Crypto currency applications in financial markets: factors affecting crypto currency prices

dc.authorid0000-0002-3893-4015
dc.authorid0000-0002-3893-4015en_US
dc.contributor.authorDeniz, E. Asenaen_US
dc.contributor.authorTeker, Dileken_US
dc.date.accessioned2023-01-26T00:39:25Z
dc.date.available2023-01-26T00:39:25Z
dc.date.issued2020-07-30
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractPurpose- As the cryptocurrency market is beginning to attract investors, a new portfolio of cryptocurrencies has been published in the literature on macro-economic factors affecting these currencies. This research also aimed to identify the interaction between gold, brent oil, Bitcoin, Ethereum and Ripple. Methodology- The database includes the Daily prices of Bitcoin, Ethereum, Ripple, gold and brent oil prices between the period of 03.04.2018-31.12.2020 which consist of 500 daily data. Natural logaritm for each indicator is used. First, the stationarity of the series were analyzed with ADF (Augmented Dickey Fuller) unit root test. Lag lengths are determined. Interactions between the series were analyzed by the Johansen Cointegration test, Granger Causality test, Impulse- Response Function and Variance Decomposition method. Findings- The series are found out to be stationary at first difference. According to the cointegration test result, cointegration could not be found between our data. According to Granger causality analysis, only one-way relationship was found from bitcoin to gold. Impulse response graphs indicate that all variables respond in a reducing way to reducing shocks occurred in each indicator. Shocks have lost their effect on average in 2 days. Conclusion- The results indicate that the effect of gold and brent oil prices on bitcoin, ethereum, ripple daily prices do not have a strong effect. The results may be beneficial for investors to consider diversification for the portfolios.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationDeniz, E. A. & Teker, D. (2020). Crypto currency applications in financial markets: factors affecting crypto currency prices. PressAcademia Procedia, 11(1), 34-37. doi:10.17261/Pressacademia.2020.1235en_US
dc.identifier.endpage37
dc.identifier.issn2459-0762en_US
dc.identifier.issue1
dc.identifier.startpage34
dc.identifier.urihttps://hdl.handle.net/11729/5294
dc.identifier.urihttp://dx.doi.org/10.17261/Pressacademia.2020.1235
dc.identifier.volume11
dc.institutionauthorTeker, Dileken_US
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherPressAcademiaen_US
dc.relation.ispartofPressAcademia Procediaen_US
dc.relation.publicationcategoryKonferans Öğesi - Ulusal - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCrytocurrencyen_US
dc.subjectJohansen co-integration testen_US
dc.subjectGranger casuality testen_US
dc.subjectImpulse- response function and variance decompositionen_US
dc.titleCrypto currency applications in financial markets: factors affecting crypto currency pricesen_US
dc.typeConference Objecten_US

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Yükleniyor...
Küçük Resim
Ä°sim:
Crypto_currency_applications_in_financial_markets_factors_affecting_crypto_currency_prices.pdf
Boyut:
276.48 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Publisher's Version
Lisans paketi
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
Ä°sim:
license.txt
Boyut:
1.44 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama: