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Cryptocurrencis and Portfolio Diversification

Yıl 2020, Sayı: 65, 125 - 141, 24.07.2020

Yavuz Gül

Öz

The advances in technology and science in the 21st century have had various transformational effects on the financial markets and systems. One of the innovations that emerged within this framework is cryptocurrencies. The market capitalizations and trading volumes of cryptocurrencies have increased significantly in the past few years. There are different opinions as to whether these currencies could be viewed as an investment instrument. The purpose of this study is to investigate whether cryptocurrencies could be used for portfolio diversification. Accordingly, different strategies and daily data for the period of 7 August 2015-23 January 2020 were used to create portfolios consisting of stocks, commodities, exchange rates and mutual funds. Cryptocurrencies (Bitcoin, Ethereum, Ripple) were then added to these portfolios and the change in portfolio performance was examined. The results found the correlations between cryptocurrencies and other assets to be mostly negative. It was also observed that, with the addition of cryptocurrencies to portfolios, overall higher returns and Sharpe ratios were obtained and lower risk levels were achieved. It can therefore be concluded that cryptocurrencies can be a good instrument for portfolio diversification and they positively affect portfolio performance.

Anahtar Kelimeler

Cryptocurrencies, Portfolio Diversification, Portfolio Management

Kaynakça

  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51.
  • Anyfantaki, S., Arvanitis, S., & Topaloglou, N. (2018). Diversification, integration and cryptocurrency market (Bank of Greece Working Papers No: 244). Bank of Greece web sitesinden erişildi: https://www.bankofgreece.gr/Publications/Paper2018244.pdf (Erişim tarihi: 01.02.2020).
  • Atik, M., Köse, Y., Yılmaz, B., & Sağlam, F. (2015). Kripto para: Bitcoin ve döviz kurları üzerine etkileri. Bartın Üniversitesi İ.İ.B.F. Dergisi, 6(11), 247-261.
  • Brauneis, A., & Mestel, R. (2019). Cryptocurrency-portfolios in a mean-variance framework. Finance Research Letters, 28, 259-264.
  • Carpenter, A. (2016). Portfolio diversification with Bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27.
  • Coinmarketcap. Cryptocurrency market capitalizations. https://coinmarketcap.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34.
  • Çağlar, Ü. (2007). Elektronik para: enformasyon teknolojisindeki gelişmeler ve yeni ödeme sistemleri. Manas Üniversitesi Sosyal Bilimler Dergisi, 9(17), 177-186.
  • Çetiner, M. (2018). Bitcoin (kripto para) ve blok zincirin yeni dünyaya getirdikleri. Istanbul Journal of Social Sciences, (20), ss. 1-16.
  • Elendner, H., Trimborn, S., Ong, B., & Lee, T.M. (2018). The cross-section of crypto-currencies as financial assets: investing in crypto-currencies beyond Bitcoin. D.L.K. Chuen & R. Deng (Ed.), Handbook of blockchain, digital finance, and inclusion, Volume 1: cryptocurrency, fintech, insurtech, and regulation içinde (ss. 145-173). London: Academic Press.
  • Feng, W., Wang, Y., & Zhang, Z. (2018). Can cryptocurrencies be a safe haven: a tail risk perspective analysis. Applied Economics, 50(44), 4745-4762.
  • Gangwal, S. (2016). Analyzing the effects of adding Bitcoin to portfolio. International Journal of Economics and Management Engineering, 10(10), 3519-3532.
  • Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437.
  • Gültekin, Y. (2017). Turizm endüstrisinde alternatif bir ödeme aracı olarak kripto para birimleri: Bitcoin. Güncel Turizm Araştırmaları Dergisi, 1(2), 96-113.
  • Hrytsiuk, P., Babych, T., & Bachyshyna, L. (2019). Cryptocurrency portfolio optimization using value-at-risk measure. Advances in Economics, Business and Management Research, 95, 385-389.
  • Hu, A.S., Parlour, C.A., & Rajan, U. (2019). Cryptocurrencies: stylized facts on a new investible instrument. Financial Management, 48(4), 1049-1068.
  • Investing. Stock market quotes & financial news. https://www.investing.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Kaiser, L. (2019). Seasonality in cryptocurrencies. Finance Research Letters, 31, 232-238.
