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KRİPTOPARA OYNAKLIĞI: COVID-19 ÖNCESİ, SÜRESİ VE SONRASI

Year 2023, Volume: 11 Issue: 2, 624 - 635, 31.12.2023

Orhan Özaydın

https://doi.org/10.52122/nisantasisbd.1381131

Abstract

Dünya Sağlık Örgütü'nün (WHO) Mart 2020'de Covid-19 pandemisini duyurması, ekonomik faaliyetleri ve finansal piyasaları olumsuz etkiledi. Geçmişi çok da eski olmayan blockchain teknolojisine sahip kripto paralar, dijital dönüşüm sayesinde Covid-19 döneminde yükselişe geçti ve finansal piyasalarda popüler hale geldi. Ancak, kripto para birimleri pandemi döneminden sonra kan kaybetti. Bu çalışma, 4 kripto para birimi (Bitcoin, Ethereum, Binance ve Litecoin) ve CCI30 endeksi verilerini kullanarak, iki kukla değişkenli otoregresif koşullu değişen varyans modelleri ile kripto para birimlerinin Covid-19 pandemi öncesi, süresi ve sonrasındaki volatilitesini incelemektedir. Sonuçlara göre, kripto para birimlerinin oynaklığı pandemi dönemi boyunca azalmaktadır, bunula birlikte pandemi döneminden sonra pandemi öncesine kıyasla daha da fazla azalmaktadır. Yatırımcılar, gelecekte yeniden popüler olma ihtimali olan bu riskli enstrümanlara yatırım yapma konusunda temkinli olmalıdır.

Keywords

kriptopara covid-19 oynalık blokzincir

References

  • Avunduk, H., & Aşan, H., (2018). Blok Zinciri (Blockchain) Teknolojisi ve İşletme Uygulamaları: Genel Bir Değerlendirme. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , vol.33, no.1, 369-384.
  • Almeida, J., & Gonçalves, T.C., (2022). A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View. Risks 10: 107. https:// doi.org/10.3390/risks10050107
  • Ankenbrand, T. & Bieri, D., (2018). Assessment Of Cryptocurrencies As An Asset Class By Their Characteristics. Investment Management and Financial Innovations, Volume 15, Issue 3.
  • Bollerslev, T., (1986). Generalized Autoregressive Conditional Heteroscedasticity. Jounal of Econometrics, 31, 307-327.
  • Brooks, C. (2008). Introductory Econemetrics for Finance. Cambridge.
  • Cheteni, P., (2016). Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets. Journal of Economics and Behavioral Studies, 8(6), 237-245.
  • Conlon, T. & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear. Market Finance Research Letters, 35, doi.org/10.1016/j.frl.2020.10160
  • Corbet, S., Hou, Y., Hu, Y., Larkin, C., Lucey, B., & Oxley, L., (2021). Cryptocurrency liquidity and volatility interrelationships during the Covid-19 pandemic. Finance Research Letters, vol:45, https://doi.org/10.1016/j.frl.2021.102137.
  • Darlington, N. (2023). Blockchain Technology?, www.blockgeeks.com. Received from https://blockgeeks.com/guides/what-is-blockchain-technology/ at 7 October 2023.
  • Demir, E., Bilgin, M.H., & Karabulut, G., (2020). The relationship between cryptocurrencies and Covid-19 pandemic. Eurasian Econ Rev 10, 349–360. https://doi.org/10.1007/s40822-020-00154-1
  • Demiralay, S. & Golitsis, P. (2021). On The Dynamic Equicorrelations In Cryptocurrency Market. The Quarterly Review of Economics and Finance, 80:524–533.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1008.
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Keçeci, N.,F., (2020). Dört Büyük Kriptoparanin Piyasa Riskinde Covid-19 Pandemi Etkisi. Ekonomi. Politika & Finans Araştırmaları Dergisi, 2020, 5(Special issue): 206-224
  • Lahmiri, S. & Berikos, S. (2020). The impact of Covid-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets, Chaos, Solitons & Fractals, Volume 138, September 2020, 109936, https://doi.org/10.1016/j.chaos.2020.109936.
  • Mariana C.D., Ekaputra, I.A., & Husodo, Z.A.,(2021). Are Bitcoin And Ethereum Safe-Havens For Stocks During The Covid-19 Pandemic?, Finance Research Letters , Vol:38.
  • Mensi, W., Sensoy, A., Aslan, A. & Kang, S.H., (2019). High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets. The North American Journal of Economics and Finance, Volume 50, 101031, https://doi.org/10.1016/j.najef.2019.101031.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
  • Özaydin, O., (2019). Vadeli İşlemler Pamuk Emtia Getirilerinin Piyasa Oyuncuları ve Reel Piyasa Dinamikleri ile Etkileşimi. Doktora Tezi, İstanbul Ticaret Üniversitesi, İstanbul, 2019.
  • Özer, A., & Ece, O. (2016). Vadeli İşlem Piyasalarında Anomalilerin Archgarch Modelleri İle Test Edilmesi: Türkiye Vadeli İşlemler Piyasası Üzerine Bir Uygulama. Nevşehir Hacı Bektaş Veli Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, 6(2), s.1-14.
  • Sapuric, S., Kokkinaki, A., & Georgiou, I., (2020). The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling. School of Business, University of Nicosia, Nicosia, Cyprus Journal of Enterprise Information Management, Vol. 35 No. 6, pp. 1506-1521, doi:10.1108/JEIM-10-2018-0228
  • Türk, M. & Uslu, A., (2020). Covid 19 Pandemisi ve Paranın Geleceği. Finansal Servis: Bankacılık ve Finans, Book Chapter IV, Pg:59-74.
  • Milutinović, M. (2018). Cryptocurrency, Економика, Vol. 64, № 1, 95-104
  • Ural, M., & Demireli, E., (2020). Asymmetric Garch-Type And Half-Life Volatility Modelling Of Usd/Kzt Exchange Rate Returns. Abstract Eurasian Research Journal, Erj, Vol. 2, No. 2, Pp. 7-18.
  • Yerdelen Tatoğlu, F.(2017).Panel Veri Ekonometrisi, Beta Yayınları, İstanbul.
  • World Health Organizations (WHO) (2023). WHO Coronavirus Dashboard. Received from https://Covid-19 .who.int/ at 1 October 2023.

CRYPTOCURRENCY VOLATILITY: BEFORE, DURING AND AFTER COVID-19

Year 2023, Volume: 11 Issue: 2, 624 - 635, 31.12.2023

Orhan Özaydın

https://doi.org/10.52122/nisantasisbd.1381131

Abstract

The World Health Organization (WHO) announced the Covid-19 pandemic in March 2020, which had a negative impact on economic activities and financial markets. Cryptocurrencies with blockchain technology, whose history is not old, took off in the Covid-19 period thanks to digital transformation and became popular in the financial markets. However, the fact that cryptocurrencies lose blood after the pandemic period. This study examines the volatility of cryptocurrencies before, during and after the pandemic Covid-19 using data from 4 cryptocurrencies (Bitcoin, Ethereum, Binance and Litecoin) and the CCI30 index, using autoregressive conditional variance models with two dummy variables. According to the results, the volatility of cryptocurrencies decreases throughout the pandemic period, moreover, decreases more after the pandemic compared to the pre-pandemic period. Investors should be cautious about investing in these risky instruments, which may become popular again in the future, just in case.

Keywords

Covid19 Cryptocurrencies Volatility Blockchain

References

  • Avunduk, H., & Aşan, H., (2018). Blok Zinciri (Blockchain) Teknolojisi ve İşletme Uygulamaları: Genel Bir Değerlendirme. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , vol.33, no.1, 369-384.
  • Almeida, J., & Gonçalves, T.C., (2022). A Systematic Literature Review of Volatility and Risk Management on Cryptocurrency Investment: A Methodological Point of View. Risks 10: 107. https:// doi.org/10.3390/risks10050107
  • Ankenbrand, T. & Bieri, D., (2018). Assessment Of Cryptocurrencies As An Asset Class By Their Characteristics. Investment Management and Financial Innovations, Volume 15, Issue 3.
  • Bollerslev, T., (1986). Generalized Autoregressive Conditional Heteroscedasticity. Jounal of Econometrics, 31, 307-327.
  • Brooks, C. (2008). Introductory Econemetrics for Finance. Cambridge.
  • Cheteni, P., (2016). Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets. Journal of Economics and Behavioral Studies, 8(6), 237-245.
  • Conlon, T. & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear. Market Finance Research Letters, 35, doi.org/10.1016/j.frl.2020.10160
  • Corbet, S., Hou, Y., Hu, Y., Larkin, C., Lucey, B., & Oxley, L., (2021). Cryptocurrency liquidity and volatility interrelationships during the Covid-19 pandemic. Finance Research Letters, vol:45, https://doi.org/10.1016/j.frl.2021.102137.
  • Darlington, N. (2023). Blockchain Technology?, www.blockgeeks.com. Received from https://blockgeeks.com/guides/what-is-blockchain-technology/ at 7 October 2023.
  • Demir, E., Bilgin, M.H., & Karabulut, G., (2020). The relationship between cryptocurrencies and Covid-19 pandemic. Eurasian Econ Rev 10, 349–360. https://doi.org/10.1007/s40822-020-00154-1
