BITCOIN VE STRATEJİK EMTİA GETİRİLERİ ARASINDAKİ İLİŞKİ: DALGACIK TABANLI KANTİL REGRESYONDAN KANITLAR
Abstract
Finans dünyasında son yıllarda en çok konuşulan konulardan birisi kripto paralardır. Bitcoin, kripto para piyasasında en iyi bilinen ve dominasyonu en yüksek kripto para birimidir. Bu bağlamda Bitcoin’in stratejik emtialar ile ilişkisi önem arz etmektedir. Bu çalışmanın amacı, blockchain (blokzincir) teknolojisi ile geliştirilen kripto para birimi olan Bitcoin getirileri ve stratejik öneme sahip emtia getirileri arasındaki ilişkiyi dalgacık tabanlı kantil regresyon analizi ile incelemektir. Bu kapsamda 1 Ocak 2016 – 1 Mayıs 2022 tarihleri arasında işlem olmayan günler dışarıda bırakılarak, günlük fiyatları baz alınan Bitcoin’in; altın, gümüş, ham petrol ve doğalgaz getirileri ilişkisinin analizi için öncelikle farklı zaman frekanslarındaki (2–4, 4–8, 8–16, 16–32, 32-64 ve 64–128 gün) getiriler elde edilmiş, daha sonra farklı zaman frekanslarındaki Bitcoin getirileri ile stratejik emtia getirileri arasındaki ilişki farklı kantillerden kanıtlar sunulmuştur. Elde edilen bulgular, Bitcoin getirilerinin; altın, gümüş ve ham petrol emtia getirileri ile pozitif yönde, doğalgaz getirilerini ise uzun dönemde negatif yönde etkilediğini göstermektedir.
Keywords
References
- Alicemani, Likithakariappa, P. (2018). An Analysis On The Impact Of Commodity Prices And Exchange Rates On The Price Of Bitcoin. Asian Journal Of Management, 9(1), 427-431.
- Bouoiyour, J., Selmi, R., & Tiwari, A. (2014). Is Bitcoin Business Income or Speculative Bubble? Unconditional Vs. Conditional Frequency Domain Analysis. MPRA Paper No. 59595
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- Daubechies, I. (1988). Orthonormal Bases of Compactly Supported Wavelets. Communications On Pure And Applied Mathematics, 41(7), 909-996.
- Erdas, M. L., & Cağlar, A. E. (2018). Analysis Of The Relationships Between Bitcoin And Exchange Rate, Commodities And Global İndexes By Asymmetric Causality Test. Eastern Journal Of European Studies, 9(2).
- Gallegati, M. (2005). A Wavelet Analysis Of MENA Stock Markets. Department Of Economics Università Politecnica Delle Marche, Italia.
- Graps, A. (1995). An İntroduction To Wavelets. IEEE Computational Science And Engineering, 2(2), 50-61.
- Haar, A., & Karman, T. (1909). Zur Theorie Der Spannungszustände İn Plastischen Und Sandartigen Medien. Nachrichten Von Der Gesellschaft Der Wissenschaften Zu Göttingen, Mathematisch-Physikalische Klasse, 1909, 204-218.
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- Songur, M. & Ordu, S. (2023). Bitcoin Haberlerinin Bitcoin Fiyat ve Getirisi Üzerine Etkisi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25, 220-234.
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- Yermack, D. (2015). Is Bitcoin A Real Currency? An Economic Appraisal. In Handbook Of Digital Currency (Pp. 31-43). Academic Press.
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RELATIONSHIP BETWEEN BITCOIN AND STRATEGİCALLY COMMODİTİES RETURNS: EVIDENCE FROM WAVELET-BASED QUANTILE REGRESSIONS
Abstract
One of the most mentioned topics in the financial world in recent years is cryptocurrencies. Bitcoin is the best-known and the highest dominance cryptocurrency in the cryptocurrency market. In this context, the relationship between Bitcoin’s and strategic commodities is important. The aim of this study, the relationship between the returns of Bitcoin, which is a crypto currency developed with blockchain technology, and the returns of important and strategically important commodities is examine by wavelet-based quantile regression analysis. In this context, days without transactions between January 1, 2016 and May 1, 2022 are excluded, the daily prices of Bitcoin as a basis; gold, silver, crude oil and natural gas return at different time frequencies (2–4, 4–8, 8–16, 16–32, 32-64 and 64–128 days) are obtained. Then, the relationship between Bitcoin returns at different time frequencies and strategic commodity returns is presented in different quantiles. Findings, Bitcoin returns; It shows that gold, silver and crude oil have a positive effect on commodity returns and a negative effect on natural gas returns in the long run.