  • Kajtazi, A., & Moro, A. (2019). The role of Bitcoin in well diversified portfolios: a comparative global study. International Review of Financial Analysis, 61, 143-157.
  • Karaağaç, G.A., & Altınırmak, S. (2018). En yüksek piyasa değerine sahip on kripto paranın birbirleriyle etkileşimi. Muhasebe ve Finansman Dergisi, (79), ss. 123-138.
  • Ketelaars, T. (2018). Investing in the cryptocurrency market: analyzing the diversification effects of cryptocurrencies in a well-diversified portfolio. Yayımlanmamış yüksek lisans tezi, Radboud University, Faculty of Management Sciences, Nijmegen.
  • Klein, T., Thu, H.P., & 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.
  • Lee, D.K.C., Guo, L., & Wang, Y. (2018). Cryptocurrency: a new investment opportunity? The Journal of Alternative Investments, 20(3), 16-40.
  • Liu, W. (2019). Portfolio diversification across cryptocurrencies. Finance Research Letters, 29, 200-205.
  • Moore, W., & Stephen, J. (2016). Should cryptocurrencies be included in the portfolio of international reserves held by central banks? Cogent Economics & Finance, 4(1), 1-12. Petukhina, A., Trimborn, S., Härdle, W.K., & Elendner, H. (2018). Investing with cryptocurrencies – evaluating the potential of portfolio allocation strategies (IRTG Discussion Paper Series 1792). SSRN web sitesinden erişildi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3274193 (Erişim tarihi: 02.02.2020).
  • Symitsi, E., & Chalvatzis, K.J. (2019). The economic value of Bitcoin: a portfolio analysis of currencies, gold, oil and stocks. Research in International Business and Finance, 48, 97-110.
  • Trimborn, S., Li, M., & Härdle, W.K. (2017). Investing with cryptocurrencies – a liquidity constrained investment approach (SBF 649 Discussion Paper Series). Econstor web sitesinden erişildi: https://www.econstor.eu/bitstream/10419/169204/1/SFB649DP2017-014.pdf (Erişim tarihi: 29.01.2020).
  • Wong, W.S., Saerbeck,D., & Silva, D.D. (2018). Cryptocurrency: a new investment opportunity? an investigation of the hedging capability of cryptocurrencies and their influence on stock, bond and gold portfolios (SSRN Papers). SSRN web sitesinden erişildi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3125737 (Erişim tarihi: 30.01.2020).
  • Wu, C.Y., & Pandey, V.K. (2014). The value of Bitcoin in enhancing the efficiency of an investor’s portfolio. Journal of Financial Planning, 27(9), 44-52.
  • Yahoo Finance. Stock market live, quotes, business & finance news. https://finance.yahoo.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Yermack, D. (2018). The potential of digital currency and blockchains. NBER Reporter, (1), ss. 14-17.

Kripto Paralar ve Portföy Çeşitlendirmesi

Yıl 2020, Sayı: 65, 125 - 141, 24.07.2020

Yavuz Gül

Öz

21. yüzyıl ile beraber, teknolojide ve bilimde meydana gelen ilerlemeler, finansal piyasalar ile sistemleri de etkileyen ve dönüştüren bir konuma gelmiştir. Bu çerçevede ortaya çıkan yeniliklerden biri de kripto paralardır. Son bir kaç yılda, kripto paraların piyasa değerleri ve işlem hacimleri önemli ölçüde artmıştır. Söz konusu para birimlerinin, bir yatırım enstrümanı olarak görülüp görülemeyeceğine ilişkin farklı görüşler bulunmaktadır. Bu çalışmanın amacı, kripto paraların portföy çeşitlendirmesi amacıyla kullanılıp kullanılamayacağını araştırmaktır. Bu doğrultuda, farklı stratejiler ve 7 Ağustos 2015-23 Ocak 2020 dönemi günlük verileri kullanılarak, hisse senetleri, emtialar, döviz kurları ve yatırım fonlarından meydana gelen portföyler oluşturulmuştur. Ardından bu portföylere kripto paralar (Bitcoin, Ethereum, Ripple) ilave edilerek, portföy performanslarının değişimi incelenmiştir. Yapılan analizler neticesinde, kripto paralar ile diğer varlıkların arasındaki korelasyonların çoğunlukla negatif olduğu bulunmuştur. Ayrıca, portföylere kripto paraların eklenmesiyle birlikte, genel olarak daha yüksek getiriler ile Sharpe oranlarına ve daha düşük risk seviyelerine ulaşıldığı görülmüştür. Dolayısıyla, kripto paraların portföy çeşitlendirmesi için iyi bir araç olabilecekleri ve portföy performanslarını olumlu etkiledikleri sonucuna varılmıştır.

