Yıl: 2020 Cilt: 57 Sayı: 652 Sayfa Aralığı: 65 - 89 Metin Dili: Türkçe İndeks Tarihi: 27-10-2020

YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI

Öz:
Bu çalıĢmanın temel amacı, kripto para piyasasını yatırımcı irrasyonalitesi bağlamında inceleyerek, piyasanın sürü davranıĢı gösterip göstermediğini araĢtırmaktır. ÇalıĢmanın bir diğer amacı ise faiz oranı duyurularının ve borsa performanslarının sürü davranıĢını harekete geçirip geçirmediğini de-ğerlendirmektir. Bu amaçla; faiz değiĢikliği için Federal Açık Piyasa Komitesi (FOMC), Avrupa Merkez Bankası Yönetim Konseyi (ECB) ve Japonya Merkez Bankası Politika Kurulu (BOJ)‟nun duyuruları ve S&P 500, Nikkei 225, FTSE 100 ve GOLD SPOT endeks verileri kullanılmıĢtır. ÇalıĢ-mada analizler, iĢlem hacmi en yüksek 100 kripto para üzerinden 2013:4 -2018:11 dönemi kullanıla-rak yapılmıĢtır. Analiz için Chang vd. (2000) tarafından geliĢtirilen Yatay Kesitsel Mutlak Sapmaya dayalı yaklaĢım kullanılmıĢ ve tahminler En Küçük Kareler yöntemi üzerinden gerçekleĢtirilmiĢtir. ÇalıĢmanın bulguları, kripto para piyasasında ilgili dönemde sürü davranıĢının varlığını ortaya koyar-ken, faiz oranı duyurularının ve borsa performanslarının sürü davranıĢı üzerinde etki taĢımadığını göstermektedir.
Anahtar Kelime:

CRYPTOCURRENCY MARKET IN THE CONTEXT OF INVESTOR IR-RATIONALITY

Öz:
The main purpose of this study is to investigate the existence of herding behavior in the cryptocur-rency market in the context of investor irrationality. The other purpose of the study is to analyze the effects of central banks‟ interest rates announcements and stock exchanges‟ performances on the herding behavior in the mentioned market. Federal Open Market Comittee (FOMC), The Governing Council of The European Central Bank (ECB) ve The Policy Board of the Bank of Japan- (BOJ) in-terest rates announcements and the S&P 500, Nikkei 225, FTSE 100 and GOLD SPOT index per-formances are taken into consideration in the study. Analysis in the study are made for the period of 2013:4-2018:11 with the 100 cryptocurrencies which have the highest volume in the cryptocurrency market. Cross-Sectional Absolute Deviation Approach which was developed by Chang et al. (2000) is used for the analysis and Least Squares Method is used for the forecasting. Findings in the study display the existence of investors herding for the mentioned period in the cryptocurrency market. However, our results show that the interest rate announcements and the performance of the stock ex-changes don‟t affect the herding behavior in this market.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • ağan, büģra ve üzeyir aydın; (2018), “kripto para birimlerinin küresel etkileri: asimetrik nedensellik analizi”, 22. finans sempozyumu 10-13 ekim, mersin.
  • ajaz, taufeeq and kumar, anoop s.; (2018), "herding ın crypto-currency markets," annals of financial economics (afe), world scientific publishing co. pte. ltd., 13(02) pp.1-15.
  • ashġya, m. and t. doı; (2001), “herd behavior of japanese economists”, journal of economic behavior and organization, 46(3), pp. 343-346.
  • asterġou, dimitrios; (2018), “structural breaks and herding behaviour in cryptocurrencies”, aueb statistics seminar series, mayıs 2018.
  • atġk, murat, yaģar köse, bülent yılmaz ve fatih sağlam; (2015), “kripto para: bitcoin ve döviz kurları üzerine etkileri”, bartın üniversitesi ġ.ġ.b.f. dergisi, 6(11), ss. 247-261.
