BITCOIN FİYATLARINDA EŞİK DEĞER ETKİSİ

Bu çalışma, Bitcoin’in fiyat davranışını otoregresif birim kökü olan iki rejimli bir TAR modeli kullanarak araştırmaktadır. Çalışmada, durağan dışılığı ve doğrusal olmamayı eş zamanlı olarak sınayan Caner ve Hansen (2001) tarafından geliştirilen yöntem kullanılmıştır. Bu amaçla, 16.07.2010 – 27.11.2018 dönemi için (3.056 adet günlük gözlem) Bitcoin kapanış fiyatlarına ait veri seti oluşturularak Bitcoin fiyatlarının etkin olup olmadığı incelenmiştir. Elde edilen bulgular, Bitcoin fiyatlarının tüm dönem dikkate alındığında zayıf formda etkin piyasalar hipotezini desteklemektedir. Ancak rejimler arası geçiş dikkate alındığında Bitcoin fiyat serisinde iki rejim olduğu sonucuna ulaşılmıştır. Birinci rejimde zayıf forma etkin piyasalar hipotezinin geçerli olduğu, ancak ikinci rejimde geçerli olmadığı tespit edilmiştir.

Anahtar Kelimeler:

Bitcoin, Eşik Değer, TAR Model;, Etkin Piyasalar Hipotezi

THRESHOLD EFFECT IN BITCOIN PRICES

This study investigates the price behavior of Bitcoin using a two-regime TAR model, which is an autoregressive unit root. In the study, the method developed by Caner and Hansen (2001) was used which simultaneously tested non-stationary and non-linearity. For this purpose, the data set of Bitcoin closing prices for 16.07.2010 - 27.11.2018 period (3.056 daily observations) has been created to determine whether Bitcoin prices are efficient or not. The findings support the hypothesis that Bitcoin prices are efficient in weak form for the whole period. However, considering the switching between the regimes, it was concluded that there are two regimes in the Bitcoin price series. In the first regime, the hypothesis of efficient markets in the weak form is valid, but not in the second regime.

Keywords:

Bitcoin, Threshold Value;, TAR Model, Efficient Market Hypothesis,

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