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INVESTIGATION OF THE EXISTENCE OF A FINANCIAL BUBBLE IN CRYPTOCURRENCIES

Year 2022, Volume: 6 Issue: 4, 1414 - 1431, 31.12.2022
https://doi.org/10.47525/ulasbid.1193473

Abstract

In this study, the financial bubble was investigated in 10 cryptocurrencies that have the highest supply and trading volume. These are Bitcoin, Ethereum, Tether, USD Coin, BNB, Ripple, Binance USD, Cardano, Solana, and Dogecoin. The examination interval of each variable differs. The study was completed with daily frequency data by applying the generalized sup-ADF (GSADF) test. As a result of the study, the existence of financial bubbles was detected in Bitcoin, Ethereum, Tether, BNB, Ripple, and Solana series. Among these variables, the most financial bubble was Bitcoin. In the results of the GSADF review, it was found that there were 46 financial bubbles in Bitcoin on the basis of the review period. Meanwhile, the maximum period in the series of financial bubbles is 104 days and this bubble is only found in Bitcoin. Ripple is the variable with the least financial bubble. The results obtained from the study were evaluated from the financial perspective of the risk.

References

  • Bianchetti, M., Ricci, C. ve Scaringi, M., (2018). Are Cryptocurrencies Real Financial Bubbles? Evidence From Quantitative Analyses. Available at SSRN: https://ssrn.com/abstract=3092427 or http://dx.doi.org/10.2139/ssrn.3092427
  • Bouoiyour, J., Selmi, R. ve Tiwari, A., (2014). Is Bitcoin Business Income Or Speculative Bubble? Unconditional Vs. Conditional Frequency Domain Analysis. MPRA, Paper No. 59595. Available at: https://mpra.ub.uni-muenchen.de/59595/
  • Bouri, E., Gupta, R. ve Roubaud, D. (2019). Herding Behaviour in Cryptocurrencies. Finance Research Letter, 29, 216-221.
  • Brunnermeier, M. K. ve Oehmke, M. (2012). Bubbles, Financial Crises, And Systemic Risk. NBER Working Paper, (18398) 1221-1288. DOI: 10.3386/w18398.
  • Buğan, M. F. (2021). Bitcoin ve Altcoin Kripto Para Piyasalarında Finansal Balonlar. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 13(24), 165-180.
  • Campbell, J. Y., Lo, A. W. ve MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton University Press, Princeton, New Jersey.
  • Ceylan F., Ekinci R., Tüzün O. ve Kahyaoğlu H. (2018), Kripto Para Piyasasında Balonların Tespiti: Bitcoin ve Ethereum Örneği, BMIJ, 6(3): 263-274. DOI: http://dx.doi.org/10.15295/bmij.v6i3.355
  • Chaim, P. ve Laurini, M. (2019). Is Bitcoin a Bubble? Phys. A: Stat. Mech. Appl. 517, 222-232.
  • Cheah, E. T., ve Fry, J. (2015). Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into The Fundamental Value Of Bitcoin. Economics letters, 130, 32-36
  • Coinmarketcap (2022). https://coinmarketcap.com/tr/
  • Corbet, S., Mchugh, G., Ve Meegan, A. (2017). The Influence Of Central Bank Monetary Policy Announcements On Cryptocurrency Return Volatility. Investment Management And Financial Innovations, 14(4), 60-72. DOI: http://10.21511/imfi.14(4).2017.07
  • Devault, L., ve Wang, K. (2021). Embracing The Future Or Buying into The Bubble: Do Sophisticated Institutions Invest in Crypto Assets? Available at SSRN 3965717 or DOI: https://dx.doi.org/10.2139/ssrn.3965717
  • Eom, Y. (2020). Premium And Speculative Trading in Bitcoin. Finance Research Letter, 38, 101505. DOI: https://doi.org/10.1016/j.frl.2020.101505
  • Ersan, İ. (2019). Bitcoin: Gelecek Mi, Balon Mu? Muhasebe Enstitüsü Dergisi, 60, 5-8. https://doi.org/10.26650/MED.2019507044
  • Evlimoğlu, U. ve Güder, M. (2021), Tarihteki Ekonomik Balonlar Işığında Kripto Paralara Genel Bir Bakış, Abant Sosyal Bilimler Dergisi, 21(3), s. 469- 496, https://doi.org/10.11616/asbi.955230.
  • Geuder, J., Kinateder, H. ve Wagner, N., (2019). Cryptocurrencies As Financial Bubbles: The Case Of Bitcoin. Finance Research Letters, 31. DOI: https://doi.org/10.1016/j.frl.2018.11.011
  • Güleç, T. C., ve Aktaş, H. (2019). Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. Muhasebe ve Finansman Dergisi, (84), 149-164.
