THRESHOLD EFFECT IN BITCOIN PRICES

dc.contributor.author	Gemici, Eray and Polat, Muslum
dc.date.accessioned	2021-04-01T12:42:43Z
dc.date.available	2021-04-01T12:42:43Z
dc.date.issued	2019
dc.identifier	10.30798/makuiibf.593500
dc.identifier.issn	2149-1658
dc.identifier.uri	http://acikerisim.bingol.edu.tr/handle/20.500.12898/2081
dc.description.abstract	This study investigates the price behavior of Bitcoin using a two-regime TAR model, which is an autoregressive unit root. In the study, the method developed by Caner and Hansen (2001) was used which simultaneously tested non-stationary and non-linearity. For this purpose, the data set of Bitcoin closing prices for 16.07.2010 - 27.11.2018 period (3.056 daily observations) has been created to determine whether Bitcoin prices are efficient or not. The findings support the hypothesis that Bitcoin prices are efficient in weak form for the whole period. However, considering the switching between the regimes, it was concluded that there are two regimes in the Bitcoin price series. In the first regime, the hypothesis of efficient markets in the weak form is valid, but not in the second regime.
dc.language.iso	Turkish
dc.source	JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
dc.title	THRESHOLD EFFECT IN BITCOIN PRICES
dc.type	Article

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