Kripto para ekosisteminde volatilite dinamikleri: Bitcoin, Ethereum ve altcoinler arasındaki ilişkinin incelenmesi
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Tarih
2025
Yazarlar
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Cilt Başlığı
Yayıncı
Bursa Teknik Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Son yıllarda finansal piyasalara dahil olan fakat merkezi bir sistem tarafından takibi olmayan kripto paralar yüksek işlem hacmi, yüksek getiri ve yüksek volatiliteye sahip yapısıyla bireysel ve profesyonel yatırımcıların yanında akademisyenlerinde ilgisini çekmektedir. Yapılan araştırmalarda, kripto para piyasalarındaki fiyat hareketleri, piyasanın gelişimi, yatırımcı davranışları, piyasaya yönelik yasal düzenlemeler gibi konular incelenmiştir. İlk kripto para olarak 2009 yılında ortaya çıkan Bitcoin, arzının sınırlı olması ve üretiminin zorlaşması sebebiyle, Bitcoin'in altına benzetilmiş ve takip eden süreçte işlem hacmi ve fiyatı sürekli olarak yükselmiştir. Kripto paralar, hızlı ve düşük maliyetli fon transferi sağlamalarının yanı sıra yüksek güvenlik ve gizlilik sunmaktadır. Bitcoin ve takip eden süreçte ortaya çıkan kripto paralar önceleri oldukça riskli ve yatırım yapılamaz varlıklar olarak görülmekteyken, günümüzde oldukça yüksek sayıda yatırımcıya sahiptirler. Yatırımcı sayısının, işlem hacminin, kripto sayısının ve riskin çok yüksek olması ve artması kripto paralar arasındaki ilişkinin ortaya konulmasını da gerekli kılmaktadır. Bu çalışmada, kripto para piyasası iki temel dinamiği olan Bitcoin ve Ethereum ile altcoinlerin arasındaki volatilite yayılımını tespit etmektedir. Kripto para piyasalarında çok fazla altcoin bulunması bunların doğrudan analizlere dahil edilmesinde önemli bir kısıt oluşturmaktadır.Bu nedenle altcoinler Analytics, Defi, Gaming, Health, Identity, Iot Coin, Logistics, Marketing, Memes Coin, Metaverse, Music, Privacy, Stablecoin, Stroge, Tourism, Wallet, Web3 ve NFT finansman alanlarında sınıflandırılarak analiz edilmiştir. Analizler 01.01.2021-06.03.2023 dönemi verileriyle, vektör hata düzeltme modeli (VECM) temelli Diebold-Yılmaz analizi uygulanmıştır . Yapılan analiz sonucunda, Bitcoin kendi şoklarından %97,6 oranında, kendi şokları dışında sırayla Ethereum, Stablecoin değişkenlerinden (%0,4) etkilenmektedir. Ethereum kendi şoklarından %32,4 oranında etkilenirken, kendi şokları dışında Bitcoin'den (%65,3) altcoin gruplarından Iot Coin (%0,4), Privacy (%0,6) oranlarında etkilenmiştir. Analize konu olan altcoin gruplar incelendiğinde Analytics (%27,9), Defi (%62,3), Gaming (%25,8), Health (%24,6), Identity (%25,4), Iot Coin (%24,6), Logistics (%43,4), Marketing (%15,2), Memes Coin (%18,8), Metaverse (%34), Music (%23,5), Privacy (%52,6), Stablecoin (%3,2), Stroge (%33,9), Tourism (%20,9), Wallet (%33,5), Web3 (%54,9) Bitcoin'de gerçekleşen şoklardan etkilenmektedir. Analytics (%7,9), Defi (%8), Gaming (%4,7), Health (%3,8), Identity (%5,5), Iot Coin (%2,9), Logistics (%6,2), Marketing (%12,3), Memes Coin (%1,4), Metaverse (%2,5), Music (%3), Privacy (%6,5), Stablecoin (%4,7), Tourism (%2,3), Wallet (%8,7), Web3 (%8,9) Ethereum'da gerçekleşen şoklardan etkilenmektedir. NFT altcoin grupları kendi içinde şoklardan etkilenirken Bitcoin ve Ethereum değişkenlerine bir etkisi olmadığı tespit edilmiştir.
