Research Article
Year 2021,
Volume: 6 Issue: 2, 51 - 58, 30.12.2021
Abstract
Bitcoin emerged as a peer-to-peer electronic cash system with no owner and no central authority. It has increased in popularity over the years due to reasons such as being used as a means of exchange without the need for any intermediary, fast and low cost of transactions. In this process, the increases in its circulation amount and its demand and the sudden increases and decreases in its price caused high volatility. For this reason, in this study, it is aimed to determine the volatility in Bitcoin returns with the effect of the day of the week. In this direction, the result of the analysis has been relatively strengthened by using the data set consisting of 2877-day closing prices in the study. As a result of the analysis, it was determined that the day with the highest return was Monday and the day with the highest volatility in return was Saturday.
References
- Aharon, D.Y., Qadan, M. (2019), “Bitcoin and the Day-of-the-Week Effect”. Finance Research Letters, 31, 415-424
- Baek, C., Elbeck, M. (2015), “Bitcoins As An Investment or Speculative Vehicle? A first look”, Applied Economic Letters, 22(1), 30–34.
- Bariviera, A.F. (2017), “The Ineficiency of Bitcoin Revisited: a Dynamic Approach”, Economics Letters, 161,1-4
- Baumohl, E., (2018), “Are Cryptocurrencies Connected to Forex? A Quantile Cross-Spectral Approach”. Working papers.
- Baur, D.G., DİMPF, T. (2017), “Realized Bitcoin Volatility”, Available at https://www.researchgate.net/profile/Thomas_Dimpfl/publication/317994265_Realized_Bitcoin_Volatility/links/5bf56f3892851c6b27d14f3c/Realized-Bitcoin Volatility.pdf 09.02.2020 , 1-25.
- Baur, D. G.,Hong, K., Lee, A. D.(2018) “Bitcoin: Medium of exchange or speculative assets?”, Journal of International Financial Markets, Institutions and Money, (54),177–189.
- Blau, B. M. (2017), “Price Dynamics and Speculative Trading in Bitcoin”, Research in International Business and Finance. (41), 493-499
- Bouoıyour, J., Selmi, R. (2015),” What does Bitcoin look like?”, Ann. Econ. Finance 16 (2), 449-492
- Bouri, B., D. Roubaud, and S. J. H. Shahzad. 2020. “Do Bitcoin and Other Cryptocurrencies Jump Together?” The Quarterly Review of Economics and Finance (76), 396–409
- Briere, M.,Oosterlinck, K.,Szafarz, A.(2013),”September. Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins.”
- Bukovina, J., Martıček, M. (2016), “Sentiment and Bitcoin volatility”, Mendelu Working Papers in Business and Economics, (58), 1-5.
- Caporale, G.M.,Plastun, A. (2019), “The Day of the Week Effect in the Crypto Currency Market”, Finance Research Letters, (31), 258–269.
- Carrick, J. (2016), “Bitcoin As a Complement to Emerging Market Currencies”, Emerging Markets Finance and Trade, 52(10), 2321–2334.
- Charles, A.,Darne, O.(2018), ”Volatility Estimation for Bitcoin: Replication and Extension”, Available at https://www.researchgate.net/profile/Olivier_Darne/publication/322861075_Volatility_estimation_for_Bitcoin_Replication_and_extension/links/5a731971a6fdcc53fe137297/Volatility-estimation-for-Bitcoin Replication-and-extension.pdf , 1-18.
- Cheah, E.,Fry, J. (2015), “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin”, Economics Letters, (130), 32-36. ISSN 1873-7374.
- Chen, G.M.,Firth, M. - Rui, O.(2001), “The dynamic relation between stock returns, trading volume and volatility”, Financ. Rev. 36 (3), 153–174.
- Corbet, S., Lucey, B., Yarovya, L. (2018a), “ Datestamping the Bitcoin and Ethereum bubbles”, Finance Res. Lett (In Press).
- Dai, W. B-Money, (1998), Available at http://www.weidai.com/bmoney.txt, (Erişim: 12.01.2020)
- Decourt, R. F., Chohan, U. W. & Perugini, M. L. (2019). “Bitcoin Returns and the Weekday Effect.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3435176
- Dickey, D.A., Fuller, W.A., (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, 49(4), pp.1057-1072. http://dx.doi.org/10.2307/1912517
- Dyhrberg,(2016). A.H. Hedging Capabilities of Bitcoin. Is It the Virtual Gold?. Finance Research Letters. 16, 139-144
- Dwyer, G.P. (2014), “The Economics of Bitcoin and Similar Private Digital Currencies”, Journal of Financial Stability, 17, 81-91.
