Mutlu Başaran ÖZTÜRK, Halil ARSLAN, Temur KAYHAN, Mustafa UYSAL

Yeni Bir Hedge Enstrumanı Olarak Bitcoin: Bitconomi

2017 yılında Bitcoin’in piyasa değerinde önemli bir artış yaşanmış ve 200 milyar dolar seviyesi aşılarak Bitcoin kurumsal yatırımcıların gündemine gelmeye başlamıştır. CME ve CBOE gibi dünyanın en büyük vadeli işlem borsaları Bitcoin’i listelerken Microsoft, PWC ve Overstock gibi kurumlar Bitcoin’i tanımlamaya başlamışlardır. Bitcoin’in bir yatırım aracı olarak görülebilmesi için bazı şartlar gereklidir. Verimli bir piyasada işlem görmesi, fiyatlama formasyonunun belirginleşmesi ve portföyler için bir çeşitlendirme aracı olabilmesi bunlardan bazıları olarak görülebilir. Ana akım varlık grupları ile Bitcoin arasındaki uzun vadeli ilişkiyi Johansen Eşbütünleşme testi ile inceleyen çalışma sonuçlarına göre Bitcoin’in altın haricinde diğer geleneksel finansal ve emtia varlıklarından bağımsız bir hareket gösterdiği ortaya çıkmıştır. Bitcoin’in söz konusu bağımsız hareketi Bitconomi olarak tanımlanırken bu durum mikro seviyede riskli bir varlığın makro anlamda portföylerin riskini düşürebileceği anlamına gelmektedir. Finansal sistemde çok küçük bir alanı işgal etmesi ve Bitcoin üretimindeki zorluk derecesinin klasik ekonomi ile çelişmesi korelasyonun anlamsız olmasının nedenleri arasında gösterilebilir. Kuzey Kore ve Ukrayna gerilimlerinde Bitcoin fiyatındaki artışlar ve altın ile Bitcoin arasındaki uzun vadeli pozitif ilişki yüksek varyansı nedeniyle eleştirilen Bitcoin’in gelecekte güvenli liman olabileceği gibi ilginç bir ironiye işaret etmektedir. Literatürdeki çalışmalar her geçen yıl Bitcoin’in varyansının gerilediğini göstermektedir.

Anahtar Kelimeler:

Bitcoin, Portföy Çeşitlendirmesi, Hedge, Johansen, Bitconomi

Bitcoin as a New Hedge Instrument Tool: Bitconomy

In 2017, Bitcoin's mcap exceeds level of $200 billion and it has come to agenda of institutional investors. While the world's largest futures exchanges like CME and CBOE list Bitcoin, Microsoft, PWC and Overstock have begun to define Bitcoin in their platforms. Certain conditions are necessary for Bitcoin to be seen as an investment tool; being traded in an efficient markets, clear pricing formation and being diversification tool for portfolios. According to results of Johansen test, Bitcoin moved independently from other traditional assets except gold. When Bitcoin's so-called independent moves is defined as Bitconomy, this means that a risky asset at the micro level can reduce risk of portfolios in a macro sense. The fact that occupation of a very small area in the financial system and degree of difficulty in Bitcoin production is in conflict with the classical economy can be shown as reasons why correlations are meaningless. The rise in Bitcoin’s price in North Korean and Ukrainian tensions and the long-term positive relationship between gold and Bitcoin being criticized for their high variance, indicating an interesting irony as Bitcoin may be a safe haven in the future. The studies in literature show that variance of Bitcoin decreases continuously.

Keywords:

Bitcoin, Portfolio Diversification, Hedge, Johansen, Bitconomy,

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