN Electronic Journal, https://doi.org/10.2139/ssrn.3564443
  • Çütcü, İ., & Kılıç, Y. (2018). Bitcoin Fiyatları İle Dolar Kuru Arasındaki İlişki: Yapısal Kırılmalı Zaman Serisi Analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 16(4), 349-366. https://doi.org/10.11611/yead.474993
  • Çağlar, B., & Yavuz, U. (2021). Finansal haberlerin Bitcoin fiyatlarına etkisinin yapay sinir ağları ile analizi. Bilişim Teknolojileri Dergisi, 14(1), 65-78. https://doi.org/10.17671/gazibtd.703688
  • Dickey, A.D., & Fuller, A.W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root test. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Entrop, O., & Frijns, B., & Seruset, M. (2020). The determinants of price discovery on Bitcoin markets. The Journal of Futures Market. https://doi.org/: 10.1002/fut.22101
  • Fisher, I. (1911). Fisher’s ‘‘the purchasing power of money’’. Publications of the American Statistical Association, 12(96), 818-829. https://doi.org/10.2307/2965060
  • Flori, A. (2019). News and subjective beliefs: A Bayesian approach to Bitcoin investments, Research in International Business and Finance, 50(C), 336-356. https://doi.org /10.1016/j.ribaf.2019.05.007
  • Göktaş, P., & Aksu, B. (2021). Endüstri 4.0 ile beraber blok zincir (blockchain) teknolojisi, Bitcoin ve sanal paraların gelecekteki etkileri. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(3), 279-293.
  • Hacker, S.R., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Eeconomics, 38(13), 1489-1500. https://doi.org/10.1080/00036840500405763
  • https://coinmarketcap.com/en/currencies, 19.11.2022 tarihinde erişilmiştir.
  • https://webrazzi.com/2022/ , 10.07.2022 tarihinde erişilmiştir.
  • Karalevicius, V., & Degrande, N. & De Weerdt, J. (2018), Using sentiment analysis to predict interday Bitcoin price movement. Journal of Risk Finance, 19(1), 56-75. https://doi.org/10.1108/JRF-06-2017-0092
  • Kılıç, Y. ve Çütcü, İ. (2018). Bitcoin fiyatları ile borsa İstanbul endeksi arasındaki eşbütünleşme ve nedensellik İlişkisi. Osmangazi Üniversitesi İİBF Dergisi, 13(3): 235-250. https://doi.org/10.17153/oguiibf.455083
  • Koçoğlu, Ş., & Çevik, Y.E., & Tanrıöven, C. (2016). Bitcoin piyasalarının etkinliği, likiditesi ve oynaklığı. İşletme Araştırmaları Dergisi, 8(2), 77-97. https://doi.org/10.20491/isarder.2016.170
  • Lyócsa, Š., & Molnár, P., & Plíhal, T., & Širaňová, M. (2020). Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of Bitcoin. Journal of Economic Dynamics and Control, 119(C). https://doi.org/10.1016/j.jedc.2020.103980
  • Mužić, I., & Gržeta, I. (2022). Expectations of macroeconomic news announcements: Bitcoin vs. traditional assets. Risks, 10(6), https://doi.org/10.3390/risks10060123
  • Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf
  • Philips, B.C.P., & Perron, P. (1988). Testin for a unit root in time series regression. Biometrica, 75(2), 335-346. https://doi.org/10.2307/2336182
  • Rognone, L., & Hyde, S., & Zhang, S.S. (2020). News sentiment in the cryptocurrency market: An empirical comparison with forex. International Review of Financial Analysis, 69. https://doi.org/10.1016/j.irfa.2020.101462
  • Sapkota, N. (2022). News-based sentiment and bitcoin volatility. International Review of Financial Analysis, 82. https://doi.org/10.1016/j.irfa.2022.102183
  • Şak, N. (2021). Kripto paralar arasındaki ilişkinin incelenmesi: Hatemi-j asimetrik nedensellik analizi. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 12(29), 149-175. https://doi.org/10.21076/vizyoner.753201
  • Tang, C.F. (2008). Wagner law versus Keynesian hypothesis: new evidence from recursive regression-based causality approaches. The IUP Journal of Public Finance, 0(4), 29-38.
  • Toda, Y.H., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8