- Glaser, F., Haferhorn, M., Weber, M.C., Zimmarmann, K., ve Siering, M.B. (2014), “Bitcoin –Asset or Currency? Revealing Users’ Hidden Intentions”, European Conference on Information Systems ECIS, 2-12.
- Gonzalez, M. O., F. Jareno, and F. S. Skinner. (2020). “Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness Between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns.” Mathematics 8 (5), 810. doi:10.3390/math8050810.
- Grinberg, J. (2011), “Bitcoin: An Innovative Alternative Digital Currency”, Hastings Science and Technology Law Journal, 41, 159-208.
- Halaburda, H., Gandal, N. (2014), “Competition in the Cryptocurrency Market”, Available at: SSRN 2506463.
- Hanley, B.P. (2013), “The False Premises and Promises of Bitcoin”, arXivpreprintarXiv:1312.2048.
- Hedl, D. (2019), “Planting Bitcoin”, Available at https://medium.com/@danhedl/planting-bitcoin-56bd1459cb23 website on 12.01.2020
- Jiang, Y., Nie, H., Ruan, W., (2018), “ Time-varying long-term memory in Bitcoin market”, Finance Res. Lett (In Press).
- Keirns, G. (2017), “Japan's Bitcoin Law Goes into Effect Tomorrow”, Available at: http://www.coindesk.com/japan-bitcoin-law-effect-tomorrow/
- Kristoufek, L.(2014), “ What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis”, PLoS One 10 (4), e0123923. http://dx.doi.org/10.1371/ journal.pone.0123923.
- Luther, W.J. - White, L.H (2014), “Can Bitcoin Become a Major Currency?”, GMU Working Paper in Economics 14(17), 1-7.
- Phillips, P.C.B., Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
- Ma, D. & Tanizaki, H. (2019). “On the day-of-the-week effects of Bitcoin markets” international evidence. international evidence. China Finance Review International, 9(4), 455-478.
- Moussa, W., Basty, N., & Ghazouani, I. (2020). Asymmetric Effect And Dynamic Relationships Over The Cryptocurrencies Market.” Computers & Security, 96 https://doi.org/10.1016/j.cose.2020.101860
- Rogojanu, A., Badea, L. (2014), “The issue of competing currencies: case study – Bitcoin”, Theor. Appl. Econ. 21 (1), 103–114.
- Rotman, S. (2014), “Bitcoin Versus Electronic Money, The Consultative Group To Assist The Poor (CGAP)”, Publications, 1-4.
- Shubik, M. (2014), “Simecs, Ithaca Hours, Berkshares, Bitcoins and Walmarts”, Cowles Foundation Discussion Paper No. 1947
- Szetela, B., Mentel, G & Gedek, S. (2016) “Dependency Analysis between Bitcoin and Selected Global Currencies”, Dynamic Econometric Models, 16, 133-144.
- Thies, S., Molnár, P. (2018), “ Bayesian change point analysis of Bitcoin returns”, Finance Res. Lett (In Press).
- Urquhart, A. (2016), “ The inefficiency of Bitcoin”, Economics Letters, (148), 80–82.
- Urquhart, A. (2017), “ Price clustering in Bitcoin”, Economics Letters, (159), 145–148.
- Urquhart, A. (2018), “ What causes the attention of Bitcoin”, Economics Letters, (166), 40–44.
- Woo, D.,Gordon, I., Iarolov, V. (2013), “ Bitcoin: a first assessment”, FX and Rates, Global. Bank of America, Merrill Lynch.
- Yermack, D.(2013), “Is Bitcoin A Real Currency? An Economic Appraisal”, (No. w19747). National Bureau of Economic Research. URL: http://www.nber.org/papers/w19747 www.coinmarketcap.com
Year 2021,
Volume: 6 Issue: 2, 51 - 58, 30.12.2021
Abstract
Bitcoin, sahibi ve merkezi otoritesi bulunmayan eşler arası elektronik nakit sistemi olarak ortaya çıkmıştır. Herhangi bir aracıya ihtiyaç duymadan değişim aracı olarak kullanılması, işlemlerin hızlı ve maliyetinin düşüklüğü gibi sebeplerle de yıllar içerisinde popülaritesini artırmıştır. Bu süreçte dolaşımdaki miktarının ve talebindeki artışlar ile fiyatındaki ani yükselişler ve düşüşler yüksek oynaklığa neden olmuştur. Bu sebeple çalışmada, Bitcoin getirilerinde haftanın günü etkisi ile getirilerdeki oynaklığın belirlenmesi amaçlanmıştır. Bu doğrultuda çalışmada 2877 günlük kapanış fiyatlarından oluşan veri seti kullanılarak analiz sonucu göreli olarak sağlamlaştırılmıştır. Analiz sonucunda getirinin en yüksek olduğu gün pazartesi, getirideki oynaklığın en yüksek olduğu gün cumartesi olarak belirlenmiştir.
