Abstract:

Cryptocurrencies are among the topics that are frequently discussed by investors, central banks and state governments in recent years. In the literature it is the controversial issue that both whether cryptocurrencies is a financial asset and whether have a medium of exchange capabilities. However, in recent years, there is a significant increase in volume of these currencies. Despite the warning and measures of market regulators, investors continue to trade at high levels in cryptocurrency market. Therefore, the price volatilities in cryptocurrency market and the factors affecting them are becoming increasingly important. The objective of this study is to determine the effects of the positive and negative news (asymmetric effect) on the price volatility of the virtual moneys in cryptocurrency market by using the student-t distributed Exponential Generalized Autoregressive Conditional Heteroscedastic Model (t-EGARCH). In this context, the logarithmic returns calculated on the basis of daily closing prices of Bitcoin, Etherium and Ripple, which have the highest trading volume in cryptocurrency market, are used. The data set for the study covers the period 08/10 /2015-05 /03/2018. As a result, the appropriate t-EGARCH models that satisfy the model significance conditions could not be determined for the other two currencies except Bitcoin. In the Bitcoin market, t-EGARCH (2,1,1) model is determined as the most suitable model. In general, the findings obtained from the study show that asymmetric effect is not observed in Etherium and Ripple return series; for Bitcoin asymmetric effect is observed and positive news is more influential on the volatility of the return series than negative news.

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