  • Hafner, C. (2018). Testing For Bubbles in Cryptocurrencies With Time-Varying Volatility. Journal of Financial Econometrics, 18(2). DOI: https://doi.org/10.1093/jjfinec/nby023
  • Hepkorucu, A., ve Genç, S. (2019). Kripto Para Değerleri İçin Spekülatif Fiyat Balonlarının Test Edilmesi: Bitcoin Üzerine Bir Uygulama. Veri Bilimi, 2(1), 44-50.
  • Kamacı, A., ve Özden, N. M. (2019). Lale Çılgınlığı ve Kripto Para İlişkisi. Econder International Academic Journal, 3(1), 26-40.
  • Kamışlı, M., Kamışlı, S., ve Temizel, F. (2019). Empirical Evidence Of The Relationships Between Bitcoin And Stock Exchanges: Case Of Return And Volatility Spillover. In Blockchain Economics and Financial Market Innovation (pp. 293-318). Springer, Cham.
  • Kindleberger, C. P. (1978). Manias, Panics, And Crashes: A History Of Financial Crises. Wiley Investment Classics.
  • Kindleberger, C.P. Ve Aliber R.Z. (2013). Çılgınlık, Panik ve Çöküş: Finansal Krizler Tarihi. (Çev: Ümit Şensoy). İstanbul: Türkiye İş Bankası Kültür Yayınları.
  • Komaromi, G. (2004). Anatomy Of Stock Market Bubbles. The ICFAI University Press. http://www.stockmarketbubbles.com/anatomy.pdf (Erişim tarihi 01.10.2021).
  • Kyriazis, N., Papadamou, S. ve Corbet, S. (2020). A Systematic Review Of The Bubble Dynamics Of Cryptocurrency Prices. Research in International Business and Finance, 54, 101254. DOI: https://doi.org/10.1016/j.ribaf.2020.101254
  • Mete, S. Koy, A. ve Ersoy, H. (2019). Kriptoparalarda Fiyat Balonu İncelemesi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 13(1), 105-120.
  • Minsky, H. P. (1992). The Financial Instability Hypothesis. The Levy Economics Institute Working Paper. http://www.levyinstitute.org/pubs/wp74.pdf (Erişim tarihi: 18.06.2021).
  • Nakamoto, S. (2008). Bitcoin: A Peer-To-Peer Electronic Cash System. Decentralized Business Review, 21260. DOI: https://dx.doi.org/10.2139/ssrn.3440802
  • Phillips, P. C., Shi, S. ve Yu, J. (2015). Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse in The S&P 500. International Economic Review, 56(4), 1043-1078. DOI: https://doi.org/10.1111/iere.12132
  • Phillips, R.C. ve Gorse, D. (2018). Cryptocurrency Price Drivers: Wavelet Coherence Analysis Revisited. PLOS ONE, 13 (4), e0195200. DOI: https://doi.org/10.1371/journal.pone.0195200
  • Sağlam Bezgin, M. (2019). Borsa İstanbul’da Finansal Kabarcıkların Tespit Edilmesi ve Kabarcıkların Finansal Krizlerle İlişkisi (Yayımlanmış Doktora Tezi). Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Sağlam Bezgin, M. ve Başar, M. (2020). The Research Of Asset Price Bubble At Borsa Istanbul And Financial Crisis Relationship. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(2), 143-156.
  • Shrotryia, V. K. ve Kalra, H. (2021). Herding in The Crypto Market: A Diagnosis Of Heavy Distribution Tails. Review of Behavioral Finance. https://doi.org/10.1108/RBF-02-2021-0021
  • Shu, M. ve Zhu, W. (2020). Real-Time Prediction Of Bitcoin Bubble Crashes. Physica A: Statistical Mechanics and its Applications, 548. DOI: https://doi.org/10.1016/j.physa.2020.124477
  • Songur, M. (2019). Bitcoin Piyasasında Balonlar: Genelleştirilmiş Eküs ADF Testi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 7(6), 187-192.
  • Stiglitz, J. (1990). Symposium On Bubbles. The Journal of Economic Perspective. 4(2), 13-18.
  • Swan, M. (2017). Anticipating The Economic Benefits Of Blockchain. Technology Innovation Management Review, 7(10), 6-13.
  • Şahin, E. E. (2020). Kripto Para Fiyatlarında Balon Varlığının Tespiti: Bitcoin, Iota Ve Ripple Örneği. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (43), 62-69.
  • Tsay, R. S. (2005). Analysis Of Financial Time Series. John Wiley & Sons Press. New Jersey.
  • Watanabe, K., Takayasu, H. Ve Takayasu, M. (2007). A Mathematical Defination Of The Financial Bubbles And Crashes. Physica A, (383), 120-124.
  • Zeren, F., Ve Esen S. (2018). Geleceğin Para Birimi Ya Da Sadece Bir Balon: Bitcoin. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(39), 433-448.

