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Çalışmanın amacı, kripto para birimi piyasalarındaki fiyat hareketlerini etkinlik açısından değerlendirerek piyasanın geleceğine dair kritik noktalara ışık tutmaktır. Bu kapsamda piyasa etkinliğine dair uzun hafıza ve değişen varyans özellikleri test edilmiştir. Piyasa derinliği ve volatilite yapısı arasındaki ilişki, 8 kripto para birimi için asimetrik GARCH modelleri kullanılarak incelenmiştir. Analiz bulguları, kripto para piyasalarında uzun hafıza özelliğinin varlığını ortaya koymaktadır. Buna ek olarak, elde edilen bulgulara göre, tüm kripto para birimleri için işlem hacmi arttıkça volatilitede azalma gözlemlenmektedir. Dolayısıyla, piyasa etkinliğinin tüm kripto para birimleri için piyasa derinliğiyle birlikte arttığı sonucuna ulaşılmaktadır. Bu çalışma, güncel finans literatürünün en tartışmalı konularından birisi olan kripto para piyasalarının geleceğine dair sinyallere işaret etme aracılığıyla literatüre katkı sağlamaktadır.
The aim of the study is to keep light on the critical points about the future of the market by evaluating the price movements in the cryptocurrency markets in terms of efficiency. In this scope, long memory of market effectiveness and variable variance characteristics have been tested. The relationship between market depth and volatility structure was studied using asymmetric GARCH models for 8 cryptocurrencies. Analysis findings reveal the existence of a long memory feature in cryptocurrency markets. In addition, according to the findings obtained, volatility decreases as the volume of transactions for all cryptocurrencies increases. Therefore, it is concluded that market effectiveness increases along with the market depth for all cryptocurrencies. This study contributes to literature by pointing out signals about the future of cryptocurrency markets, which is one of the most controversial topics in current financial literature.
The purpose of this study is to shed light on the critical points of the future of the crypto currency market by evaluating the price movements and market efficiency. In this context, efficiency structure of the market has been tested for long-memory and heteroscedasticity characteristics. The relationship between market depth and volatility structure has been tested for 8 crypto currencies using asymmetrical GARCH models. Results of the analysis indicate presence of long-memory characteristics. Additionally, that as market volume increases so does the efficiency of the market. Therefore, it is concluded that the market efficiency increases with the market depth for all tested crypto currencies. This study contributes to the literature by pointing out the signals about the future of the crypto currency markets, which is one of the most controversial issues in the current finance literature.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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