Cryptocurrencies, which have been included in financial markets in recent years but are not monitored by a central system, attract the attention of individual and professional investors as well as academics with their high trading volume, high returns and high volatility. In the researches, issues such as price movements in cryptocurrency markets, market development, investor behavior, legal regulations for the market have been examined. Bitcoin, which emerged as the first cryptocurrency in 2009, has been likened to gold due to its limited supply and difficult production, and its trading volume and price have continuously increased in the following period. Cryptocurrencies offer high security and privacy as well as fast and low-cost fund transfers. While Bitcoin and the cryptocurrencies that emerged in the following period were previously considered as highly risky and uninvestable assets, today they have a very high number of investors. The fact that the number of investors, transaction volume, number of cryptos and risk are very high and increasing makes it necessary to reveal the relationship between cryptocurrencies. This study identifies the volatility spread between Bitcoin and Ethereum, the two main dynamics of the cryptocurrency market, and altcoins. The large number of altcoins in the cryptocurrency markets constitutes an important constraint in their direct inclusion in the analysis. For this reason, altcoins will be analyzed by classifying them into Analytics, Defi, Gaming, Health, Identity, Iot Coin, Logistics, Marketing, Memes Coin, Metaverse, Music, Privacy, Stablecoin, Stroge, Tourism, Wallet, Web3 and NFT financing areas.The analysis is based on Diebold-Yılmaz analysis based on the vector error correction model (VECM) with data for the period 01.01.2021-06.03.2023. As a result of the analysis, Bitcoin is affected by its own shocks by 97.6%, Ethereum and Stablecoin variables (0.4%), respectively. While Ethereum was affected by its own shocks at a rate of 32.4%, it was affected by Bitcoin (65.3%), Iot Coin (0.4%), Privacy (0.6%) among the subcoin groups. Analytics (27.9%), Defi (62.3%), Gaming (25.8%), Health (24.6%), Identity (25.4%), Iot Coin (24.6%), Logistics (43.4%), Marketing (15.2%), Memes Coin (18.8%), Metaverse (34%), Music (23.5%), Privacy (52.6%), Stablecoin (3.2%), Stroge (33.9%), Tourism (20.9%), Wallet (33.5%), Web3 (54.9%) are affected by shocks in Bitcoin. Analytics (7.9%), Defi (8%), Gaming (4.7%), Health (3.8%), Identity (5.5%), Iot Coin (2.9%), Logistics (6.2%), Marketing (12.3%), Memes Coin (1.4%), Metaverse (2%), 5%), Music (3%), Privacy (6.5%), Stablecoin (4.7%), Tourism (2.3%), Wallet (8.7%), Web3 (8.9%) are affected by shocks to Ethereum. While NFT altcoin groups are affected by shocks within themselves, it is determined that there is no effect on Bitcoin and Ethereum variables
Cryptocurrencies, which have been included in financial markets in recent years but are not monitored by a central system, attract the attention of individual and professional investors as well as academics with their high trading volume, high returns and high volatility. In the researches, issues such as price movements in cryptocurrency markets, market development, investor behavior, legal regulations for the market have been examined. Bitcoin, which emerged as the first cryptocurrency in 2009, has been likened to gold due to its limited supply and difficult production, and its trading volume and price have continuously increased in the following period. Cryptocurrencies offer high security and privacy as well as fast and low-cost fund transfers. While Bitcoin and the cryptocurrencies that emerged in the following period were previously considered as highly risky and uninvestable assets, today they have a very high number of investors. The fact that the number of investors, transaction volume, number of cryptos and risk are very high and increasing makes it necessary to reveal the relationship between cryptocurrencies. This study identifies the volatility spread between Bitcoin and Ethereum, the two main dynamics of the cryptocurrency market, and altcoins. The large number of altcoins in the cryptocurrency markets constitutes an important constraint in their direct inclusion in the analysis. For this reason, altcoins will be analyzed by classifying them into Analytics, Defi, Gaming, Health, Identity, Iot Coin, Logistics, Marketing, Memes Coin, Metaverse, Music, Privacy, Stablecoin, Stroge, Tourism, Wallet, Web3 and NFT financing areas.The analysis is based on Diebold-Yılmaz analysis based on the vector error correction model (VECM) with data for the period 01.01.2021-06.03.2023. As a result of the analysis, Bitcoin is affected by its own shocks by 97.6%, Ethereum and Stablecoin variables (0.4%), respectively. While Ethereum was affected by its own shocks at a rate of 32.4%, it was affected by Bitcoin (65.3%), Iot Coin (0.4%), Privacy (0.6%) among the subcoin groups. Analytics (27.9%), Defi (62.3%), Gaming (25.8%), Health (24.6%), Identity (25.4%), Iot Coin (24.6%), Logistics (43.4%), Marketing (15.2%), Memes Coin (18.8%), Metaverse (34%), Music (23.5%), Privacy (52.6%), Stablecoin (3.2%), Stroge (33.9%), Tourism (20.9%), Wallet (33.5%), Web3 (54.9%) are affected by shocks in Bitcoin. Analytics (7.9%), Defi (8%), Gaming (4.7%), Health (3.8%), Identity (5.5%), Iot Coin (2.9%), Logistics (6.2%), Marketing (12.3%), Memes Coin (1.4%), Metaverse (2%), 5%), Music (3%), Privacy (6.5%), Stablecoin (4.7%), Tourism (2.3%), Wallet (8.7%), Web3 (8.9%) are affected by shocks to Ethereum. While NFT altcoin groups are affected by shocks within themselves, it is determined that there is no effect on Bitcoin and Ethereum variables
Açıklama
Anahtar Kelimeler
İşletme, Business Administration