KRİPTO PARALARDA FİNANSAL BALON VARLIĞININ ARAŞTIRILMASI

Year 2022, Volume: 6 Issue: 4, 1414 - 1431, 31.12.2022
https://doi.org/10.47525/ulasbid.1193473

Abstract

Bu çalışmada en yüksek arza ve işlem hacmine sahip olan 10 adet kripto parada finansal balon varlığı araştırılmıştır. Bunlar; Bitcoin, Ethereum, Tether, USD Coin, BNB, Ripple, Binance USD, Cardano, Solana ve Dogecoin’dir. Her bir değişkenin inceleme aralığı farklılık göstermektedir. İncelemeler günlük frekanslı serilerle yapılmıştır ve araştırmada Genelleştirilmiş Sub-ADF (GSADF) testi kullanılmıştır. Analiz sonuçlarına göre Bitcoin, Ethereum, Tether, BNB, Ripple ve Solana serilerinde finansal balon bulgusuna rastlanmıştır. Bu değişkenler içerisinde en fazla finansal balonun olduğu değişken Bitcoin’dir. GSADF incelemesi sonuçlarında Bitcoin’de inceleme dönemi bazında 46 adet finansal balon olduğu tespit edilmiştir. Bununla birlikte incelenen seriler içerisinde finansal balonlarda en fazla süre 104 gündür ve bu balon Bitcoin’de yaşanmıştır. En az finansal balonun meydana geldiği değişken ise Ripple’dır. Araştırmadan elde edilen sonuçlar finansal risk perspektifinden değerlendirilmiştir.

