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Kriptopara Getirilerinin Piyasa Risklerinin Karsilastirilmasi

Author

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  • Neslihan Fidan Kececi

    (İstanbul University)

Abstract

Finansal kurumlarin yatirim getirilerine ait piyasa riskini uluslararası platformda Riske Maruz Değer (VaR) ile raporlamalari beklenmektedir. VaR belirli bir güven düzeyinde bir getiri dagiliminda kayiplari iceren kuyruga kesme noktasi olarak yaklasirken, tutarli bir risk ölcüsü olma özelliklerini saglayan Kosullu VaR (CVaR) ortalama deger alarak, dagılımın kuyruguna odaklanmaktadir. Bu calismada, bes farkli kriptoparaya ait getirilerin piyasa riskleri daha önceden coğunlukla hisse senedi piyasasinda basvuruldugu görülen VaR ve CVaR ölcülerinin parametrik ve parametrik olmayan yaklasimlariyla ölcülmeye calisilmiştir. Analizden elde edilen sonuclarda, kriptopara birimleri arasinda genel olarak Ripple’in en yüksek piyasa riskine sahip oldugu, Bitcoin’in ise en az riskli kriptopara birimi oldugu görülmektedir. Geriye dönük testlerle sinanan sonuclara göre, parametrik olmayan CVaR yaklasiminin VaR’a ve parametrik yaklasima göre öngörülebilir bir risk ölcümü saglandığı görülmektedir. Farkli yatirim araclari kullanilarak olusturulan minimum riskli portföylerde kriptoparalarin portföy agırlığı arttıkca portföy getirisinin de arttigi gözlenmektedir. Bu sonuc kriptoparaların portföy çeşitlendirmesinde kullanilabilecegini göstermektedir. Sonuclarimiz yatirimcilar ve arastirmacilara, bir yatirim araci olarak kriptopara birimlerinin kayiplara karsı duyarlilik seviyelerine iliskin nicel bilgi saglamaktadir

Suggested Citation

  • Neslihan Fidan Kececi, 2021. "Kriptopara Getirilerinin Piyasa Risklerinin Karsilastirilmasi," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 5(1), pages 55-86, August.
    • Handle: RePEc:bgo:journl:v:5:y:2021:i:1:p:55-86repec/bgo/
    DOI: https://doi.org/10.33399/biibfad.811774
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    More about this item

    Keywords

    Sanal para; bitcoin; riske maruz deger; piyasa riski; tutarli risk ölçüsü; VaR;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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