BİTCOİN HABERLERİNİN BİTCOİN FİYAT VE GETİRİSİ ÜZERİNE ETKİSİ

Year 2023, Issue: 25, 220 - 234, 30.04.2023

Mehmet Songur , Seyit Ordu

https://doi.org/10.29029/busbed.1207935
Cited By: 2

Abstract

Yapılan bu çalışmanın amacı, 1.1.2016-4.12.2022 dönemini kapsayan günlük veriler yardımıyla Bitcoin ile alakalı çıkan haberler ile hem Bitcoin fiyatı hem de getirisi arasındaki ilişkiyi zamanla değişen nedensellik analizi kapsamında incelemektir. Söz konusu ilişkinin varlığı, Hacker ve Hatemi-J (2006)’nin Boostrapt Temelli Toda-Yamamoto Nedensellik Testi ve zamanla değişen nedensellik analizi kullanılarak araştırılmıştır. Elde edilen nedensellik testi bulguları, Bitcoin ile ilgili çıkan haberler ile Bitcoin fiyatı arasında karşılıklı bir nedensellik ilişkisi olduğu yönündedir. Diğer taraftan, Bitcoin getirisi ile Bitcoin ile ilgili çıkan haberler arasındaki nedensellik bulguları incelendiğinde, Bitcoin ile alakalı çıkan haberlerden Bitcoin getirisine doğru nedensellik ilişkisinin söz konusu olmadığı, buna karşın Bitcoin getirilerinden Bitcoin ile alakalı çıkan haberlere doğru bir nedensellik olduğu söylenebilir. Ayrıca, söz konusu nedensellik ilişkilerinin zamanla nasıl bir seyir izlediğine bakıldığında özellikle Bitcoin fiyatlarının arttığı dönemlerde Bitcoin ile ilgili haber sayılarının arttığı görülmüştür. Bu çerçevede hem Bitcoin hem de altcoin piyasasına yatırım yapacak bireylerin, Bitcoin ve altcoin ile alakalı çıkmış olan haberleri dikkate alarak işlem yapmaları yatırımın sağlıklı olması adına önem teşkil etmektedir.

Keywords

Bitcoin Bitcoin Haberleri Bitcoin Fiyatı Nedensellik.