References

  • Bianchetti, M., Ricci, C. ve Scaringi, M., (2018). Are Cryptocurrencies Real Financial Bubbles? Evidence From Quantitative Analyses. Available at SSRN: https://ssrn.com/abstract=3092427 or http://dx.doi.org/10.2139/ssrn.3092427
  • Bouoiyour, J., Selmi, R. ve Tiwari, A., (2014). Is Bitcoin Business Income Or Speculative Bubble? Unconditional Vs. Conditional Frequency Domain Analysis. MPRA, Paper No. 59595. Available at: https://mpra.ub.uni-muenchen.de/59595/
  • Bouri, E., Gupta, R. ve Roubaud, D. (2019). Herding Behaviour in Cryptocurrencies. Finance Research Letter, 29, 216-221.
  • Brunnermeier, M. K. ve Oehmke, M. (2012). Bubbles, Financial Crises, And Systemic Risk. NBER Working Paper, (18398) 1221-1288. DOI: 10.3386/w18398.
  • Buğan, M. F. (2021). Bitcoin ve Altcoin Kripto Para Piyasalarında Finansal Balonlar. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 13(24), 165-180.
  • Campbell, J. Y., Lo, A. W. ve MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton University Press, Princeton, New Jersey.
  • Ceylan F., Ekinci R., Tüzün O. ve Kahyaoğlu H. (2018), Kripto Para Piyasasında Balonların Tespiti: Bitcoin ve Ethereum Örneği, BMIJ, 6(3): 263-274. DOI: http://dx.doi.org/10.15295/bmij.v6i3.355
  • Chaim, P. ve Laurini, M. (2019). Is Bitcoin a Bubble? Phys. A: Stat. Mech. Appl. 517, 222-232.
  • Cheah, E. T., ve Fry, J. (2015). Speculative Bubbles in Bitcoin Markets? An Empirical Investigation into The Fundamental Value Of Bitcoin. Economics letters, 130, 32-36
  • Coinmarketcap (2022). https://coinmarketcap.com/tr/
  • Corbet, S., Mchugh, G., Ve Meegan, A. (2017). The Influence Of Central Bank Monetary Policy Announcements On Cryptocurrency Return Volatility. Investment Management And Financial Innovations, 14(4), 60-72. DOI: http://10.21511/imfi.14(4).2017.07
  • Devault, L., ve Wang, K. (2021). Embracing The Future Or Buying into The Bubble: Do Sophisticated Institutions Invest in Crypto Assets? Available at SSRN 3965717 or DOI: https://dx.doi.org/10.2139/ssrn.3965717
  • Eom, Y. (2020). Premium And Speculative Trading in Bitcoin. Finance Research Letter, 38, 101505. DOI: https://doi.org/10.1016/j.frl.2020.101505
  • Ersan, İ. (2019). Bitcoin: Gelecek Mi, Balon Mu? Muhasebe Enstitüsü Dergisi, 60, 5-8. https://doi.org/10.26650/MED.2019507044
  • Evlimoğlu, U. ve Güder, M. (2021), Tarihteki Ekonomik Balonlar Işığında Kripto Paralara Genel Bir Bakış, Abant Sosyal Bilimler Dergisi, 21(3), s. 469- 496, https://doi.org/10.11616/asbi.955230.
  • Geuder, J., Kinateder, H. ve Wagner, N., (2019). Cryptocurrencies As Financial Bubbles: The Case Of Bitcoin. Finance Research Letters, 31. DOI: https://doi.org/10.1016/j.frl.2018.11.011
  • Güleç, T. C., ve Aktaş, H. (2019). Kripto Para Piyasasında Spekülatif Fiyat Balonlarının Analizi. Muhasebe ve Finansman Dergisi, (84), 149-164.
  • Hafner, C. (2018). Testing For Bubbles in Cryptocurrencies With Time-Varying Volatility. Journal of Financial Econometrics, 18(2). DOI: https://doi.org/10.1093/jjfinec/nby023
  • Hepkorucu, A., ve Genç, S. (2019). Kripto Para Değerleri İçin Spekülatif Fiyat Balonlarının Test Edilmesi: Bitcoin Üzerine Bir Uygulama. Veri Bilimi, 2(1), 44-50.
  • Kamacı, A., ve Özden, N. M. (2019). Lale Çılgınlığı ve Kripto Para İlişkisi. Econder International Academic Journal, 3(1), 26-40.
  • Kamışlı, M., Kamışlı, S., ve Temizel, F. (2019). Empirical Evidence Of The Relationships Between Bitcoin And Stock Exchanges: Case Of Return And Volatility Spillover. In Blockchain Economics and Financial Market Innovation (pp. 293-318). Springer, Cham.
  • Kindleberger, C. P. (1978). Manias, Panics, And Crashes: A History Of Financial Crises. Wiley Investment Classics.
