Kripto Paraların Volatilite Dinamiklerinin ve Spekülatif Balon Varlığının Analizi: Bitcoin, Ethereum ve Ripple ÖrneğiUtku Altunöz
Çalışmada küresel kriz sonrası gündeme gelen kripto paraların en yüksek hacimli Bitcoin, Ethereum ve Ripple özelinde volatilite özellikleri modellenmiş olup fiyat balonlarının varlığı ve tarihleri belirlenmiştir. ADF ve Ng-Perron birim kök testlerinin ardından Bitcoin için EGARCH, Ethereum ve Ripple için TGARCH modellerinin en iyi model olduğunun tespiti edilmiştir. Analiz sonuçlarına göre Bitcoin için katsayılarının negatif olması negatif şokların pozitif şoklara göre volatiliteleri artıracak şekilde etki göstereceği anlamı taşımaktadır. Bu durum kaldıraç etkisinin bulunduğu anlamına gelmektedir. Ethereum ve Ripple için kaldıraç etkisine ulaşılamamış olup pozitif şokların negatif şoklara göre volatiliteleri artıracak şekilde etki göstereceği anlaşılmaktadır.Ayrıca her üç kripto para için sürekli spekülatif balon fiyatlamalarımeydana gelmiş olup Ripple’a göre Ethereum ve Bitcoin’de çok daha yüksek balon fiyatların meydana gelmektedir.
Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and RippleUtku Altunöz
This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles.After running the ADF and Ng-Perron unit root tests, the EGARCH model was analyzed as the best for Bitcoin and TGARCH for the Ethereum and Ripple. According to the obtained results, negative coefficients for Bitcoin imply that negative shocks will increase volatility more than positive shocks. This means that a leverage effect is present. No leverage effect was reached for Ethereum or Ripple, and positive shocks are understood to increase volatility for them compared to negative shocks. In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.
The convergence of technology and finance in recent years has radically changed the understanding of money in daily use. Parallel with this are cryptocurrencies, which emerged in 2009 and have become increasingly popular and more widely used these days, as well as the Blockchain system as the technological power behind these coins. Although cryptocurrencies haveemerged as currency, the formation of price bubbles and volatility in their prices have led to cryptocurrencies being considered as an investment tool. The Blockchain system was created by Satoshi Nakamoto (2008) by combining technology and finance and can be defined as a cryptographic system that allows interpersonal payments without any central authority. This system can keep any data in the digital environment open (distributed) to all users over communication networks and ensure that the data remains the same at all points in this process. The blockchain system started with the Genesis (block zero) installation. Unlike the central banking system and central electronic money, crypto assets are completely decentralized and anonymous. In addition, cryptocurrencies also have various features such as crypto money owner registration and rules for creating new crypto money supplies, with only the owner being able to prove crypto money ownership and to have it change hands. The stored money consists of passwords that are not suitable for memorization and that only the recorded owner of the money will know. Digital currency is issued by a central authority and is also controlled by the same central authority. Due to the absence of any central authority, digital currency transactions are made ‘openly’ with real-identified users, while cryptocurrency transactions are done in secret.
The study aims to determine the most appropriate model and bubble price formations for obtaining volatilities by using different conditional variance models for Bitcoin, Ethereum, and Ripple, which have had the highest market values between 2017-2020. The study is thought to be able to make a unique contribution to the literature because it covers the epidemic period and because it also uses volatility and economic balloons. The study consists of three parts. After the introduction on blockchain technology and cryptocurrencies, the first section discusses bubbles and volatility with regard to financial assets. The second section of the study performs a national and international literature review on volatility and bubbles in cryptocurrencies. The study then moves on the third section where it models the volatility features of cryptocurrencies that have come to the agenda with the highest trade volumes since the global crisis (i.e., Bitcoin, Ethereum, and Ripple), and determined the occurrence and dates of price bubbles. After performing the augmented Dickey-Fuller (ADF) and Ng-Perron unit root tests, EGARCH was determined as the best model for Bitcoin and TGARCH for Ethereum and Ripple, after which the analyses were carried out. According to the obtained results, negative coefficients for Bitcoin indicate that negative shocks will increase volatility more than positive shocks. This means a leverage effect is present for Bitcoin. No leverage effect was found for Ethereum or Ripple, and thus positive shocks are understood to increase volatility for them compared to negative shocks. In addition, continuous speculative bubble pricing has occurred for all three cryptocurrencies, with much higher bubble prices occurring for Ethereum and Bitcoin compared to Ripple. The results are remarkable for researchers, professionals, investors, and policy makers who are interested in the subject. The up-to-date nature of the analysis periods has made detecting the effects from the epidemic period and the financial bubbles that occurred toward the end of 2020 possible. According to the obtained results, cryptocurrencies can be considered as an alternative to other investment tools on the assumption that price increases will be continuous during periods when bubbles are detected for risk-favoring investors. Having future studies related to the subject examine the relationship between the spot market and the futures market, especially in price formations, and detect price bubbles in the Bitcoin futures market will progress the research. This study has revealed prices in the crypto-money market to be open to speculation with particular regard to Bitcoin, Ethereum, and Ripple, and the obtained results can be used as indicators for investors while setting up their positions.