| dc.date.accessioned | 2024-05-27T11:08:20Z | |
| dc.date.available | 2024-05-27T11:08:20Z | |
| dc.date.issued | Ekim 2021 | tr |
| dc.identifier.citation | Salihoğlu, E. ve Göv, A. (2021). Dijital emtia olarak Bitcoin’e yatırım portföyünde yer verilmeli mi?: Bitcoin’in altın, gümüş ve petrol fiyatları ile ilişkisi üzerine bir inceleme. İktisadi İdari ve Siyasal Araştırmalar Dergisi, 6(16), 538-554 | tr |
| dc.identifier.uri | https://hdl.handle.net/20.500.12418/15145 | |
| dc.description | Research Purpose:
In this study, the relationship between Bitcoin prices and commercial commodities, as gold, silver, and crude oil prices under multiple structural breaks is examined. The study investigates whether Bitcoin as a digital commodity can be an alternative investment tool in investment portfolios or not.
Design/methodology/approach:
Bitcoin, gold, silver and crude oil prices in US Dollars representing commercial commodities are examined under structural breaks and analyzed using weekly data for the period between 18.07.2010 and 25.01.2021. The data used in the analysis were obtained from www.investing.com. In the first stage of the empirical analysis, the stationarity levels of the series were tested with Augmented Dickey-Fuller (1979, 1981) (ADF) and Phillips-Perron (1988) (PP) traditional unit root tests and Carrion-i-Silvestre et al.’s (2009) m structural-breaks unit root test. In the second stage, Maki (2012) cointegration test was applied. In the third stage, the Dynamic Least Squares Method (DOLS) estimator was used to estimate the long-term coefficients. In the last stage, the Granger causality (1969) test was used to investigate the causality relationship between the variables.
Findings:
According to the unit root tests results, the variables became stationary at their first difference. The results of the cointegration analysis show that there is a cointegration relationship between Bitcoin and the commercial commodity prices. According to DOLS method estimation findings, oil and silver prices have a negative effect on bitcoin prices, while gold prices have a positive effect in the long run. According to the results of the causality analysis, a causality relationship from gold to Bitcoin is determined. However, it is not found a causal relationship between Bitcoin and oil and silver prices.
Originality/Value/Conclusion:
In the article, which is shaped on the basis of Bitcoin as an alternative investment tool to be included in the portfolio, the relationship between the price of Bitcoin and the prices of gold, silver, and oil as traditional investment instruments is examined. The main aim of the article is to provide a better understanding of the direction and level of price activity of Bitcoin as a global asset and its relations with traditional investment instruments. The article contributes to the literature by questioning the usability of Bitcoin, which is a digital commodity, as an alternative investment tool in hedging and diversification strategy. The results of the analysis show that Bitcoin can be included in the investment portfolio as an alternative investment tool. However, it should be considered that Bitcoin does not show behaviour in the same way as other commercial commodities, and the extreme fluctuation in its prices is caused by demand shocks. The article contributed to the literature by questioning the usability of Bitcoin as an alternative commodity in the financial portfolio. Nevertheless, considering the extreme price fluctuations caused by demand shocks and legal obstacles, it is not possible for Bitcoin to function as an investment tool as a safe haven. | tr |
| dc.description.abstract | In this study, the long-run relationship between Bitcoin and commercial commodities as gold, silver, and crude oil prices is examined under multiple structural breaks. The study investigates whether Bitcoin as a digital commodity can be an alternative investment tool in investment portfolios or not. In the first stage of the empirical analysis, the stationarity levels of the series were tested with traditional unit root tests and Carrion-i-Silvestre et al.’s (2009) m structural breaks unit root test. In the second stage, Maki (2012) cointegration test was applied. The results of the analysis show that there is a cointegration relationship between Bitcoin and the commercial commodity prices under structural break. In the third stage, the Dynamic Least Squares Method (DOLS) estimator was used to investigate the long-term coefficients. The results of the study indicate that in the long term, gold prices affect Bitcoin prices positively, while silver and crude oil affect it negatively. According to the results of the causality analysis made in the last stage, we determined a causality relationship from gold to Bitcoin. It is not found a causal relationship between Bitcoin and oil and silver prices. | tr |
| dc.language.iso | eng | tr |
| dc.publisher | Dergipark | tr |
| dc.relation.isversionof | https://doi.org/10.25204/iktisad.970269 | tr |
| dc.rights | info:eu-repo/semantics/restrictedAccess | tr |
| dc.subject | Bitcoin, digital commodity, investment portfolio, structural break, cointegration | tr |
| dc.title | Should Bitcoin Be Included in The Investment Portfolio as A Digital Commodity?: A Study on The Relationship of Bitcoin with The Prices of Gold, Silver and Oil | tr |
| dc.title.alternative | Bitcoin prices and gold, silver and oil prices | tr |
| dc.type | article | tr |
| dc.relation.journal | JOURNAL OF ECONOMICS BUSINESS AND POLITICAL RESEARCHES | tr |
| dc.contributor.department | İktisadi ve İdari Bilimler Fakültesi | tr |
| dc.identifier.volume | 6 | tr |
| dc.identifier.issue | 16 | tr |
| dc.identifier.endpage | 554 | tr |
| dc.identifier.startpage | 538 | tr |
| dc.relation.publicationcategory | Ulusal Hakemli Dergide Makale - Kurum Öğretim Elemanı | tr |
