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Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi

Yıl 2024, Cilt: 27 Sayı: 1, 1 - 17, 30.04.2024

Arzu Özmerdivanlı

https://doi.org/10.29249/selcuksbmyd.1317764

Öz

Modern finans teorisinin köşe taşlarından biri olan Etkin Piyasa Hipotezi, piyasada mevcut olan tüm bilginin kullanılması suretiyle piyasanın üzerinde getiri elde edilemeyeceğini öne sürmektedir. Bununla birlikte finansal piyasalarda yapılan çalışmaların birçoğu, yatırımcıların bazı dönemlerde normalin üzerinde getiri elde ettiğini gösteren bulgular ortaya koymaktadır. Etkin Piyasa Hipotezi ile çelişen ve bazı dönemlerde elde edilen getirilerin ve katlanılan riskin diğer dönemlere göre farklılaştığını ifade eden etkiler takvim anomalileri olarak tanımlanmaktadır. Takvim anomalileri içerisinde genellikle günlere, aylara ve yıllara göre farklılaşan etkiler incelenmektedir. Bu çalışmada Bitcoin ve Ethereum kripto para piyasasında takvim anomalilerinin incelenmesi amaçlanmıştır. Bu kapsamda haftanın günü, yılın ayı ve yıl dönümü anomalileri kukla değişken ile temsil edilerek Bitcoin ve Ethereum için belirlenen TGARCH(1,1) ve EGARCH(2,2) modeline ilave edilmiş ve Bitcoin için 18.07.2010 – 17.05.2023 dönemini, Ethereum için 10.03.2016 – 17.05.2023 dönemini kapsayan günlük veriler üzerinden analiz yapılmıştır. Çalışma sonucunda elde edilen bulgular, Bitcoin ve Ethereum piyasasında haftanın günü ve yılın ayı anomalilerinin bulunduğunu göstermektedir.