  • avery, christoper and peter zemsky; (1998), “multidimensional uncertainty and herd behavior in financial markets”, the american economic review, 88(4), pp. 724-748.
  • baek, c. and m. elbeck; (2014), “bitcoins as an ınvestment or speculative vehicle? a first look”, applied economics letters, 22, pp. 30-34.
  • balcılar, mehmet; elie bourı; rangan gupta; davıd roubaud; (2017), “can volume predict bitcoin returns and volatility? a quantiles-based approach”, economic modelling, 64, august, pp. 74-81.
  • banerjee, abhijit v.; (1992), “a simple model of herd behavior”, quarterly journal of economics, 107(3), pp. 797-817.
  • barberıs, nicholas and richard thaler; (2003), “a survey of behavioral finance”, (ed. g. m. constantinides, m. harris ve r. stulz), handbook of the economics of finance, pp.1052-1114.
  • bernhardt, dan, murillo campello; edward kutsoati; (2006), “who herds?”, journal of financial economics, 80(3), pp. 657-675.
  • bıkhchandanġ, sushil; david hırshleıfer; ıvo welch; (1998), “learning from the behavior of others: conformity, fads, and ınformational cascades”, journal of economic perspectives, 12(3), pp. 151-170.
  • bıkhchandanı, sushil and sunil sharma; (2000), “herd behavior in financial markets: a review”, ımf working paper/00/48, pp. 1-32.
  • blau, benjamin m.; (2017), “price dynamics and speculative trading in bitcoin”, research in ınternational business and finance, 43, doı: 10.1016/j.ribaf.2017.07.183
  • borenszteın, eduardo r. and, r. g. gelos; (2000), “a panic-prone pack? the behavior of emerging market mutual funds”, ımf working paper.
  • bourı, elie; rangan gupta; david roubaud; (2018), “herding behavior in cryptocurencies”, finance research letters, https://doi.org/10.1016/j.frl.2018.07.008.
  • buchholz, martis; jess delaney; joseph warren; jeff parker; (2012), “bits and bets, ınformation, price volatility, and demand for bitcoin”, economics, 312.
  • ceylan, fatih; ramazan ekġncġ; osman tüzün; hakan kahyaoğlu; (2018), “determinatıon of bubbles ın cryptocurrencies market: bitcoın and ethereum”, bmıj, 6(3). doı:http://dx.doi.org/10.15295/bmij.v6i3.355
  • chang, eric c.; joseph w. cheng; ajay khorana; (2000), “an examination of herd behavior in equity markets: an ınternational perspective”, journal of banking and finance, 24(10), pp. 1651-1679.
  • cheah, eng-tuck and john fry; (2015), “speculative bubbles in bitcoin markets? an empirical ınvestigation into the fundamental value of bitcoin”, economics letters, 130, pp. 32–36.
  • cheung, adrian; eduardo roca; jen-je su; (2015), “crypto-currency bubbles: an application of the phillips–shi–yu methodology on mt. gox bitcoin prices”, applied economics, 47(23), pp. 2348–2358
  • choı, nicole and richard w. sıas; (2009), “ınstitutional ındustry herding”, journal of financial economics, 94(3), pp. 469-491.
  • chrıstıe, william g. and roger d. huang; (1995), “following the pied piper: do ındividual returns herd around the market?”, financial analysts journal, 51(4), pp. 31-37.
  • corbet, shaen; charles james larkın; brian m. lucey; andrew meegan; larisa yarovaya; (2017), “cryptocurrency reaction to fomc announcements: evidence of heterogeneity based on blockchain stack position”, november 18. available at ssrn: https://ssrn.com/abstract=3073727.
  • cote, jane and dedra sanders; (1997), “herding behavior: explanations and ımplications”, behavioral research in accounting, 9(1).