  • Demiralay, S. & Golitsis, P. (2021). On The Dynamic Equicorrelations In Cryptocurrency Market. The Quarterly Review of Economics and Finance, 80:524–533.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1008.
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Keçeci, N.,F., (2020). Dört Büyük Kriptoparanin Piyasa Riskinde Covid-19 Pandemi Etkisi. Ekonomi. Politika & Finans Araştırmaları Dergisi, 2020, 5(Special issue): 206-224
  • Lahmiri, S. & Berikos, S. (2020). The impact of Covid-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets, Chaos, Solitons & Fractals, Volume 138, September 2020, 109936, https://doi.org/10.1016/j.chaos.2020.109936.
  • Mariana C.D., Ekaputra, I.A., & Husodo, Z.A.,(2021). Are Bitcoin And Ethereum Safe-Havens For Stocks During The Covid-19 Pandemic?, Finance Research Letters , Vol:38.
  • Mensi, W., Sensoy, A., Aslan, A. & Kang, S.H., (2019). High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets. The North American Journal of Economics and Finance, Volume 50, 101031, https://doi.org/10.1016/j.najef.2019.101031.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
  • Özaydin, O., (2019). Vadeli İşlemler Pamuk Emtia Getirilerinin Piyasa Oyuncuları ve Reel Piyasa Dinamikleri ile Etkileşimi. Doktora Tezi, İstanbul Ticaret Üniversitesi, İstanbul, 2019.
  • Özer, A., & Ece, O. (2016). Vadeli İşlem Piyasalarında Anomalilerin Archgarch Modelleri İle Test Edilmesi: Türkiye Vadeli İşlemler Piyasası Üzerine Bir Uygulama. Nevşehir Hacı Bektaş Veli Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, 6(2), s.1-14.
  • Sapuric, S., Kokkinaki, A., & Georgiou, I., (2020). The relationship between Bitcoin returns, volatility and volume: asymmetric GARCH modeling. School of Business, University of Nicosia, Nicosia, Cyprus Journal of Enterprise Information Management, Vol. 35 No. 6, pp. 1506-1521, doi:10.1108/JEIM-10-2018-0228
  • Türk, M. & Uslu, A., (2020). Covid 19 Pandemisi ve Paranın Geleceği. Finansal Servis: Bankacılık ve Finans, Book Chapter IV, Pg:59-74.
  • Milutinović, M. (2018). Cryptocurrency, Економика, Vol. 64, № 1, 95-104
  • Ural, M., & Demireli, E., (2020). Asymmetric Garch-Type And Half-Life Volatility Modelling Of Usd/Kzt Exchange Rate Returns. Abstract Eurasian Research Journal, Erj, Vol. 2, No. 2, Pp. 7-18.
  • Yerdelen Tatoğlu, F.(2017).Panel Veri Ekonometrisi, Beta Yayınları, İstanbul.
  • World Health Organizations (WHO) (2023). WHO Coronavirus Dashboard. Received from https://Covid-19 .who.int/ at 1 October 2023.
There are 26 citations in total.

Details

Primary Language English
Subjects Human Geography (Other)
Journal Section Research Article
Authors

Orhan Özaydın 0000-0003-2585-1437

Publication Date December 31, 2023
Submission Date October 25, 2023
Acceptance Date December 16, 2023
Published in Issue Year 2023 Volume: 11 Issue: 2

Cite

APA Özaydın, O. (2023). CRYPTOCURRENCY VOLATILITY: BEFORE, DURING AND AFTER COVID-19. Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 11(2), 624-635. https://doi.org/10.52122/nisantasisbd.1381131
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