Anahtar Kelimeler

Kripto Paralar Portföy Çeşitlendirmesi Portföy Yönetimi

Kaynakça

  • Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2019). Cryptocurrency market contagion: market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money, 61, 37-51.
  • Anyfantaki, S., Arvanitis, S., & Topaloglou, N. (2018). Diversification, integration and cryptocurrency market (Bank of Greece Working Papers No: 244). Bank of Greece web sitesinden erişildi: https://www.bankofgreece.gr/Publications/Paper2018244.pdf (Erişim tarihi: 01.02.2020).
  • Atik, M., Köse, Y., Yılmaz, B., & Sağlam, F. (2015). Kripto para: Bitcoin ve döviz kurları üzerine etkileri. Bartın Üniversitesi İ.İ.B.F. Dergisi, 6(11), 247-261.
  • Brauneis, A., & Mestel, R. (2019). Cryptocurrency-portfolios in a mean-variance framework. Finance Research Letters, 28, 259-264.
  • Carpenter, A. (2016). Portfolio diversification with Bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27.
  • Coinmarketcap. Cryptocurrency market capitalizations. https://coinmarketcap.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34.
  • Çağlar, Ü. (2007). Elektronik para: enformasyon teknolojisindeki gelişmeler ve yeni ödeme sistemleri. Manas Üniversitesi Sosyal Bilimler Dergisi, 9(17), 177-186.
  • Çetiner, M. (2018). Bitcoin (kripto para) ve blok zincirin yeni dünyaya getirdikleri. Istanbul Journal of Social Sciences, (20), ss. 1-16.
  • Elendner, H., Trimborn, S., Ong, B., & Lee, T.M. (2018). The cross-section of crypto-currencies as financial assets: investing in crypto-currencies beyond Bitcoin. D.L.K. Chuen & R. Deng (Ed.), Handbook of blockchain, digital finance, and inclusion, Volume 1: cryptocurrency, fintech, insurtech, and regulation içinde (ss. 145-173). London: Academic Press.
  • Feng, W., Wang, Y., & Zhang, Z. (2018). Can cryptocurrencies be a safe haven: a tail risk perspective analysis. Applied Economics, 50(44), 4745-4762.
  • Gangwal, S. (2016). Analyzing the effects of adding Bitcoin to portfolio. International Journal of Economics and Management Engineering, 10(10), 3519-3532.
  • Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: evidence from Bitcoin. International Review of Financial Analysis, 63, 431-437.
  • Gültekin, Y. (2017). Turizm endüstrisinde alternatif bir ödeme aracı olarak kripto para birimleri: Bitcoin. Güncel Turizm Araştırmaları Dergisi, 1(2), 96-113.
  • Hrytsiuk, P., Babych, T., & Bachyshyna, L. (2019). Cryptocurrency portfolio optimization using value-at-risk measure. Advances in Economics, Business and Management Research, 95, 385-389.
  • Hu, A.S., Parlour, C.A., & Rajan, U. (2019). Cryptocurrencies: stylized facts on a new investible instrument. Financial Management, 48(4), 1049-1068.
  • Investing. Stock market quotes & financial news. https://www.investing.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Kaiser, L. (2019). Seasonality in cryptocurrencies. Finance Research Letters, 31, 232-238.
  • Kajtazi, A., & Moro, A. (2019). The role of Bitcoin in well diversified portfolios: a comparative global study. International Review of Financial Analysis, 61, 143-157.
  • Karaağaç, G.A., & Altınırmak, S. (2018). En yüksek piyasa değerine sahip on kripto paranın birbirleriyle etkileşimi. Muhasebe ve Finansman Dergisi, (79), ss. 123-138.
  • Ketelaars, T. (2018). Investing in the cryptocurrency market: analyzing the diversification effects of cryptocurrencies in a well-diversified portfolio. Yayımlanmamış yüksek lisans tezi, Radboud University, Faculty of Management Sciences, Nijmegen.
  • Klein, T., Thu, H.P., & 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.
  • Lee, D.K.C., Guo, L., & Wang, Y. (2018). Cryptocurrency: a new investment opportunity? The Journal of Alternative Investments, 20(3), 16-40.
  • Liu, W. (2019). Portfolio diversification across cryptocurrencies. Finance Research Letters, 29, 200-205.
  • Moore, W., & Stephen, J. (2016). Should cryptocurrencies be included in the portfolio of international reserves held by central banks? Cogent Economics & Finance, 4(1), 1-12. Petukhina, A., Trimborn, S., Härdle, W.K., & Elendner, H. (2018). Investing with cryptocurrencies – evaluating the potential of portfolio allocation strategies (IRTG Discussion Paper Series 1792). SSRN web sitesinden erişildi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3274193 (Erişim tarihi: 02.02.2020).
  • Symitsi, E., & Chalvatzis, K.J. (2019). The economic value of Bitcoin: a portfolio analysis of currencies, gold, oil and stocks. Research in International Business and Finance, 48, 97-110.
  • Trimborn, S., Li, M., & Härdle, W.K. (2017). Investing with cryptocurrencies – a liquidity constrained investment approach (SBF 649 Discussion Paper Series). Econstor web sitesinden erişildi: https://www.econstor.eu/bitstream/10419/169204/1/SFB649DP2017-014.pdf (Erişim tarihi: 29.01.2020).
  • Wong, W.S., Saerbeck,D., & Silva, D.D. (2018). Cryptocurrency: a new investment opportunity? an investigation of the hedging capability of cryptocurrencies and their influence on stock, bond and gold portfolios (SSRN Papers). SSRN web sitesinden erişildi: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3125737 (Erişim tarihi: 30.01.2020).
  • Wu, C.Y., & Pandey, V.K. (2014). The value of Bitcoin in enhancing the efficiency of an investor’s portfolio. Journal of Financial Planning, 27(9), 44-52.
  • Yahoo Finance. Stock market live, quotes, business & finance news. https://finance.yahoo.com adresinden erişildi (Erişim tarihi: 24.01.2020).
  • Yermack, D. (2018). The potential of digital currency and blockchains. NBER Reporter, (1), ss. 14-17.
Toplam 31 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Yavuz Gül 0000-0002-0208-6798

