Examining the relationship between Borsa Istanbul trading volumes and Bitcoin trading volumes with the Toda Yamamoto approach 2017:01 – 2021:12
Öz
Cryptocurrencies emerged with the invention of Bitcoin in 2008 and in a short time they managed to attract the attention of a significant number of investors. Since 2012, cryptocurrency markets have become markets where unpredictable transaction volumes take place around the world. Bitcoin is the most recognized asset which has the highest trading volume in cryptocurrency markets today. This is due to the dominance effect of Bitcoin on cryptocurrency markets. It is a matter of curiosity in the world and in our country whether savings are transferred from traditional financial markets to cryptocurrency markets. In this study, the possible relationships between Bitcoin trading volumes and Bitcoin price changes between 2017 and 2021, and the trading volumes realized in Borsa Istanbul (BIST) and the BIST 100 index were examined with the Granger causality approach and the direction of these relationships was tried to be determined using the Toda Yamamoto causality model. As a result of the examination, it has been determined that there is no causal relationship between Bitcoin trading volumes and Borsa Istanbul trading volumes according to the Toda Yamamoto approach.
Anahtar Kelimeler
Bitcoin Borsa Istanbul Toda Yamamota causality tests Granger causality tests.
Kaynakça
- Angela Rogojanu, L. B. (2015). The Issue of "true" Money in Front of The BitCoin's Offensive. Theoretical and Applied Economics, 2(22), 77-90.
- Babajide Fowowe, M. S. (2016). Dynamic Spillovers Between Nigerian, South African and International Equity Markets. International Economics, 1(148), 59-80.
- Bertrand Candelon, L. F. (2018, Ocak 01). Global Financial Interconnectedness: A Non-Linear Assessment of The Uncertainty Channel. 02 18, 2022 tarihinde Bank Of France: https://www.banque-france.fr/sites/default/files/medias/documents/document-de-travail-661_2018-01.pdf adresinden alındı
- Drakos, A. K. (2020). Testing for herding in the cryptocurrency market. Finance Research Letters, 1(33), 1-5.
- Florian Glaser, K. Z. (2014). Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions. European Conference on Information Systems (s. 1115). Tel Aviv: AIS Electronic Library (AISeL).
- Jiaqi Liang, L. L. (2019). Towards an Understanding of Cryptocurrency: A Comparative Analysis of Cryptocurrency, Foreign Exchange, and Stock. EEE International Conference on Intelligence and Security Informatics, 1(1), 137-139.
- Jinan Liu, A. S. (2019). Volatility in the Cryptocurrency Market. Open Economies Review, 30(1), 779-811.
- Jozo Frankovic, B. L. (2021). On Spillover Effects between Cryptocurrency-Linked Stocks and the Cryptocurrency Market: Evidence from Australia. Global Finance Journal, 1(52), 1-12.
- Katsiampa, P. (2017). Volatility Estimation for Bitcoin: A Comparison of GARCH Models. Economics Letters, 1(158), 3-6.
- Kyriazis, N. A. (2019). A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets. Laboratory of Economic Policy and Strategic Planning, 2(4), 170-186.
- Maftei, L. (2014). Bitcoin- Between Legal and Informal. CES Working Papers, 3(6), 53-59.
- Maurice Omane-Adjepong, I. P. (2019). Herding Behaviour in Cryptocurrency and Emerging Financial Markets. GENERAL & APPLIED ECONOMICS, 9(1), 1-18.
- Miche Hileman, l. R. (2017). Global Cryptocurrency Benchmarking Study. Cambridge: Cambridge Centre for Alternative Finance.
- Morten Bech, R. G. (2017, Eylül 21). Central Bank Cryptocurrencies. Şubat 16, 2021 tarihinde Bank of International Settlements: https://www.bis.org/publ/qtrpdf/r_qt1709f.pdf adresinden alındı
- Rangga Handika, G. S. (2019). Are cryptocurrencies contagious to Asian financial markets? Research in International Business and Finance, 50(1), 416-429.
- Seyram Pearl lKumah, J. O.-M. (2021). Are Cryptocurrencies and African Stock Markets Integrated? The Quarterly Review of Economics and Finance, 1(81), 330-341.
- Shaen Corbet, A. M. (2018d). Exploring The Dynamic Relationships between Cryptocurrencies and Other Financial Assets. Economics Letters, 1(165), 28-34.
- Virk, N. (2022). Bitcoin and Integration Patterns in the Forex Market. Finance Research Letters, 1(44), 1-16.
