CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS

Onur ÖZDEMİR (İstanbul Gelişim Üniversitesi, İktisadi İdari ve Sosyal Bilimler Fakültesi, Anabilim Dalı Uluslararası Ticaret ve Finans (İngilizce), İstanbul, Türkiye)
Hitit Sosyal Bilimler Dergisi (Online)
2 2
Yıl: 2021 Cilt: 14 Sayı: 1 Sayfa Aralığı: 110 - 123 Metin Dili: İngilizce DOI: 10.17218/hititsbd.881250 İndeks Tarihi: 29-07-2022

CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS

Öz:
This study explores the bubble behavior in the prices of top five cryptocurrencies (i.e., Bitcoin, Ethereum, Ripple, Stellar, and Tether) using daily data of the closing level at the COVID-19 pandemic, covering the period from January 2, 2020 to January 2, 2021. The testing procedure of the bubble behavior in selected cryptocurrencies prices is investigated by two methodologies. Those covers the test statistics originated by the Supremum Augmented Dickey-Fuller (SADF) (Phillips et al., 2011) and Generalized Supremum Augmented Dickey-Fuller (GSADF) (Phillips et al., 2015) to define several bubble periods. The empirical results emphasize that bubble behavior is not a diverse and stable feature of Bitcoin, Ethereum, Ripple, and Stellar prices, except the Tether prices, which point out the emergence of a potential crisis in the digital assets market through an increasing degree of financial instability.
Anahtar Kelime: Cryptocurrencies Bubble Behavior

KRİPTO PARALAR, COVID-19 PANDEMİSİ VE FİNANSAL BALONLAR: İLK BEŞ DİJİTAL VARLIK ÖRNEĞİ

Öz:
Bu çalışma, 2 Ocak 2020 ve 2 Ocak 2021 arasındaki dönemi kapsayan COVID-19 pandemisindeki kapanış seviyesinin günlük verilerini kullanarak ilk beş kripto para biriminin (Bitcoin, Ethereum, Ripple, Stellar ve Tether) fiyatlarındaki balon davranışını araştırmaktadır. Seçilen kripto para birimlerinin fiyatlarındaki balon davranışını test etmek için kullanılan teknik iki farklı yöntem ile araştırılmaktadır. Bu yöntemler birden çok balon dönemini belirlemek için Eküs Genişletilmiş Dickey-Fuller (Supremum Augmented Dickey-Fuller-SADF) (Phillips et al., 2011) ve Genelleştirilmiş Eküs Genişletilmiş Dickey-Fuller (Generalized Supremum Augmented Dickey-Fuller-GSADF) (Phillips et al., 2015) tarafından oluşturulan test istatistiklerinin kapsamaktadır. Elde edilen ampirik sonuçlar artan finansal istikrarsızlık nedeniyle Tether fiyatları dışında dijital varlık piyasasında potansiyel bir krizin ortaya çıktığını Bitcoin, Ethereum, Ripple ve Stellar fiyatlarında tekrar eden ve ortak bir balon davranışı çerçevesinde ortaya koymaktadır.
Anahtar Kelime: COVID-19