Anahtar Kelimeler

Takvim Anomalileri Bitcoin Ethereum TGARCH EGARCH

Kaynakça

  • Aslan, A., ve Çipe, B. (2021). Kripto para piyasasında zayıf formda etkinlik sınaması. Gaziantep Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3(2), 75-90.
  • Bachelier, L. (1900). Théorie de la spéculation. In Annales scientifiques de l'École normale supérieure .17, 21-86.
  • Brooks, C. (2008). Introductory econometrics for finance. Cambridge University Press.
  • Caporale, G., M., & Plastun, A. (2019). The day of the week effect in the cryptocurrency market. Finance Research Letters, 31, 258-269. https://doi.org/10.1016/j.frl.2018.11.012
  • Çil Yavuz, N. (2014). Finansal ekonometri. Der Yayınları
  • Çimen, A. (2019). Calendar anomalies in cryptocurrencies. Turkish Studies Social Science, 14(5), 2097-2116. http://dx.doi.org/10.29228/TurkishStudies.30274
  • Dangi, V. (2020). Day of the week effect in cryptocurrencies' returns and volatility. Ramanujan International Journal of Business and Research, 5, 139-167. https://doi.org/10.51245/rijbr.v5i1.2020.221
  • Dedeoğlu, D. (2019). A’dan Z’ye blockchain. İnkılap Yayınevi.
  • Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, 83-106.
  • Dumrongwong, K. (2021). Calendar effects on cryptocurrencies: Not so straightforward. Southeast Asian Journal of Economics, 9(1), 1-26.
  • Enders, W. (2015). Applied econometric time series. John Wiley & Sons.
  • Erdoğan, M., ve Elmas, B. (2010). Hisse senedi piyasalarında görülen anomaliler ve bireysel yatırımcı üzerine bir araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279-300.
  • Eyüboğlu, K. (2018). Examining day of the week and month of the year effects in Bitcoin and Litecoin markets. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(1), 165-183.
  • Evci, S. (2020). Bitcoin Piyasasında haftanın günü anomalisi. Alanya Akademik Bakış, 4(1), 53-61. https://doi.org/10.29023/alanyaakademik.664776
  • Fama, E. F. (1965). Random walks in stock market prices. Financial Analysts Journal, 21(5), 55-59.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 338-417.
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), 1779-1801.
  • Investing.com (2023, 23 Ocak). Tüm kripto paralar. https://tr.investing.com/crypto/currencies
  • Karan, M. B. (2004). Yatırım analizi ve portföy yönetimi. Gazi Kitabevi.
  • Khuntina, S., & Pattanayak, J. K. (2022). Adaptive calendar effects and volume of extra returns in the cryptocurrency market. International Journal of Emerging Markets, 17(9), 2137-2165. https://doi.org/10.1108/IJOEM-06-2020-0682
  • Kinateder, H., & Papavassiliou, V. G. (2021). Calendar effects in Bitcoin returns and volatility. Finance Research Letters, 38, 1-5. https://doi.org/10.1016/j.frl.2019.101420
  • Kozhan, R. (2010). Financial econometrics with Eviews. Ventus Publishing ApS. www.bookboon.com
  • Kumar, S. (2022). Turn-of-the-month effect in cryptocurrencies. Managerial Finance, 48(5), 821-829. https://doi.org/10.1108/MF-02-2022-0084
  • Lopez-Martin, C. (2022a). Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of Adaptive Market Hypothesis. Spanish Journal of Finance and Accounting, 2-34. https://doi.org/10.1080/02102412.2022.2131239
  • Lopez-Martin, C. (2022b). Ramadan effect in the cryptocurrency markets. Review of Behavioral Finance, 14(4), 508-532. https://doi.org/10.1108/RBF-09-2021-0173
  • Malkiel, B. G. (2003). The Efficient Market Hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82.
  • Mazıbaş, M. (2005). İMKB piyasalarında volatilitenin modellenmesi ve öngörülmesi: Asimetrik GARCH modelleri ile bir uygulama. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3008342
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf
  • Nelson, B. D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370. https://doi.org/10.2307/2938260
  • Orhan, A., Emikönel M., ve Emikönel, M. (2021). Volatility and the day of the week effect on Bitcoin returns. Journal of Emerging Economies and Policy, 6(2), 51-58.
  • Özarslan Saydar, Ö. (2021). Piyasa anomalileri ve BİST-100’de ocak ayı anomalisinin test edilmesi. Fin
  • ansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 703-716. https://doi.org/10.14784/marufacd.976468
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49
  • Schwert, G. W. (1990). Stock volatility and the crash of’87. The review of financial studies, 3(1), 77-102.
  • Sharma, A. J. (2014). The behavioural finance: A challenge or replacement to efficient market concept. The SIJ Transactions on Industrial, Financial & Business Management, 2(4), 1-5.
  • Susana, D., Sreejith, S., & Kavisanmathi, J. K. (2020). A study on calendar anomalies in the cryptocurrency market. In S. K. Sharma, Y. K. Dwivedi, B. Metri, & N. P. Rana (Eds.), Re-imagining diffusion and adoption of information technology and systems: A continuing conversation IFIP advances in information and communication technology (pp. 166-177). Springer. https://doi.org/10.1007/978-3-030-64849-7_16.
  • Szabo, D. K., & Hinny, R. (2022). Cryptocurrency market anomalies: The day-of-the-week effect Unpublished Bachelor Degree Project, Jönköping University.
  • Taylor, S. (1986). Modelling financial time series. John Wiley & Sons.
  • Warburg, B., Wagner, B., & Serres, T. (2019). Basics of blockchain: A guide for building literacy in the economics, technology, and business of blockchain. Animal Ventures LLC. San Francisco
  • Yaya, O. S., & Ogbonna, E. P. (2019). Do we experience day-of-the-week effects in returns and volatility of cryptocurrency? MPRA Paper No. 91429. https://mpra.ub.uni-muenchen.de/91429/
  • Yılmaz, F., ve Akkaya, G. C. (2020). Kripto para piyasalarında etkinlik; haftanın günü etkisi: Bitcoin ve Litecoin örneği. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178. https://doi.org/10.31006/gipad.767255