References
- Aharon, D.Y., Qadan, M. (2019), “Bitcoin and the Day-of-the-Week Effect”. Finance Research Letters, 31, 415-424
- Baek, C., Elbeck, M. (2015), “Bitcoins As An Investment or Speculative Vehicle? A first look”, Applied Economic Letters, 22(1), 30–34.
- Bariviera, A.F. (2017), “The Ineficiency of Bitcoin Revisited: a Dynamic Approach”, Economics Letters, 161,1-4
- Baumohl, E., (2018), “Are Cryptocurrencies Connected to Forex? A Quantile Cross-Spectral Approach”. Working papers.
- Baur, D.G., DİMPF, T. (2017), “Realized Bitcoin Volatility”, Available at https://www.researchgate.net/profile/Thomas_Dimpfl/publication/317994265_Realized_Bitcoin_Volatility/links/5bf56f3892851c6b27d14f3c/Realized-Bitcoin Volatility.pdf 09.02.2020 , 1-25.
- Baur, D. G.,Hong, K., Lee, A. D.(2018) “Bitcoin: Medium of exchange or speculative assets?”, Journal of International Financial Markets, Institutions and Money, (54),177–189.
- Blau, B. M. (2017), “Price Dynamics and Speculative Trading in Bitcoin”, Research in International Business and Finance. (41), 493-499
- Bouoıyour, J., Selmi, R. (2015),” What does Bitcoin look like?”, Ann. Econ. Finance 16 (2), 449-492
- Bouri, B., D. Roubaud, and S. J. H. Shahzad. 2020. “Do Bitcoin and Other Cryptocurrencies Jump Together?” The Quarterly Review of Economics and Finance (76), 396–409
- Briere, M.,Oosterlinck, K.,Szafarz, A.(2013),”September. Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins.”
- Bukovina, J., Martıček, M. (2016), “Sentiment and Bitcoin volatility”, Mendelu Working Papers in Business and Economics, (58), 1-5.
- Caporale, G.M.,Plastun, A. (2019), “The Day of the Week Effect in the Crypto Currency Market”, Finance Research Letters, (31), 258–269.
- Carrick, J. (2016), “Bitcoin As a Complement to Emerging Market Currencies”, Emerging Markets Finance and Trade, 52(10), 2321–2334.
- Charles, A.,Darne, O.(2018), ”Volatility Estimation for Bitcoin: Replication and Extension”, Available at https://www.researchgate.net/profile/Olivier_Darne/publication/322861075_Volatility_estimation_for_Bitcoin_Replication_and_extension/links/5a731971a6fdcc53fe137297/Volatility-estimation-for-Bitcoin Replication-and-extension.pdf , 1-18.
- Cheah, E.,Fry, J. (2015), “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into the Fundamental Value of Bitcoin”, Economics Letters, (130), 32-36. ISSN 1873-7374.
- Chen, G.M.,Firth, M. - Rui, O.(2001), “The dynamic relation between stock returns, trading volume and volatility”, Financ. Rev. 36 (3), 153–174.
- Corbet, S., Lucey, B., Yarovya, L. (2018a), “ Datestamping the Bitcoin and Ethereum bubbles”, Finance Res. Lett (In Press).
- Dai, W. B-Money, (1998), Available at http://www.weidai.com/bmoney.txt, (Erişim: 12.01.2020)
- Decourt, R. F., Chohan, U. W. & Perugini, M. L. (2019). “Bitcoin Returns and the Weekday Effect.” https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3435176
- Dickey, D.A., Fuller, W.A., (1981), “Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, 49(4), pp.1057-1072. http://dx.doi.org/10.2307/1912517
- Dyhrberg,(2016). A.H. Hedging Capabilities of Bitcoin. Is It the Virtual Gold?. Finance Research Letters. 16, 139-144
- Dwyer, G.P. (2014), “The Economics of Bitcoin and Similar Private Digital Currencies”, Journal of Financial Stability, 17, 81-91.
