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2019 - 20202
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Bölüm: Işık University, Faculty of Economics and Administrative Sciences, Department of Management × Konu: Bitcoin ×

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  • Küçük Resim
    Yayın
    Determinants of Bitcoin prices
    (PressAcademia, 2019-12-30) Deniz, E. Asena; Teker, Dilek
    Purpose - The increase in the popularity of cryptocurrency market, various literature figure out the macroeconomic factors that effect the price movements of cryptocurrencies. This research aims to identify the interaction between gold, brent oil and bitcoin. Methodology - The database includes the Daily prices of Bitcoin, gold and brent oil prices between the period of 28.04.2013-23.07.2019 which consist of 484 daily data. Natural logaritm for each indicator is used. First, the stationarity of the series were analyzed with ADF (Augmented Dickey Fuller) unit root test. Lag lengths are determined. Interactions between the series were analyzed by the ImpulseResponse Function and Variance Decomposition methods. Findings- The series are found out to be stationary at first difference. Impulse response graphs indicate that all variables respond in a reducing way to reducing shocks occurred in each indicator. Shocks have lost their effect on average in 5 days. Conclusion- The results indicate that the effect of gold and brent oil prices on bitcoin daily prices do not have a strong effect. The results may be beneficial for investors to consider diversification for the portfolios.
  • Küçük Resim
    Yayın
    Estimation of Bitcoin volatility: GARCH implementation
    (Seventh Sense Research Group, 2020-01) Teker, Dilek; Teker, Suat
    As bitcoin has been a topic of high interest for academic and professional life over recent years, a number of literature has examined its price movements, volatility, and predictions. Bitcoin is the first and perhaps the most popular cryptocurrency with a high volatility pattern compared to the other cryptocurrencies. This paper examines the models that explain the volatility of Bitcoin prices. The daily data for the Bitcoin prices are used through a period of July 31, 2017, to April 3, 2019, with a total number of observations of 484. Initially, unit root tests are implemented. Then, the heteroskedasticity problem is tested among variables. Based on the results of the heteroskedasticity test, it is decided to use ARCH models. Then, ARCH, GARCH, TGARCH, and EGARCH results are tested to find out the best fit model that explains the bitcoin price movements.