Yıl 2018, Cilt 8, Sayı 1, Sayfalar 165 - 183 2018-06-30

Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets
Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets

Kemal EYÜBOĞLU [1]

97 117

Kripto para teknolojisi, insanların herhangi bir aracıya ihtiyaç duymadan dünyanın dört bir yanında ödeme yapmalarını sağlar ve internet üzerinden çalışır. Bu teknolojinin ortaya çıkışı ile dikkatler bu paralara çevrilmiş, fiyatları hızla artmaya başlamış ve aynı zamanda oynak hale gelmişlerdir. Bu çalışmada GARCH (1,1) modeli kullanılarak Bitcoin ve Litecoin piyasalarında haftanın günü ve yılın ayı etkilerinin varlığı incelenmiştir. Çalışma dönemi 1 Mayıs 2013-21 Aralık 2016 arasını kapsamaktadır. Elde edilen sonuçlar Bitcoin ve Litecoin getirilerinde haftanın günü ve yılın ayı etkilerinin var olduğunu göstermektedir. Pazartesi, Salı ve Cuma günlerinin Bitcoin getirileri üzerinde pozitif ve anlamlı, Cumartesi’nin ise Litecoin getirileri üzerinde negatif ve anlamlı etkisi olduğu tespit edilmiştir. Ayrıca, yılın ayı etkisi açısından Şubat, Ekim ve Kasım aylarının Bitcoin üzerinde pozitif ve anlamlı, Litecoin getirilerinde ise Ağustos ayının negatif ve anlamlı etkisiolduğu belirlenmiştir.

Cryptocurrency technology works on a network that allows people to make payment all over the world without need of any intermediary. Since the development of this technology, it has received much attention and price of cryptocurrencies has been increasing rapidly and become very volatile. This paper examines the day of the week and month of the year effects in Bitcoin and Litecoin markets using GARCH (1,1) model. The sample period is from May 1, 2013 to December 21, 2016. Results indicate significant presence of the day of the week and month of the year effects in Bitcoin and Litecoin returns. It is determined that Monday, Tuesday and Friday have significant positive effects on Bitcoin and negative Saturday effect on Litecoin returns. Also February, October and November have significant and positive effect on Bitcoin, significant and negative August effect on Litecoin returns in terms of month of the year effect.

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Birincil Dil en
Konular İktisat
Yayımlanma Tarihi Haziran 2018
Dergi Bölümü Araştırma Makalesi
Yazarlar

Orcid: orcid.org/0000-0002-2108-9732
Yazar: Kemal EYÜBOĞLU (Sorumlu Yazar)
Kurum: KARADENİZ TEKNİK ÜNİVERSİTESİ
Ülke: Turkey


Bibtex @araştırma makalesi { ckuiibfd376055, journal = {Çankırı Karatekin Üniversitesi İİBF Dergisi}, issn = {1308-5549}, eissn = {2147-4206}, address = {Çankırı Karatekin Üniversitesi}, year = {2018}, volume = {8}, pages = {165 - 183}, doi = {10.18074/ckuiibfd.376055}, title = {Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets}, key = {cite}, author = {EYÜBOĞLU, Kemal} }
APA EYÜBOĞLU, K . (2018). Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets. Çankırı Karatekin Üniversitesi İİBF Dergisi, 8 (1), 165-183. Retrieved from http://dergipark.gov.tr/ckuiibfd/issue/38041/376055
MLA EYÜBOĞLU, K . "Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets". Çankırı Karatekin Üniversitesi İİBF Dergisi 8 (2018): 165-183 <http://dergipark.gov.tr/ckuiibfd/issue/38041/376055>
Chicago EYÜBOĞLU, K . "Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets". Çankırı Karatekin Üniversitesi İİBF Dergisi 8 (2018): 165-183
RIS TY - JOUR T1 - Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets AU - Kemal EYÜBOĞLU Y1 - 2018 PY - 2018 N1 - DO - T2 - Çankırı Karatekin Üniversitesi İİBF Dergisi JF - Journal JO - JOR SP - 165 EP - 183 VL - 8 IS - 1 SN - 1308-5549-2147-4206 M3 - UR - Y2 - 2018 ER -
EndNote %0 Çankırı Karatekin Üniversitesi İİBF Dergisi Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets %A Kemal EYÜBOĞLU %T Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets %D 2018 %J Çankırı Karatekin Üniversitesi İİBF Dergisi %P 1308-5549-2147-4206 %V 8 %N 1 %R %U
ISNAD EYÜBOĞLU, Kemal . "Examining Day of the Week and Month of the Year Effects in Bitcoin and Litecoin Markets". Çankırı Karatekin Üniversitesi İİBF Dergisi 8 / 1 (Haziran 2018): 165-183.