The Examination Calendar Anomalies in Bitcoin and Ethereum Markets

Yıl 2024, Cilt: 27 Sayı: 1, 1 - 17, 30.04.2024

Arzu Özmerdivanlı

https://doi.org/10.29249/selcuksbmyd.1317764

Öz

The Efficient Market Hypothesis, one of the cornerstones of modern finance theory, argues that it is not possible to obtain returns above the market by using all the information available in the market. However, many of the studies conducted in financial markets reveal findings that investors earn abnormal returns in some periods. The effects that contradict the Efficient Market Hypothesis and express that the returns obtained and the risk incurred in some periods differ compared to other periods are defined as calendar anomalies. Within the calendar anomalies, the effects that differ according to days, months and years are examined. In this study, it is aimed to examine calendar anomalies in Bitcoin and Ethereum crypto money markets. In this context, the day of the week, month of the year and turn of the year anomalies were represented by a dummy variable and added to the TGARCH(1,1) and EGARCH(2,2) model determined for Bitcoin and Ethereum and analysis has been done using daily data covering the period 18.07.2010 – 17.05.2023 for Bitcoin and 10.03.2016 - 17.05.2023 for Ethereum. The result of the study shows that there are anomalies of the day of the week and the month of the year in the Bitcoin and Ethereum market

