Abstract:

This study investigates the price behavior of Bitcoin using a two-regime TAR model, which is the root of the otoregressive unit. In the study, the method was developed by Caner and Hansen (2001) who tested stable excretion and non-linear at the same time. For this purpose, for the period 16.07.2010 - 27.11.2018 (3.056 daily observations) the data set of Bitcoin closing prices was created to examine whether Bitcoin prices were effective.  The findings obtained support the hypothesis of active markets in a weak form when taking into account the entire period of Bitcoin prices. However, considering the interregime transition, the conclusion is that there are two regimes in the Bitcoin price series. The weak form in the first regime has been found that the effective market hypothesis is valid, but it is not valid in the second regime.

Abstract:

This study investigates the price behavior of Bitcoin using a two-regime TAR model, which is an autoregressive unit root. In the study, the method developed by Caner and Hansen (2001) was used which simultaneously tested non-stationary and non-linearity. For this purpose, the data set of Bitcoin closing prices for 16.07.2010 - 27.11.2018 period (3.056 daily observations) has been created to determine whether Bitcoin prices are efficient or not. The findings support the hypothesis that Bitcoin prices are efficient in weak form for the whole period. However, considering the switching between the regimes, it was concluded that there are two regimes in the Bitcoin price series. In the first regime, the hypothesis of efficient markets in the weak form is valid, but not in the second regime.

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