  • da gama silva, paulo vitor jordao; marcelo cabus klotze; antonio carlos f. pınto; leonardo lima gomes; (2019), “herding behavior and contagion in the cryptocurrency market”, journal of behavioral and experimental finance, 22, pp. 41-50.
  • daı, wei; (1998), “b-money, a scheme for a group of untraceable digital pseudonyms to pay each other with money and to enforce contracts amongst themselves without outside”, http://www.weidai.com/bmoney.txt (10.03.2018)
  • devenow, andrea and ıvo welch; (1996), “rational herding in financial markets” european economic review, 40, pp. 603-615.
  • dulupçu, murat ali; mehmet yġyġt; asena gizem genç; (2017), “dijital ekonominin yükselen yüzü: bitcoin'in değeri ile bilinirliği arasındaki ġliģkinin analizi”, süleyman demirel üniversitesi ġktisadi ve ġdari bilimler fakültesi dergisi, (kayfor15 özel sayısı), 22, ss. 2241-2258.
  • ergün, bahadır ve hatice doğukanlı; (2015), “hisse senedi piyasalarında sürü davranıģı: bġst‟te bir araģtırma”, uluslararası sosyal araģtırmalar dergisi, 8(40), ss. 690-699.
  • fama, eugene f.; (1995), “random walks in stock market prices”, financial analysis journal, january-february 1995, 75-80.
  • galarıotıs, emilios c.; wu rong; spyros ı. spyrou; (2015), “herding on fundamental ınformation: a comparative study”, journal of banking and finance, 50, pp. 589-598.
  • georgoula, ıfigeneia; demitrios pournarakıs; christos bılanakos; daonisios n. sotıropoulos; george m. gıaglıs; (2015), “using time-series and sentiment analysis to detect the determinants of bitcoin prices”, mediterranean conference on ınformation systems, samos, greece, 1-12.
  • gleason, kimberly c.; ıke mathur; mark a. peterson; (2004), “analysis of ıntraday herding behavior among the sector etfs”, journal of empirical finance, 11(5), pp. 681-694.
  • gong, pu and daı, jun; (2017), “monetary policy, exchange rate fluctuation, and herding behavior in the stock market”, journal of business research, 76, july 2017, pp. 34-43.
  • graham, john r. (1999), “herding among ınvestment newsletters: theory and evidence”, the journal of finance, 54(1), pp. 237-268.
  • grınblatt, mark; sheridan tıtman; russ wermers; (1995), “momentum ınvestment strategies, portfolio performance and herding: a study of mutual fund behavior”, the american economic review, 85(5), pp. 1088-1105.
  • gronwald, marc; (2019), another look at cryptocurrency bubbles, cesifo working paper, no. 7743, center for economic studies and ıfo ınstitute (cesifo), munich
  • gusev, andrey a.; (2018), “public opinions ımpacts on cryptocurrency valuation: a view from behavioral finance perspective”, journal of reviews on global economics, 7, pp. 696-702.
  • güleç, ömer faruk; emre çevġk; nur bahadır; (2018), “bitcoin ile finansal göstergeler arasındaki ġliģkinin ġncelenmesi”, kırklareli üniversitesi ġktisadi ve ġdari bilimler fakültesi dergisi, 7(2), ss. 18-37.
  • hong, harrison; jeffrey d. kubık; amit solomon; (2000), “security analysts‟ career concerns and herding of earnings forecasts”, rand journal of economics, 31(1), pp. 121-144.
  • ıc, süleyman and burak kahyaoglu; (2013), “herd behavior in bıst: an application on ındividual stock ınvestors”, journal of business economics and finance, 2(2), pp. 28-42.
  • ġçellġoğlu, cansu ġarkaya ve m. b. engin öztürk; (2018), “bitcoin ile seçili döviz kurları arasındaki ġliģkinin araģtırılması: 2013-2017 dönemi ġçin johansen testi ve granger nedensellik testi”, maliye ve finans yazıları, 109, ss. 51-70.