Anahtar Kelimeler

Calendar Anomalies Bitcoin Ethereum TGARCH EGARCH

Kaynakça

  • Aslan, A., ve Çipe, B. (2021). Kripto para piyasasında zayıf formda etkinlik sınaması. Gaziantep Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3(2), 75-90.
  • Bachelier, L. (1900). Théorie de la spéculation. In Annales scientifiques de l'École normale supérieure .17, 21-86.
  • Brooks, C. (2008). Introductory econometrics for finance. Cambridge University Press.
  • Caporale, G., M., & Plastun, A. (2019). The day of the week effect in the cryptocurrency market. Finance Research Letters, 31, 258-269. https://doi.org/10.1016/j.frl.2018.11.012
  • Çil Yavuz, N. (2014). Finansal ekonometri. Der Yayınları
  • Çimen, A. (2019). Calendar anomalies in cryptocurrencies. Turkish Studies Social Science, 14(5), 2097-2116. http://dx.doi.org/10.29228/TurkishStudies.30274
  • Dangi, V. (2020). Day of the week effect in cryptocurrencies' returns and volatility. Ramanujan International Journal of Business and Research, 5, 139-167. https://doi.org/10.51245/rijbr.v5i1.2020.221
  • Dedeoğlu, D. (2019). A’dan Z’ye blockchain. İnkılap Yayınevi.
  • Ding, Z., Granger, C. W. J., & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, 83-106.
  • Dumrongwong, K. (2021). Calendar effects on cryptocurrencies: Not so straightforward. Southeast Asian Journal of Economics, 9(1), 1-26.
  • Enders, W. (2015). Applied econometric time series. John Wiley & Sons.
  • Erdoğan, M., ve Elmas, B. (2010). Hisse senedi piyasalarında görülen anomaliler ve bireysel yatırımcı üzerine bir araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279-300.
  • Eyüboğlu, K. (2018). Examining day of the week and month of the year effects in Bitcoin and Litecoin markets. Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(1), 165-183.
  • Evci, S. (2020). Bitcoin Piyasasında haftanın günü anomalisi. Alanya Akademik Bakış, 4(1), 53-61. https://doi.org/10.29023/alanyaakademik.664776
  • Fama, E. F. (1965). Random walks in stock market prices. Financial Analysts Journal, 21(5), 55-59.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25, 338-417.
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), 1779-1801.
  • Investing.com (2023, 23 Ocak). Tüm kripto paralar. https://tr.investing.com/crypto/currencies
  • Karan, M. B. (2004). Yatırım analizi ve portföy yönetimi. Gazi Kitabevi.
  • Khuntina, S., & Pattanayak, J. K. (2022). Adaptive calendar effects and volume of extra returns in the cryptocurrency market. International Journal of Emerging Markets, 17(9), 2137-2165. https://doi.org/10.1108/IJOEM-06-2020-0682
  • Kinateder, H., & Papavassiliou, V. G. (2021). Calendar effects in Bitcoin returns and volatility. Finance Research Letters, 38, 1-5. https://doi.org/10.1016/j.frl.2019.101420
  • Kozhan, R. (2010). Financial econometrics with Eviews. Ventus Publishing ApS. www.bookboon.com
  • Kumar, S. (2022). Turn-of-the-month effect in cryptocurrencies. Managerial Finance, 48(5), 821-829. https://doi.org/10.1108/MF-02-2022-0084
  • Lopez-Martin, C. (2022a). Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of Adaptive Market Hypothesis. Spanish Journal of Finance and Accounting, 2-34. https://doi.org/10.1080/02102412.2022.2131239
  • Lopez-Martin, C. (2022b). Ramadan effect in the cryptocurrency markets. Review of Behavioral Finance, 14(4), 508-532. https://doi.org/10.1108/RBF-09-2021-0173
  • Malkiel, B. G. (2003). The Efficient Market Hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82.
  • Mazıbaş, M. (2005). İMKB piyasalarında volatilitenin modellenmesi ve öngörülmesi: Asimetrik GARCH modelleri ile bir uygulama. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3008342
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf
  • Nelson, B. D. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347-370. https://doi.org/10.2307/2938260
  • Orhan, A., Emikönel M., ve Emikönel, M. (2021). Volatility and the day of the week effect on Bitcoin returns. Journal of Emerging Economies and Policy, 6(2), 51-58.
  • Özarslan Saydar, Ö. (2021). Piyasa anomalileri ve BİST-100’de ocak ayı anomalisinin test edilmesi. Fin
  • ansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 703-716. https://doi.org/10.14784/marufacd.976468
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49
  • Schwert, G. W. (1990). Stock volatility and the crash of’87. The review of financial studies, 3(1), 77-102.
  • Sharma, A. J. (2014). The behavioural finance: A challenge or replacement to efficient market concept. The SIJ Transactions on Industrial, Financial & Business Management, 2(4), 1-5.
  • Susana, D., Sreejith, S., & Kavisanmathi, J. K. (2020). A study on calendar anomalies in the cryptocurrency market. In S. K. Sharma, Y. K. Dwivedi, B. Metri, & N. P. Rana (Eds.), Re-imagining diffusion and adoption of information technology and systems: A continuing conversation IFIP advances in information and communication technology (pp. 166-177). Springer. https://doi.org/10.1007/978-3-030-64849-7_16.
  • Szabo, D. K., & Hinny, R. (2022). Cryptocurrency market anomalies: The day-of-the-week effect Unpublished Bachelor Degree Project, Jönköping University.
  • Taylor, S. (1986). Modelling financial time series. John Wiley & Sons.
  • Warburg, B., Wagner, B., & Serres, T. (2019). Basics of blockchain: A guide for building literacy in the economics, technology, and business of blockchain. Animal Ventures LLC. San Francisco
  • Yaya, O. S., & Ogbonna, E. P. (2019). Do we experience day-of-the-week effects in returns and volatility of cryptocurrency? MPRA Paper No. 91429. https://mpra.ub.uni-muenchen.de/91429/
  • Yılmaz, F., ve Akkaya, G. C. (2020). Kripto para piyasalarında etkinlik; haftanın günü etkisi: Bitcoin ve Litecoin örneği. Girişimcilik İnovasyon ve Pazarlama Araştırmaları Dergisi, 4(8), 166-178. https://doi.org/10.31006/gipad.767255
Toplam 41 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Davranışsal Finans
Bölüm Araştırma Makalesi
Yazarlar

Arzu Özmerdivanlı 0000-0002-2120-3312

Yayımlanma Tarihi 30 Nisan 2024
Gönderilme Tarihi 21 Haziran 2023
Yayımlandığı Sayı Yıl 2024 Cilt: 27 Sayı: 1

Kaynak Göster

APA Özmerdivanlı, A. (2024). Bitcoin ve Ethereum Piyasasında Takvim Anomalilerinin İncelenmesi. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, 27(1), 1-17. https://doi.org/10.29249/selcuksbmyd.1317764

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.