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Afşar, M., Afşar, A., and Doğan, E. (2019). Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 54, 447-460. doi: 10.18070/erciyesiibd.461888
  • Aharon, D. Y., and Qadan, M. (2019). Bitcoin and the day-of-the-week effect. Finance Research Letters, 31. doi: 10.1016/j.frl.2018.12.004
  • Bouri, E., Shahzad, S. J. H., and Roubaud, D. (2019). Co-explosivity in the cryptocurrency market. Finance Research Letters, 29, 178-183. doi: 10.1016/j.frl.2018.07.005
  • Bouri, E., Gkillas, K., and Gupta, R. (2020). Trade uncertainties and the hedging abilities of Bitcoin. Economic Notes, 49(3), e12173. doi: 10.1111/ecno.12173
  • Ceylan, F., Ekinci, R., Tüzün, O., and Kahyaoğlu, H. (2018). Kripto para piyasasında balonların tespiti: Bitcoin ve Ethereum örneği. Business and Management Studies: An International Journal, 6(3), 263-274. doi: 10.15295/bmij.v6i3.355
  • Ciaian, P., Rajcaniova, M., and Kancs, A. (2018). Virtual relationships: short- and long-run evidence from Bitcoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195. doi: 10.1016/j.intfin.2017.11.001
  • Conlon, T., and McGee, R. J. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607. doi: 10.1016/j.frl.2020.101607
  • Conlon, T., Corbet, S., and McGee, R. J. (2020). Are cryptocurrencies a safe have for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. doi: 10.1016/j.ribaf.2020.101248
  • Corbet, S., Lucey, B., and Yarovaya, L. (2018). Datestamping the Bitcoin and Ethereum bubbles. Finance Research Letters, 26, 81-88. doi: 10.1016/j.frl.2017.12.006
  • Corbet, S. Larkin, C., and Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Finance Research Letters, 35, 10155. doi: 10.1016/j.frl.2020.101554
  • Corbet, S., Hou, Y., Hu, Y., Oxley, L., and Xu, D. (2021). Pandemic-related financial market volatility spillovers: evidence from the Chinese COVID-19 epicentre. International Review of Economics and Finance, 71, 55-81. doi: 10.1016/j.iref.2020.06.022
  • Geuder, J., Kinateder, H., and Wagner, N. F. (2019). Cryptocurrencies as financial bubbles: the case of Bitcoin. Finance Research Letters, 31, 179-184. doi: 10.1016/j.frl.2018.11.011
  • Ghorbel, A. and Jeribi, A. (2021). Investigating the relationship between volatilities of cryptocurrencies and other financial assets. Decisions in Economics and Finance, 449. doi: 10.1007/s10203-020-00312-9
  • Goodell, J. W., and Goutte, S. (2020). Co-movement of COVID-19 and Bitcoin: evidence from wavelet coherence analysis. Finance Research Letters, forthcoming. doi: 10.1016/j.frl.2020.101625
  • Hepkorucu, A., and Genç, S. (2019). Kripto para değerleri için spekülatif fiyat balonlarının test edilmesi: Bitcoin üzerine bir uygulama. Veri Bilimi Dergisi, 2(1), 44-50.
  • Hu, Y., Valera, H. G. A., and Oxley, L. (2019). Market efficiency of the top market-cap cryptocurrencies: further evidence from a panel framework. Finance Research Letters, 31, 138-145. doi: 10.1016/j.frl.2019.04.012
  • Ito, M., Noda, A., and Wada, T. (2014). International stock market efficiency: a non-Bayesian time-varying model approach. Applied Economics, 46(23), 2744-2754. doi: 10.1080/00036846.2014.909579
  • James, N., Menzies, M., and Chan, J. (2019). Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19. Retrieved from: https://arxiv.org/abs/1912.06193
  • Katsiampa, P., Corbet, S., and Lucey, B. (2019). High frequency volatility co-movements in cryptocurrency markets. Journal of International Financial Markets, Institutions and Money, 62, 35-62. doi: 10.1016/j.intfin.2019.05.003
  • Keçeci, N. F. (2020). Dört büyük kriptoparanın piyasa riskinde COVID-19 pandemi etkisi. Journal of Research in Economics, Politics and Finance, 5, 206-224. doi: 10.30784/epfad.811219
  • Kinateder, H., and Papavassiliou, V. G. (2021). Calendar effects in Bitcoin returns and volatility. Finance Research Letters, 38, 101420. doi: 10.1016/j.frl.2019.101420
  • Kristoufek, L. (2020). Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: evidence from the COVID-19 pandemics. Retrieved from: https://arxiv.org/abs/2004.00047
  • Kyrazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67. doi: 10.3390/jrfm12020067
  • Le Tran, V. and Leirvik, T. (2020). Efficiency in markets of crypto-currencies. Finance Research Letters, 35, 101382. doi: 10.1016/j.frl.2019.101382
  • Lahmiri, S., and Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons & Fractals, 138, 109936. doi: 10.1016/j.chaos.2020.109936
  • Mete, S., Koy, A., and Ersoy, H. (2019). Kriptoparalarda fiyat balonu incelemesi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 13(1), 105-120.
  • Mnif, E., Jarboui, A., and Mouakhar, K. (2020). How the cryptocurrency market has performed during COVID-19? A multifractal analysis. Finance Research Letters, 36, (1016479), 1-14.
  • Omane-Adjepong, M., and Alagidede, I. P. (2019). Multiresolution analysis and spillovers of major cryptocurrency markets. Research in International Business and Finance, 49, 191-206. doi: 10.1016/j.ribaf.2019.03.003