- Glaser, F., Haferhorn, M., Weber, M.C., Zimmarmann, K., ve Siering, M.B. (2014), “Bitcoin –Asset or Currency? Revealing Users’ Hidden Intentions”, European Conference on Information Systems ECIS, 2-12.
- Gonzalez, M. O., F. Jareno, and F. S. Skinner. (2020). “Nonlinear Autoregressive Distributed Lag Approach: An Application on the Connectedness Between Bitcoin Returns and the Other Ten Most Relevant Cryptocurrency Returns.” Mathematics 8 (5), 810. doi:10.3390/math8050810.
- Grinberg, J. (2011), “Bitcoin: An Innovative Alternative Digital Currency”, Hastings Science and Technology Law Journal, 41, 159-208.
- Halaburda, H., Gandal, N. (2014), “Competition in the Cryptocurrency Market”, Available at: SSRN 2506463.
- Hanley, B.P. (2013), “The False Premises and Promises of Bitcoin”, arXivpreprintarXiv:1312.2048.
- Hedl, D. (2019), “Planting Bitcoin”, Available at https://medium.com/@danhedl/planting-bitcoin-56bd1459cb23 website on 12.01.2020
- Jiang, Y., Nie, H., Ruan, W., (2018), “ Time-varying long-term memory in Bitcoin market”, Finance Res. Lett (In Press).
- Keirns, G. (2017), “Japan's Bitcoin Law Goes into Effect Tomorrow”, Available at: http://www.coindesk.com/japan-bitcoin-law-effect-tomorrow/
- Kristoufek, L.(2014), “ What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis”, PLoS One 10 (4), e0123923. http://dx.doi.org/10.1371/ journal.pone.0123923.
- Luther, W.J. - White, L.H (2014), “Can Bitcoin Become a Major Currency?”, GMU Working Paper in Economics 14(17), 1-7.
- Phillips, P.C.B., Perron, P. (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
- Ma, D. & Tanizaki, H. (2019). “On the day-of-the-week effects of Bitcoin markets” international evidence. international evidence. China Finance Review International, 9(4), 455-478.
- Moussa, W., Basty, N., & Ghazouani, I. (2020). Asymmetric Effect And Dynamic Relationships Over The Cryptocurrencies Market.” Computers & Security, 96 https://doi.org/10.1016/j.cose.2020.101860
- Rogojanu, A., Badea, L. (2014), “The issue of competing currencies: case study – Bitcoin”, Theor. Appl. Econ. 21 (1), 103–114.
- Rotman, S. (2014), “Bitcoin Versus Electronic Money, The Consultative Group To Assist The Poor (CGAP)”, Publications, 1-4.
- Shubik, M. (2014), “Simecs, Ithaca Hours, Berkshares, Bitcoins and Walmarts”, Cowles Foundation Discussion Paper No. 1947
- Szetela, B., Mentel, G & Gedek, S. (2016) “Dependency Analysis between Bitcoin and Selected Global Currencies”, Dynamic Econometric Models, 16, 133-144.
- Thies, S., Molnár, P. (2018), “ Bayesian change point analysis of Bitcoin returns”, Finance Res. Lett (In Press).
- Urquhart, A. (2016), “ The inefficiency of Bitcoin”, Economics Letters, (148), 80–82.
- Urquhart, A. (2017), “ Price clustering in Bitcoin”, Economics Letters, (159), 145–148.
- Urquhart, A. (2018), “ What causes the attention of Bitcoin”, Economics Letters, (166), 40–44.
- Woo, D.,Gordon, I., Iarolov, V. (2013), “ Bitcoin: a first assessment”, FX and Rates, Global. Bank of America, Merrill Lynch.
- Yermack, D.(2013), “Is Bitcoin A Real Currency? An Economic Appraisal”, (No. w19747). National Bureau of Economic Research. URL: http://www.nber.org/papers/w19747 www.coinmarketcap.com
There are 45 citations in total.
Details
| Primary Language | English |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | December 30, 2021 |
| Published in Issue | Year 2021 Volume: 6 Issue: 2 |
JOEEP is published as two issues per year June and December and all publication policies and processes are conducted according to the international standards. JOEEP accepts and publishes the research articles in the fields of economics, political economy, fiscal economics, applied economics, business economics, labour economics and econometrics. JOEEP, without depending on any institution or organization, is a non-profit journal that has an International Editorial Board specialist on their fields. All “Publication Process” and “Writing Guidelines” are explained in the related title and it is expected from authors to Show a complete match to the rules. JOEEP is an open Access journal.