Borsa İstanbul işlem hacimleri ile Bitcoin işlem hacimleri arasındaki ilişkinin Toda Yamamoto yaklaşımı ile incelenmesi 2017:01 – 2021:12
Öz
Kripto paralar 2008 yılında Bitcoin’nin ortaya çıkmasıyla birlikte kısa zaman içinde önemli sayıda yatırımcının ilgisini çekmeyi başarmışlardır. 2012 yılından itibaren kripto para piyasaları dünya genelinde yüksek derecede işlem hacimlerinin gerçekleştiği piyasalar haline gelmişlerdir. Günümüzde kripto para piyasalarındaki en fazla tanınan ve en yüksek piyasa değerine sahip olan varlık Bitcoin’dir. Bu durum Bitcoin’nin kripto para piyasaları üzerindeki dominasyon etkisi ile değerlendirilmektedir. Tasarrufların geleneksel finansal piyasalardan kripto para piyasalarına doğru geçiş yapıp yapmadıkları dünyada ve ülkemizde merak edilen bir konudur. Bu çalışmanın amacı Bitcoin işlemleri ile Borsa İstanbul’da gerçekleşen işlemler arasında herhangi bir nedensellik ilişkisinin var olup olmadığının ortaya konulmasıdır. Bitcoin işlemlerinde meydana gelecek değişimlerin Borsa İstanbul üzerindeki bir etkiye sahip olup olmadığı belirlenmeye çalışılmıştır. Çalışmada; 2017 ile 2021 yılları arasında gerçekleşen Bitcoin işlem hacimleri ve Bitcoin fiyat değişimleri ile Borsa İstanbul (BİST)’da gerçekleşen işlem hacimleri ve BİST 100 endeksi arasındaki muhtemel ilişkiler Granger nedensellik yaklaşımı ile incelenmiş ve Toda Yamamoto nedensellik modeli kullanılarak bu ilişkilerin yönü belirlenmeye çalışılmıştır. Yapılan inceleme sonucunda Bitcoin işlem hacimleri ile Borsa İstanbul işlem hacimlerinin ilgili tarihler arasında Toda Yamamoto yaklaşımına göre nedensellik ilişkisinin olmadığı tespit edilmiştir.
Anahtar Kelimeler
Bitcoin Borsa İstanbul Toda Yamamota nedensellik testi Granger nedensellik testi.
Kaynakça
- Angela Rogojanu, L. B. (2015). The Issue of "true" Money in Front of The BitCoin's Offensive. Theoretical and Applied Economics, 2(22), 77-90.
- Babajide Fowowe, M. S. (2016). Dynamic Spillovers Between Nigerian, South African and International Equity Markets. International Economics, 1(148), 59-80.
- Bertrand Candelon, L. F. (2018, Ocak 01). Global Financial Interconnectedness: A Non-Linear Assessment of The Uncertainty Channel. 02 18, 2022 tarihinde Bank Of France: https://www.banque-france.fr/sites/default/files/medias/documents/document-de-travail-661_2018-01.pdf adresinden alındı
- Drakos, A. K. (2020). Testing for herding in the cryptocurrency market. Finance Research Letters, 1(33), 1-5.
- Florian Glaser, K. Z. (2014). Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions. European Conference on Information Systems (s. 1115). Tel Aviv: AIS Electronic Library (AISeL).
- Jiaqi Liang, L. L. (2019). Towards an Understanding of Cryptocurrency: A Comparative Analysis of Cryptocurrency, Foreign Exchange, and Stock. EEE International Conference on Intelligence and Security Informatics, 1(1), 137-139.
- Jinan Liu, A. S. (2019). Volatility in the Cryptocurrency Market. Open Economies Review, 30(1), 779-811.
- Jozo Frankovic, B. L. (2021). On Spillover Effects between Cryptocurrency-Linked Stocks and the Cryptocurrency Market: Evidence from Australia. Global Finance Journal, 1(52), 1-12.
- Katsiampa, P. (2017). Volatility Estimation for Bitcoin: A Comparison of GARCH Models. Economics Letters, 1(158), 3-6.
- Kyriazis, N. A. (2019). A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets. Laboratory of Economic Policy and Strategic Planning, 2(4), 170-186.
- Maftei, L. (2014). Bitcoin- Between Legal and Informal. CES Working Papers, 3(6), 53-59.
- Maurice Omane-Adjepong, I. P. (2019). Herding Behaviour in Cryptocurrency and Emerging Financial Markets. GENERAL & APPLIED ECONOMICS, 9(1), 1-18.
- Miche Hileman, l. R. (2017). Global Cryptocurrency Benchmarking Study. Cambridge: Cambridge Centre for Alternative Finance.
- Morten Bech, R. G. (2017, Eylül 21). Central Bank Cryptocurrencies. Şubat 16, 2021 tarihinde Bank of International Settlements: https://www.bis.org/publ/qtrpdf/r_qt1709f.pdf adresinden alındı
- Rangga Handika, G. S. (2019). Are cryptocurrencies contagious to Asian financial markets? Research in International Business and Finance, 50(1), 416-429.
- Seyram Pearl lKumah, J. O.-M. (2021). Are Cryptocurrencies and African Stock Markets Integrated? The Quarterly Review of Economics and Finance, 1(81), 330-341.
- Shaen Corbet, A. M. (2018d). Exploring The Dynamic Relationships between Cryptocurrencies and Other Financial Assets. Economics Letters, 1(165), 28-34.
- Virk, N. (2022). Bitcoin and Integration Patterns in the Forex Market. Finance Research Letters, 1(44), 1-16.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Finans |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Ekim 2022 |
| Yayımlandığı Sayı | Yıl 2022 Cilt: 8 Sayı: 3 |
