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Long-Term Empirical Interaction of Bitcoin Prices and Selected Financial Assets in The Covid-19 Period: A Review of ARDL Analysis

Year 2023, Volume: 41 Issue: 1, 21 - 43, 29.03.2023
https://doi.org/10.17065/huniibf.1084969

Abstract

The aim of this study is to analyze the long-term relationships between Bitcoin, a crypto currency and selected alternative investment instruments (Brent Oil, Gold, Etherium) and selected indicators (Dow Jones, VIX, Covid-19 Google Trend searches) during the Covid-19 pandemic. For this purpose, weekly data for the period 23/02/2020-16/01/2022 were used in the study. The existence of a long-term relationship between Bitcoin prices and selected financial indicators has been tested using the ARDL Bounds Test. As a result of the analysis, it has been determined that there is a long-term relationship between Bitcoin price and selected financial indicators. According to the results obtained from the long-term coefficients, it has been found that the indicators that affect the Bitcoin price the most are the Gold and VIX indexes. On the other hand, no long-term relationship was found between Bitcoin prices and Brent Petrol and Dow Jones index. Looking at the results of the short-term error correction model, it has been found that 51% of the imbalance or deviation that will occur as a result of a possible shock or negative scenario in the current period can be compensated in the next period (in the next week or weeks).

References

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COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ

Year 2023, Volume: 41 Issue: 1, 21 - 43, 29.03.2023
https://doi.org/10.17065/huniibf.1084969

Abstract

Bu çalışmanın amacı, Covid-19 sürecinde bir kripto para birimi olan Bitcoin’in; seçilmiş alternatif yatırım araçları (Brent Petrol, Altın, Etherium) ve seçilmiş göstergeler (Dow Jones, VIX, Covid-19 Google Trend aramaları) ile arasındaki uzun dönemli ilişkileri analiz etmektir. Bu amaç doğrultusunda çalışmada 23/02/2020-16/01/2022 dönemine ait haftalık verilerden yararlanılmıştır. Bitcoin fiyatları ile seçilmiş finansal göstergeler arasındaki uzun dönemli ilişkinin varlığı ise, ARDL Sınır Testi aracılığıyla sınanmıştır. Yapılan analiz neticesinde Bitcoin fiyatı ile seçilmiş finansal göstergeler arasında uzun dönemli bir ilişkinin varlığı tespit edilmiştir. Uzun dönem katsayılarından elde edilen sonuçlara göre, Bitcoin fiyatını en fazla etkileyen göstergelerin, Altın ve VIX endeksi olduğu bulgulanmıştır. Diğer yandan, Bitcoin fiyatları ile Brent Petrol ve Dow Jones endeksi arasında uzun dönemli bir ilişkiye rastlanılmamıştır. Kısa dönem hata düzeltme modelinin sonuçlarına bakıldığında, cari dönemde olası bir şok veya olumsuz senaryo neticesinde meydana gelecek dengesizliğin veya sapmanın bir sonraki dönemde (gelecek haftada veya haftalarda) %51’lik kısmının telafi edilebileceği bulgulanmıştır.