  • Kindleberger, C.P. Ve Aliber R.Z. (2013). Çılgınlık, Panik ve Çöküş: Finansal Krizler Tarihi. (Çev: Ümit Şensoy). İstanbul: Türkiye İş Bankası Kültür Yayınları.
  • Komaromi, G. (2004). Anatomy Of Stock Market Bubbles. The ICFAI University Press. http://www.stockmarketbubbles.com/anatomy.pdf (Erişim tarihi 01.10.2021).
  • Kyriazis, N., Papadamou, S. ve Corbet, S. (2020). A Systematic Review Of The Bubble Dynamics Of Cryptocurrency Prices. Research in International Business and Finance, 54, 101254. DOI: https://doi.org/10.1016/j.ribaf.2020.101254
  • Mete, S. Koy, A. ve Ersoy, H. (2019). Kriptoparalarda Fiyat Balonu İncelemesi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 13(1), 105-120.
  • Minsky, H. P. (1992). The Financial Instability Hypothesis. The Levy Economics Institute Working Paper. http://www.levyinstitute.org/pubs/wp74.pdf (Erişim tarihi: 18.06.2021).
  • Nakamoto, S. (2008). Bitcoin: A Peer-To-Peer Electronic Cash System. Decentralized Business Review, 21260. DOI: https://dx.doi.org/10.2139/ssrn.3440802
  • Phillips, P. C., Shi, S. ve Yu, J. (2015). Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse in The S&P 500. International Economic Review, 56(4), 1043-1078. DOI: https://doi.org/10.1111/iere.12132
  • Phillips, R.C. ve Gorse, D. (2018). Cryptocurrency Price Drivers: Wavelet Coherence Analysis Revisited. PLOS ONE, 13 (4), e0195200. DOI: https://doi.org/10.1371/journal.pone.0195200
  • Sağlam Bezgin, M. (2019). Borsa İstanbul’da Finansal Kabarcıkların Tespit Edilmesi ve Kabarcıkların Finansal Krizlerle İlişkisi (Yayımlanmış Doktora Tezi). Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.
  • Sağlam Bezgin, M. ve Başar, M. (2020). The Research Of Asset Price Bubble At Borsa Istanbul And Financial Crisis Relationship. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(2), 143-156.
  • Shrotryia, V. K. ve Kalra, H. (2021). Herding in The Crypto Market: A Diagnosis Of Heavy Distribution Tails. Review of Behavioral Finance. https://doi.org/10.1108/RBF-02-2021-0021
  • Shu, M. ve Zhu, W. (2020). Real-Time Prediction Of Bitcoin Bubble Crashes. Physica A: Statistical Mechanics and its Applications, 548. DOI: https://doi.org/10.1016/j.physa.2020.124477
  • Songur, M. (2019). Bitcoin Piyasasında Balonlar: Genelleştirilmiş Eküs ADF Testi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 7(6), 187-192.
  • Stiglitz, J. (1990). Symposium On Bubbles. The Journal of Economic Perspective. 4(2), 13-18.
  • Swan, M. (2017). Anticipating The Economic Benefits Of Blockchain. Technology Innovation Management Review, 7(10), 6-13.
  • Şahin, E. E. (2020). Kripto Para Fiyatlarında Balon Varlığının Tespiti: Bitcoin, Iota Ve Ripple Örneği. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (43), 62-69.
  • Tsay, R. S. (2005). Analysis Of Financial Time Series. John Wiley & Sons Press. New Jersey.
  • Watanabe, K., Takayasu, H. Ve Takayasu, M. (2007). A Mathematical Defination Of The Financial Bubbles And Crashes. Physica A, (383), 120-124.
  • Zeren, F., Ve Esen S. (2018). Geleceğin Para Birimi Ya Da Sadece Bir Balon: Bitcoin. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(39), 433-448.
There are 41 citations in total.

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Primary Language Turkish
Journal Section Articles
Authors

Müge Sağlam Bezgin 0000-0001-8674-2707

Publication Date December 31, 2022
Submission Date October 23, 2022
Published in Issue Year 2022 Volume: 6 Issue: 4

Cite

APA Sağlam Bezgin, M. (2022). KRİPTO PARALARDA FİNANSAL BALON VARLIĞININ ARAŞTIRILMASI. Uluslararası Anadolu Sosyal Bilimler Dergisi, 6(4), 1414-1431. https://doi.org/10.47525/ulasbid.1193473

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