Yayımlanma Tarihi 24 Temmuz 2020
Yayımlandığı Sayı Yıl 2020 Sayı: 65

Kaynak Göster

APA Gül, Y. (2020). Kripto Paralar ve Portföy Çeşitlendirmesi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi(65), 125-141.
AMA Gül Y. Kripto Paralar ve Portföy Çeşitlendirmesi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. Temmuz 2020;(65):125-141.
Chicago Gül, Yavuz. “Kripto Paralar Ve Portföy Çeşitlendirmesi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 65 (Temmuz 2020): 125-41.
EndNote Gül Y (01 Temmuz 2020) Kripto Paralar ve Portföy Çeşitlendirmesi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 65 125–141.
IEEE Y. Gül, “Kripto Paralar ve Portföy Çeşitlendirmesi”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 65, ss. 125–141, Temmuz 2020.
ISNAD Gül, Yavuz. “Kripto Paralar Ve Portföy Çeşitlendirmesi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 65 (Temmuz 2020), 125-141.
JAMA Gül Y. Kripto Paralar ve Portföy Çeşitlendirmesi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2020;:125–141.
MLA Gül, Yavuz. “Kripto Paralar Ve Portföy Çeşitlendirmesi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 65, 2020, ss. 125-41.
Vancouver Gül Y. Kripto Paralar ve Portföy Çeşitlendirmesi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2020(65):125-41.
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