Kripto paraların gelişmiş ve gelişmekte olan ülke borsalarına etkisi
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Dosyalar
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Düzce Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Çalışmamızda, kripto paralar ile borsa endeksleri arasındaki ilişkiyi incelemek amacıyla en yüksek fiyat değerine sahip ve sabit fiyatlı olmayan 5 adet kripto para birimi ile gelişmiş ve gelişmekte olan ülkeler arasından seçilen 10 ülkenin borsa endeksleri arasındaki ilişki incelenmiştir. Bu amaçla Binance Coin, Bitcoin, Cardano, Etheryum ve Ripple; SP500, NIKKEI225, FTSE100, DAX, SPASX200, BOVESPA, BIST100, SHANGHAI, NIFTY50 ve MOEX borsa endekslerinin 01.01.2018 ile 31.12.2021 yılları arasındaki günlük verileri ile veri seti oluşturulmuştur. İlgili veri seti ile toplamda 50 model oluşturulmuş ve bu 50 modelin durağanlığı ADF Birim Kök testi ile tespit edilerek Toda Yamamoto Nedensellik Testi uygulanmıştır. Uygulanan analizler neticesinde üzerinde çalışılan 50 model arasından 5 modelde değişkenler arasında çift yönlü nedensellik ilişkisi olduğu tespit edilmiştir. Değişkenler arasında çift yönlü nedensellik tespit edilen modellerimiz, BNB-NIKKEI225, ETH-SPASX200, ETH-NIKKEI225, BTC-NIKKEI225, BTC-MOEX modellerinden oluşmaktadır. 21 modelde ise değişkenler arası tek yönlü nedensellik ilişkisine rastlanılmıştır. Geriye kalan diğer modellerdeki değişkenler arasında nedensellik ilişkisi olmadığı saptanmıştır.
In our study, in order to examine the relationship between crypto coins and stock market indices, the relationship between 5 cryptocurrencies with the highest price value and non fixed prices and the stock market indices of 10 countries selected among developed and developing countries was examined. For this purpose, Binance Coin, Bitcoin, Cardano, Etherium and Ripple; The data set was created with the daily data of SP500, NIKKEI225, FTSE100, DAX, SPASX200, BOVESPA, BIST100, SHANGHAI, NIFTY50 and MOEX stock market indices between 01.01.2018 and 31.12.2021. A total of 50 models were created with the relevant data set and the stability of these 50 models was determined by ADF Unit Root test and Toda Yamamoto Causality Test was applied. As a result of the applied analyzes, it was determined that there was a two-way causality relationship between the variables in 5 models among the 50 models studied. Our models, which identified bidirectional causality between the variables, consist of BNB-NIKKEI225, ETH-SPASX200, ETH-NIKKEI225, BTC-NIKKEI225, BTC-MOEX models. In 21 models, a one-way causal relationship between variables was applied. It was determined that there was no causal relationship between the variables in the remaining models.
In our study, in order to examine the relationship between crypto coins and stock market indices, the relationship between 5 cryptocurrencies with the highest price value and non fixed prices and the stock market indices of 10 countries selected among developed and developing countries was examined. For this purpose, Binance Coin, Bitcoin, Cardano, Etherium and Ripple; The data set was created with the daily data of SP500, NIKKEI225, FTSE100, DAX, SPASX200, BOVESPA, BIST100, SHANGHAI, NIFTY50 and MOEX stock market indices between 01.01.2018 and 31.12.2021. A total of 50 models were created with the relevant data set and the stability of these 50 models was determined by ADF Unit Root test and Toda Yamamoto Causality Test was applied. As a result of the applied analyzes, it was determined that there was a two-way causality relationship between the variables in 5 models among the 50 models studied. Our models, which identified bidirectional causality between the variables, consist of BNB-NIKKEI225, ETH-SPASX200, ETH-NIKKEI225, BTC-NIKKEI225, BTC-MOEX models. In 21 models, a one-way causal relationship between variables was applied. It was determined that there was no causal relationship between the variables in the remaining models.
Açıklama
Anahtar Kelimeler
Maliye, Finance