  • Palamalai, S., and Maity, B. (2019). Return and volatility spillover effects in leading cryptocurrencies. Global Economy Journal, 19(3), 1-20. doi: 10.1142/S2194565919500179
  • Phillips, P. C. B., and Shi, S-P. (2018). Financial bubble implosion and reverse regression. Econometric Theory, 34(4), 705-753. doi: 10.1017/S01266466617000202
  • Phillips, P. C. B., and Shi, S-P. (2020). Real time monitoring of asset markets: bubbles and crises. In: H. D. Vinod and C. R. Rao (Eds.), Handbook of statistics: financial, macro and micro econometrics using R, vol. 42, 61-80, Amsterdam: Elsevier.
  • Phillips, P. C. B., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? International Economic Review, 52, 201-226. doi: 10.1111/j.1468-2354.2010.00625.x
  • Phillips, P. C. B., Shi, S-P., and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56, 1043-1078. doi: 10.1111/iere.12132
  • Polat, M., and Tuncel, F. B. (2020). Borsa İstanbul ve kripto paralar arasında saklı eşbütünleşme ilişkisi. Finans, Politik ve Ekonomik Yorumlar, 654, 119-137.
  • Sifat, I. M., Mohamad, A., and Shariff, M. S. B. M. (2019). Lead-lag relationship between Bitcoin and Ethereum: evidence from hourly and daily data. Research in International Business and Finance, 50, 306-321. doi: 10.1016/j.ribaf.2019.06.012
  • Şahin, E. E. (2020). Kripto para fiyatlarında balon varlığının tespiti: Bitcoin, IOTA ve Ripple örneği. Selçuk Üniversitesi Sosyal Bilimler Dergisi, 43, 62-69.
  • Urquhart, A. and Hudson, R. (2013). Efficient of adaptive markets? Evidence from major stock markets using vey long historic data. International Review of Financial Analysis, 28, 130-142. doi: 10.1016/j.irfa.2013.03.005
  • Urquhart, A. and McGroarty, F. (2016). Are stock markets really efficient) evidence of the adaptive market hypothesis. International Review of Financial Analysis, 47, 39-49. doi: 10.1016/j.irfa.2016.06.011
  • Vidal-Tomás, D., and Ibañes, A. (2018). Semi-strong efficiency of Bitcoin. Finance Research Letters, 27, 259-265. doi: 10.1016/j.frl.2018.03.013
  • Yarovaya, L., Matkovskyy, R., and Jalan, A. (2020). The effects of a ‘Black Swan’ even (COVID-19) on herding behavior in cryptocurrency markets: evidence from cryptocurrency USD, EUR, JPY and KRW markets. Retrieved from: https://papers.ssrn.com/sol3/ papers.cfm?abstract_id=3586511
  • Yousaf, I., and Ali, S. (2020). Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic. Financial Innovation, 6(45), 1-18.
  • Zhang, W., Wang, P., Li, X., and Shen, D. (2018). Quantifying the cross-correlations between online searches and Bitcoin market. Physica A: Statistical Mechanics and its Applications, 509, 657-672. doi: 10.1016/j.physa.2018.06.073
APA Özdemir O (2021). CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. , 110 - 123. 10.17218/hititsbd.881250
Chicago Özdemir Onur CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. (2021): 110 - 123. 10.17218/hititsbd.881250
MLA Özdemir Onur CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. , 2021, ss.110 - 123. 10.17218/hititsbd.881250
AMA Özdemir O CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. . 2021; 110 - 123. 10.17218/hititsbd.881250
Vancouver Özdemir O CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. . 2021; 110 - 123. 10.17218/hititsbd.881250
IEEE Özdemir O "CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS." , ss.110 - 123, 2021. 10.17218/hititsbd.881250
ISNAD Özdemir, Onur. "CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS". (2021), 110-123. https://doi.org/10.17218/hititsbd.881250
APA Özdemir O (2021). CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. Hitit Sosyal Bilimler Dergisi (Online), 14(1), 110 - 123. 10.17218/hititsbd.881250
Chicago Özdemir Onur CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. Hitit Sosyal Bilimler Dergisi (Online) 14, no.1 (2021): 110 - 123. 10.17218/hititsbd.881250
MLA Özdemir Onur CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. Hitit Sosyal Bilimler Dergisi (Online), vol.14, no.1, 2021, ss.110 - 123. 10.17218/hititsbd.881250
AMA Özdemir O CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. Hitit Sosyal Bilimler Dergisi (Online). 2021; 14(1): 110 - 123. 10.17218/hititsbd.881250
Vancouver Özdemir O CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS. Hitit Sosyal Bilimler Dergisi (Online). 2021; 14(1): 110 - 123. 10.17218/hititsbd.881250
IEEE Özdemir O "CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS." Hitit Sosyal Bilimler Dergisi (Online), 14, ss.110 - 123, 2021. 10.17218/hititsbd.881250
ISNAD Özdemir, Onur. "CRYPTOCURRENCIES, COVID-19 PANDEMIC AND THE FINANCIAL BUBBLES: THE CASE OF TOP FIVE DIGITAL ASSETS". Hitit Sosyal Bilimler Dergisi (Online) 14/1 (2021), 110-123. https://doi.org/10.17218/hititsbd.881250
Sayfa Oluşturulma Tarihi
23-04-2024 21:45

İLETİŞİM

TÜBİTAK ULAKBİM TR Dizin

Yüzüncüyıl, İşçi Blokları Mahallesi

Muhsin Yazıcıoğlu Caddesi No:51/C

06530 Çankaya / ANKARA +90 (312) 298 92 00

trdizin@tubitak.gov.tr

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © Tüm Hakları Saklıdır. Gizlilik Politikası Kullanım Şartları