  • kahneman, daniel and amos tversky; (1979), “prospect theory: an analysis of decision under risk”, econometrica, 47(2), pp. 263-292.
  • kandemir, tuğrul; gözde serezlġ; merve kılınç; (2018), “kripto paraların fiyatındaki dalgalanmalara etki eden faktörler: hayes process makrosu ġle bitcoin üzerine bir analiz”, 22. finans sempozyumu 10-13 ekim, mersin.
  • kayalıdere, koray; (2012), “herding behavior in stock market: an empirical analysis in ıse”, ġģletme araģtırmaları dergisi, 4(4), pp. 77-94.
  • kıyılar, murat ve murat akkaya; (2016), davranıģsal finans, birinci basım, ġstanbul, literatür yayıncılık.
  • kım, woochan; shang-jin weı; (1999), “foreign portfolio ınvestors before and during a crisis”, nber working paper no. 6968, nber, cambridge, ma.
  • kıng, timothy; dimitrios koutmos; (2018), “herding and feedback trading in cryptocurrency markets”, kent business school, working paper no: 001-october.
  • koçoğlu, ġahnaz; yasin erdem çevġk; cihan tanrıöven; (2016), “bitcoin piyasalarının etkinliği, likiditesi ve oynaklığı”, ġģletme araģtırmaları dergisi, 8(2), ss. 77-97.
  • krafft, peter m.; nicolas della penna; alex sandy pentland; (2018), “an experimental study of cryptocurrency market dynamics”, https://arxiv.org/pdf/1801.05831.
  • krıstoufek, ladislav; (2015), “what are the main drivers of the bitcoin price? evidence from wavelet coherence analysis”, https://doi.org/10.1371/journal.pone.0123923
  • lakonıshok, josef; andrei shleıfer; robert w. vıshny; (1992), “the ımpact of ınstitutional trading on stock prices”, journal of financial economics, 32(1), pp. 23-43.
  • lı, xin and chong alex wang; (2017), “the technology and economic determinants of cryptocurrency exchange rates: the case of bitcoin”, decision support systems, 95, pp. 49–60.
  • lıeure, alexandre; (2018), “herd behaviour and ınformatıon uncertaınty: ınsights from the cryptocurrency market”, university college london, yüksek lisans tezi.
  • nakamoto, satoshi; (2008), “bitcoin: a peer-to-peer electronic cash system”, http://bitcoin.org/bitcoin.pdf.
  • nıcolettġ, bernardo; (2017), the future of fintech, rome, palgrave macmillan. phıllıps, peter c.b.; shuping shı; j. yu; (2013), “testing for multiple bubbles: historical episodes of exuberance and collapse in the s&p 500”, http://ssrn.com/abstract=2327609.
  • pıerdzıoch, christian and jan-chritop rulke; (2012), “forecasting stock prices: do forecasters herd?”, economics letters, 116(3), pp. 326-329.
  • poyser, obryan; (2018), "herding behavior in cryptocurrency markets," papers 1806.11348, arxiv.org, revised nov 2018.
  • rıccıardı, victor and helen k. sımon; (2000), “what is behavirol finance?”, business, education & technology journal, 2(1), pp. 1-9.
  • scharfsteın, david s. and jeremy c. steın; (1990), “herd behavior and ınvestment”, the american economic review, 80(3), pp. 465-479.
  • sıas, richard w.; (2004), “ınstitutional herding”, review of financial studies, 17(1), pp. 165-206. sıırı, erik and peter tufano; (1998), “costly search and mutual fund flows”, journal of finance, 53(5), pp. 1589-1622
  • statman, meir; (2014), “behavioral finance: finance with normal people”, borsa ġstanbul review, 14(2), pp. 65-73.
  • urquhart, andrew; (2018), "what causes the attention of bitcoin?," economics letters, 166©, pp. 40-44.