References

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  • Akpınar, T. ve Kazar, G. (2021). Davranışsal finans açısından Covid-19 etkileri. (Ed.), Ekonomi Politika ve Uygulamalarının Ampirik Tahlili: İktisat, Finans, Maliye (s.87-104) Yayınevi: Gazi Kitabevi.
  • Akyıldırım, E., Corbet, S., Lucey, B., Sensoy, A., & Yarovaya, L. (2020). The relationships between implied volatility and cryptocurrency returns. Finance Research Letters, 33, 101212. https://doi.org/10.1016/j.frl.2019.06.010
  • Alper, F.Ö., & Alper, A. E. (2017). Karbondioksit emisyonu, ekonomik büyüme, enerji tüketimi ilişkisi: Türkiye için bir ARDL sınır testi yaklaşımı. Sosyoekonomi, 25(33), 145-156 https://doi.org/10.17233/sosyoekonomi.292114
  • Anamika, Chakraborty, M., & Subramaniam, S. (2021). Does sentiment impact cryptocurrency? Journal of Behavioral Finance, 1-17. https://doi.org/10.1080/15427560.2021.1950723
  • Avşarlıgil, N. (2020). Covid-19 salgının bitcoin ve diğer finansal piyasalar ile ilişkisi üzerine bir inceleme. Alanya Akademik Bakış Dergisi, 4(3), 665-682. https://doi.org/10.29023/alanyaakademik.735214
  • Aysan, A., Polat, AY, Tekin, H., & Tunalı, A.S. (2021). Bitcoin-specific fear sentiment matters in the COVID-19 outbreak. SSRN 3931064. https://doi.org/10.1108/SEF-02-2021-0080
  • Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34. https://doi.org/10.1080/13504851.2014.916379
  • Baur, D.G., Hong, K.J., & Lee, A.D. (2015). Bitcoin: Currency or asset? Melbourne Business School.
  • Bejaoui, A, Nidhal Mgadmi, & Wajdi Moussa (2021b) On the relationship between bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis, SSRN: https://ssrn.com/abstract=3947714
  • Bejaoui, A., Mgadmi, N., Moussa, W., & Sadraoui, T. (2021a). A short-and long-term analysis of the nexus between bitcoin, social media and covid-19 outbreak. Heliyon, 7(7), e07539. https://doi.org/10.1016/j.heliyon.2021.e07539
  • Bektaş, S., & Baykuş, O. (2020). Seçilmiş sektörel krediler ve iktisadi büyüme ilişkisinin ampirik analizi: Türkiye katılım bankaları örneği. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(10), 244-258. Retrieved from https://dergipark.org.tr/tr/pub/asead/issue/57514/803294
  • Blau, B.M. (2017). Price dynamics and speculative trading in Bitcoin. Research in International Business and Finance, 41, 493-499. https://doi.org/10.1016/j.ribaf.2017.05.010
  • Bouri, E., R. Gupta, A. K. Tiwari, & D. Roubaud (2017). Does bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters 23, 87–95 https://doi.org/10.1016/j.frl.2017.02.009
  • Bozkurt, E., & Altıner, A. (2018). Doğrusal ve doğrusal olmayan birim kök testleriyle Türkiye’de işsizlik histerisinin tespiti. Uluslararası İktisadi ve İdari İncelemeler Dergisi, Prof. Dr. Harun TERZİ Özel Sayısı, 167-180. https://doi.org/10.18092/ulikidince.444815
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  • Ciaian, Pavel, Miroslava Rajcaniova, & d’Artis Kancs (2016). The Economics of bitcoin price formation. Applied Economics, 48(19), 1799-1815, https://doi.org/10.1080/00036846.2015.1109038
  • Coinmarketcap (2021). Bitcoin işlem hacmi verisi. 18.02.2022 tarihinde https:www.coinmarketcap.com adresinden erişilmiştir.
  • Chen Conghui, Lanlan L., & Ningru Zhao (2020). Fear sentiment, uncertainty, and bitcoin price dynamics: The case of Covid-19. Emerging Markets Finance and Trade, 56(10), 2298-2309. https://doi.org/10.1080/1540496X.2020.1787150
  • Conlon, T., & Mcgee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35, 1-5. https://doi.org/10.1016/j.frl.2020.101607
  • Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182-199. https://doi.org/10.1016/j.irfa.2018.09.003
  • Corbet, S., Larkın, C., & Lucey, B. (2020). The contagion effects of the Covid-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 1-7. https://doi.org/10.1016/j.frl.2020.101554
  • Demir, E., M. H. Bilgin, G. Karabulut, & Doke, A.C. (2020). The relationship between cryptocurrencies and COVID-19 pandemic. Eurasian Economic Review 10(3), 349-360. https://doi.org/10.1007/s40822-020-00154-1
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There are 65 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Selahattin Bektaş 0000-0001-6285-8318

Semih Gül 0000-0001-8446-1565

Hasan Bakır 0000-0002-8248-6643

Publication Date March 29, 2023
Submission Date March 9, 2022
Published in Issue Year 2023 Volume: 41 Issue: 1

Cite

APA Bektaş, S., Gül, S., & Bakır, H. (2023). COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 41(1), 21-43. https://doi.org/10.17065/huniibf.1084969
AMA Bektaş S, Gül S, Bakır H. COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. March 2023;41(1):21-43. doi:10.17065/huniibf.1084969
Chicago Bektaş, Selahattin, Semih Gül, and Hasan Bakır. “COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 41, no. 1 (March 2023): 21-43. https://doi.org/10.17065/huniibf.1084969.
EndNote Bektaş S, Gül S, Bakır H (March 1, 2023) COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41 1 21–43.
IEEE S. Bektaş, S. Gül, and H. Bakır, “COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 41, no. 1, pp. 21–43, 2023, doi: 10.17065/huniibf.1084969.
ISNAD Bektaş, Selahattin et al. “COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 41/1 (March 2023), 21-43. https://doi.org/10.17065/huniibf.1084969.
JAMA Bektaş S, Gül S, Bakır H. COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41:21–43.
MLA Bektaş, Selahattin et al. “COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 41, no. 1, 2023, pp. 21-43, doi:10.17065/huniibf.1084969.
Vancouver Bektaş S, Gül S, Bakır H. COVİD-19 DÖNEMİNDE BİTCOİN FİYATLARININ SEÇİLMİŞ FİNANSAL GÖSTERGELER İLE UZUN DÖNEM AMPİRİK ETKİLEŞİMİ: ARDL ANALİZİ İNCELEMESİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;41(1):21-43.

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