Keywords
References
- Alicemani, Likithakariappa, P. (2018). An Analysis On The Impact Of Commodity Prices And Exchange Rates On The Price Of Bitcoin. Asian Journal Of Management, 9(1), 427-431.
- Bouoiyour, J., Selmi, R., & Tiwari, A. (2014). Is Bitcoin Business Income or Speculative Bubble? Unconditional Vs. Conditional Frequency Domain Analysis. MPRA Paper No. 59595
- Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, Gold, And Commodities As Safe Havens For Stocks: New İnsight Through Wavelet Analysis. The Quarterly Review of Economics and Finance, 77, 156-164.
- Choi, S., & Shin, J. (2022). Bitcoin: An Inflation Hedge But Not A Safe Haven. Finance Research Letters, 46, 102379.
- Dickey, D. A., & Fuller, W. A. (1981). Likelihood Ratio Statistics For Autoregressive Time Series With A Unit Root. Econometrica: Journal Of The Econometric Society, 1057-1072.
- Daubechies, I. (1988). Orthonormal Bases of Compactly Supported Wavelets. Communications On Pure And Applied Mathematics, 41(7), 909-996.
- Erdas, M. L., & Cağlar, A. E. (2018). Analysis Of The Relationships Between Bitcoin And Exchange Rate, Commodities And Global İndexes By Asymmetric Causality Test. Eastern Journal Of European Studies, 9(2).
- Gallegati, M. (2005). A Wavelet Analysis Of MENA Stock Markets. Department Of Economics Università Politecnica Delle Marche, Italia.
- Graps, A. (1995). An İntroduction To Wavelets. IEEE Computational Science And Engineering, 2(2), 50-61.
- Haar, A., & Karman, T. (1909). Zur Theorie Der Spannungszustände İn Plastischen Und Sandartigen Medien. Nachrichten Von Der Gesellschaft Der Wissenschaften Zu Göttingen, Mathematisch-Physikalische Klasse, 1909, 204-218.
- Kristoufek, L. (2015). What Are The Main Drivers Of The Bitcoin Price? Evidence From Wavelet Coherence Analysis. Plos One, 10(4), e0123923.
- Mallat, S. G. (1989). Multifrequency Channel Decompositions Of İmages And Wavelet Models. IEEE Transactions On Acoustics, Speech, And Signal Processing, 37(12), 2091-2110.
- Mariana, C. D., Ekaputra, I. A., & Husodo, Z. A. (2021). Are Bitcoin And Ethereum Safe-Havens For Stocks During The Covıd-19 Pandemic?. Finance Research Letters, 38, 101798.
- Öztürk, M. B., Arslan, H., Kayhan, T., & Uysal, M. (2018). Yeni Bir Hedge Enstrumanı Olarak Bitcoin: Bitconomi. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 11(2), 217-232.
- Selçuk, F. (2005). Dalgacıklar: Yeni Bir Analiz Yöntemi. Bilkent Dergisi, Mart.
- Songur, M. (2019). Bitcoin Piyasasında Balonlar: Genelleştirilmiş Eküs ADF Testi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 7(6), 187-192.
- Songur, M. & Ordu, S. (2023). Bitcoin Haberlerinin Bitcoin Fiyat ve Getirisi Üzerine Etkisi. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25, 220-234.
- Tkacz, G. (2001). Estimating The Fractional Order Of İntegration Of İnterest Rates Using A Wavelet Ols Estimator. Studies İn Nonlinear Dynamics & Econometrics, 5(1).
- Yermack, D. (2015). Is Bitcoin A Real Currency? An Economic Appraisal. In Handbook Of Digital Currency (Pp. 31-43). Academic Press.
- Yıldırım, H. (2018). Günlük Bitcoin İle Altın Fiyatları Arasındaki İlişkinin Test Edilmesi: 2012–2013 Yılları Arası Johansen Eşbütünleşme Testi. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 7(4), 2328-2343.
- Yüksel, C., & Songur, M. (2011). Kamu Harcamalarının Bileşenleri İle Ekonomik Büyüme Arasındaki İlişki: Ampirik Bir Analiz (1980-2010). Maliye Dergisi, 161, 365-380.
- Wang, Q., Wei, Y., Wang, Y., & Liu, Y. (2022). On The Safe-Haven Ability Of Bitcoin, Gold, And Commodities For İnternational Stock Markets: Evidence From Spillover İndex Analysis. Discrete Dynamics İn Nature And Society, 2022, 1-16.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance |
| Journal Section | Articles |
| Authors | |
| Early Pub Date | December 31, 2023 |
| Publication Date | December 31, 2023 |
| Submission Date | June 20, 2023 |
| Published in Issue | Year 2023 Volume: 8 Issue: 16 |