  • walter, a. and f.m. weber; (2006), “herding in the german mutual fund ındustry”, european financial management, 12(3), pp. 375-406.
  • welch, ıvo; (1992), “sequential sales, learning and cascades”, the journal of finance, 47(2), pp. 695-732.
  • welch, ıvo; (2000), “herding among security analysts”, journal of financial economics, 58(3), pp. 369-396.
  • wermers, russ; (1995), herding, trade reversals, and cascading by ınstitutional ınvestors, unpublished; university of colorado, boulder.
  • wylıe, sam; (2005), “fund manager herding: a test of the accuracy of empirical results using uk data”, the journal of business, 78(1), pp. 381-403.
  • vaddepallı, s. and l. antoney; (2018), “are economic factors driving bitcoin transactions? an analysis of select economies”, finance research letters, doi: http://dx.doi.org/10.1016/j.frl.2018.04.002
  • van wıjk dennis; (2013), “what can be expected from the bitcoin?”, working paper no. 345986. erasmus rotterdam universitiet.
  • vıdal-tomas, david; ana m. ıbanez; jose e. farınos; (2018), “herding in the cryptocurrency market: cssd and csad approaches”, finance research letters, forthcoming (doi: 10.1016/j.frl.2018.09.008). yermack, david; (2013), “ıs bitcoin a real currency? an economic appraisal”, nber working paper no. w19747. national bureau of economicresearch.
  • zıtzewıtz, eric; (2001), “measuring herding and exaggeration by equity analysts and other opinion sellers”, stanford gsb working paper no. 1802, stanford.
  • https://coinmarketcap.com, (eriģim tarihi, 28.11.2018)
  • https://www.federalreserve.gov/newsevents/pressreleases.htm, (29.11.2018)
  • http://www.boj.or.jp/en/announcements/index.htm/, (29.11.2018)
  • https://www.ecb.europa.eu/press/pr/date/2018/html/index.en.html, (29.11.2018)
APA Bulut E, Akbulut bekar S (2020). YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. , 65 - 89.
Chicago Bulut Esra,Akbulut bekar Seval YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. (2020): 65 - 89.
MLA Bulut Esra,Akbulut bekar Seval YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. , 2020, ss.65 - 89.
AMA Bulut E,Akbulut bekar S YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. . 2020; 65 - 89.
Vancouver Bulut E,Akbulut bekar S YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. . 2020; 65 - 89.
IEEE Bulut E,Akbulut bekar S "YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI." , ss.65 - 89, 2020.
ISNAD Bulut, Esra - Akbulut bekar, Seval. "YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI". (2020), 65-89.
APA Bulut E, Akbulut bekar S (2020). YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. Finans Politik ve Ekonomik Yorumlar Dergisi, 57(652), 65 - 89.
Chicago Bulut Esra,Akbulut bekar Seval YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. Finans Politik ve Ekonomik Yorumlar Dergisi 57, no.652 (2020): 65 - 89.
MLA Bulut Esra,Akbulut bekar Seval YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. Finans Politik ve Ekonomik Yorumlar Dergisi, vol.57, no.652, 2020, ss.65 - 89.
AMA Bulut E,Akbulut bekar S YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. Finans Politik ve Ekonomik Yorumlar Dergisi. 2020; 57(652): 65 - 89.
Vancouver Bulut E,Akbulut bekar S YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI. Finans Politik ve Ekonomik Yorumlar Dergisi. 2020; 57(652): 65 - 89.
IEEE Bulut E,Akbulut bekar S "YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI." Finans Politik ve Ekonomik Yorumlar Dergisi, 57, ss.65 - 89, 2020.
ISNAD Bulut, Esra - Akbulut bekar, Seval. "YATIRIMCI İRRASYONALİTESİ BAĞLAMINDA KRİPTO PARA PİYASASI". Finans Politik ve Ekonomik Yorumlar Dergisi 57/652 (2020), 65-89.