References

  • Al-Khazali, O. (2018). The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin. Economics Bulettin, 38(1), 373-382.
  • Ammous, S. (2018). Can cryptocureencies fulfil the functions of money?. The Ouarterly Review of Economics and Finance, 70, 38-51. https://doi.org/10.1016/j.qref.2018.05.010
  • Arcan, H. E. (2012). Şarkiyatçılığın aynasında Türkiye suretleri: Britanya basınında Türkiye'nin AB üyeliğine ilişkin haberlerde şarkiyatçı söylem. İstanbul University Journal of Sociology, 3(24), 83-117.
  • Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. http://dx.doi.org/10.1080/13504851.2014.916379
  • Coulter, A.K. (2022). The impact of news media on Bitcoin prices: modelling data driven discourses in the crypto-economy with natural language processing. Royal Society Open Science, 9(4), https://doi.org/10.1098/rsos.220276
  • Corbet, S., & Lucey, B.M., & Larkin, J.C. (2020). The contagion effects of the COVID-19 pandemic: evidence from Gold and cryptocurrencies. SSRN Electronic Journal, https://doi.org/10.2139/ssrn.3564443
  • Çütcü, İ., & Kılıç, Y. (2018). Bitcoin Fiyatları İle Dolar Kuru Arasındaki İlişki: Yapısal Kırılmalı Zaman Serisi Analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 16(4), 349-366. https://doi.org/10.11611/yead.474993
  • Çağlar, B., & Yavuz, U. (2021). Finansal haberlerin Bitcoin fiyatlarına etkisinin yapay sinir ağları ile analizi. Bilişim Teknolojileri Dergisi, 14(1), 65-78. https://doi.org/10.17671/gazibtd.703688
  • Dickey, A.D., & Fuller, A.W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root test. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Entrop, O., & Frijns, B., & Seruset, M. (2020). The determinants of price discovery on Bitcoin markets. The Journal of Futures Market. https://doi.org/: 10.1002/fut.22101
  • Fisher, I. (1911). Fisher’s ‘‘the purchasing power of money’’. Publications of the American Statistical Association, 12(96), 818-829. https://doi.org/10.2307/2965060
  • Flori, A. (2019). News and subjective beliefs: A Bayesian approach to Bitcoin investments, Research in International Business and Finance, 50(C), 336-356. https://doi.org /10.1016/j.ribaf.2019.05.007
  • Göktaş, P., & Aksu, B. (2021). Endüstri 4.0 ile beraber blok zincir (blockchain) teknolojisi, Bitcoin ve sanal paraların gelecekteki etkileri. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(3), 279-293.
  • Hacker, S.R., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Eeconomics, 38(13), 1489-1500. https://doi.org/10.1080/00036840500405763
  • https://coinmarketcap.com/en/currencies, 19.11.2022 tarihinde erişilmiştir.
  • https://webrazzi.com/2022/ , 10.07.2022 tarihinde erişilmiştir.
  • Karalevicius, V., & Degrande, N. & De Weerdt, J. (2018), Using sentiment analysis to predict interday Bitcoin price movement. Journal of Risk Finance, 19(1), 56-75. https://doi.org/10.1108/JRF-06-2017-0092
  • Kılıç, Y. ve Çütcü, İ. (2018). Bitcoin fiyatları ile borsa İstanbul endeksi arasındaki eşbütünleşme ve nedensellik İlişkisi. Osmangazi Üniversitesi İİBF Dergisi, 13(3): 235-250. https://doi.org/10.17153/oguiibf.455083
  • Koçoğlu, Ş., & Çevik, Y.E., & Tanrıöven, C. (2016). Bitcoin piyasalarının etkinliği, likiditesi ve oynaklığı. İşletme Araştırmaları Dergisi, 8(2), 77-97. https://doi.org/10.20491/isarder.2016.170
  • Lyócsa, Š., & Molnár, P., & Plíhal, T., & Širaňová, M. (2020). Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of Bitcoin. Journal of Economic Dynamics and Control, 119(C). https://doi.org/10.1016/j.jedc.2020.103980
  • Mužić, I., & Gržeta, I. (2022). Expectations of macroeconomic news announcements: Bitcoin vs. traditional assets. Risks, 10(6), https://doi.org/10.3390/risks10060123
  • Nakamoto, S. (2008). Bitcoin: a peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf
  • Philips, B.C.P., & Perron, P. (1988). Testin for a unit root in time series regression. Biometrica, 75(2), 335-346. https://doi.org/10.2307/2336182
  • Rognone, L., & Hyde, S., & Zhang, S.S. (2020). News sentiment in the cryptocurrency market: An empirical comparison with forex. International Review of Financial Analysis, 69. https://doi.org/10.1016/j.irfa.2020.101462
  • Sapkota, N. (2022). News-based sentiment and bitcoin volatility. International Review of Financial Analysis, 82. https://doi.org/10.1016/j.irfa.2022.102183
  • Şak, N. (2021). Kripto paralar arasındaki ilişkinin incelenmesi: Hatemi-j asimetrik nedensellik analizi. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 12(29), 149-175. https://doi.org/10.21076/vizyoner.753201
  • Tang, C.F. (2008). Wagner law versus Keynesian hypothesis: new evidence from recursive regression-based causality approaches. The IUP Journal of Public Finance, 0(4), 29-38.
  • Toda, Y.H., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
There are 28 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Mehmet Songur 0000-0003-4763-9314

Seyit Ordu 0000-0002-3203-9378

Early Pub Date April 29, 2023
Publication Date April 30, 2023
Published in Issue Year 2023Issue: 25

Cite

APA Songur, M., & Ordu, S. (2023). BİTCOİN HABERLERİNİN BİTCOİN FİYAT VE GETİRİSİ ÜZERİNE ETKİSİ. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(25), 220-234. https://doi.org/10.29029/busbed.1207935

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