Ethereum ağında bulunan ERC-20 tabanlı tokenlerin getirileri arasındaki ilişki
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Date
2024
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Kırıkkale Üniversitesi
Access Rights
info:eu-repo/semantics/openAccess
Abstract
Bu çalışmanın amacı; Ethereum ağında yer alan, çalışmaya başlanılan tarihte en yüksek piyasa değerine sahip beş adet tokenin getirileri arasındaki nedensellik ilişkisini incelemektir. DAI Token (DAI), SHIBA Inu (SHIBA), Tether USDt (TETHER), Uniswap (UNI) ve USD Coin (USDC) tokenlarının 01.10.2021-05.02.2024 dönemindeki günlük getirileri dolar bazında çalışmaya dâhil edilmiştir. Çalışmaya başlamadan önce, çalışmanın konusu ile ilgili akademik çalışmalar incelenmiş ve kavramsal çerçevenin belirlenmesi amacıyla, blockchain teknolojisinin tarihi süreci ve avantajlarına değinilmiştir. Kripto paranın ve ERC-20 standartlarının tanımları yapıldıktan sonra piyasaya etkilerinden ve veri olarak belirlenen kripto para birimlerinin özelliklerinden bahsedilmiştir. Çalışmada öncelik olarak serilere en çok kullanılan ADF, PP ve KPSS birim kök testleri uygulanmış ve durağanlıkları sınanmıştır. VAR (Vektör Otoregresif) model kullanılmış ve 10 adet model tahmin edilmiştir. Bu modellerin 4'ünde herhangi bir nedensellik tespit edilememiştir. 3'ünde tek yönlü, 3'ünde ise çift yönlü nedensellik ilişkisi tespit edilmiştir. 10 modelde yapılan Etki-Tepki Analizi sonucunda; 10 modelden 5'inde kripto paraların kendinde meydana gelen şoklara duyarlı, diğer kripto paralarda meydana gelen şoklara ise duyarlı olmadığı gözlemlenmiştir. Etki-Tepki Analizleri sonucunda en dikkat çekici sonuç, USDC'de meydana gelen şokların TETHER üzerinde oldukça uzun bir dönem etkili olduğudur. Varyans Ayrıştırması sonuçlarına göre elde edilen diğer bir dikkat çekici bir sonuç, DAI'nin USDC üzerinde varyasyonun ana belirleyicisi olduğu gözlemlenmiştir. Diğer çarpıcı bir sonuç ise; DAI'nin USDC üzerindeki etkisi kadar olmasa da, TETHER'daki varyasyonun oldukça yüksek bir miktarda USDC varyasyonu ile açıklanmış olmasıdır.
The purpose of this study is to examine the causality relationship among the returns of the top five tokens by market value on the Ethereum network as of the start date of the study. The tokens included in the study are DAI Token (DAI), SHIBA Inu (SHIBA), Tether USDt (TETHER), Uniswap (UNI) and USD Coin (USDC) and their daily returns in USD from October 1, 2021, to February 5, 2024, are analyzed. Before starting the study, relevant academic literature on the subject is reviewed, and the historical development and advantages of blockchain technology are discussed to establish the conceptual framework. Definitions of cryptocurrency and ERC-20 standards are provided, followed by discussions on their market impacts and characteristics of the selected cryptocurrencies as data.In the study, the most commonly used ADF, PP and KPSS unit root tests are applied initially to test the stationarity of the series. A VAR (Vector Autoregressive) model is used to estimate 10 models. Among these, no causality is found in four models, unidirectional causality is found in three models, and bidirectional causality is found in three models. As a result of the Impact-Response Analysis performed on 10 models; It has been observed that in 5 out of 10 models, cryptocurrencies are sensitive to shocks occurring in themselves, but are not sensitive to shocks occurring in other cryptocurrencies. The most striking result of the Impact-Response Analysis is that the shocks occurring in USDC have an impact on TETHER for a very long period. Another remarkable result obtained according to the Variance Decomposition results is that DAI is the main determinant of the variation on USDC. Another striking result is; Although not as much as the impact of DAI on USDC, the variation in TETHER is explained by a fairly high amount of USDC variation.
The purpose of this study is to examine the causality relationship among the returns of the top five tokens by market value on the Ethereum network as of the start date of the study. The tokens included in the study are DAI Token (DAI), SHIBA Inu (SHIBA), Tether USDt (TETHER), Uniswap (UNI) and USD Coin (USDC) and their daily returns in USD from October 1, 2021, to February 5, 2024, are analyzed. Before starting the study, relevant academic literature on the subject is reviewed, and the historical development and advantages of blockchain technology are discussed to establish the conceptual framework. Definitions of cryptocurrency and ERC-20 standards are provided, followed by discussions on their market impacts and characteristics of the selected cryptocurrencies as data.In the study, the most commonly used ADF, PP and KPSS unit root tests are applied initially to test the stationarity of the series. A VAR (Vector Autoregressive) model is used to estimate 10 models. Among these, no causality is found in four models, unidirectional causality is found in three models, and bidirectional causality is found in three models. As a result of the Impact-Response Analysis performed on 10 models; It has been observed that in 5 out of 10 models, cryptocurrencies are sensitive to shocks occurring in themselves, but are not sensitive to shocks occurring in other cryptocurrencies. The most striking result of the Impact-Response Analysis is that the shocks occurring in USDC have an impact on TETHER for a very long period. Another remarkable result obtained according to the Variance Decomposition results is that DAI is the main determinant of the variation on USDC. Another striking result is; Although not as much as the impact of DAI on USDC, the variation in TETHER is explained by a fairly high amount of USDC variation.
Description
Sosyal Bilimler Enstitüsü, Ekonometri Ana Bilim Dalı
Keywords
Ekonometri, Econometrics
