Examining the Relationship between Crypto Fear and Greed Index and Financial Markets Using Fourier-Based Approaches: Evidence from G7 Countries

Mert Baran Tunçel; Serdar Yaman; Feyyaz Zeren

Makale detayları

Examining the Relationship between Crypto Fear and Greed Index and Financial Markets Using Fourier-Based Approaches: Evidence from G7 Countries

Yazarlar:

Mert Baran Tunçel | Serdar Yaman | Feyyaz Zeren

Yayıncı:

Anadolu University

Ana Başlıklar:

Davranışsal Finans

Dergi:

Anadolu Üniversitesi Sosyal Bilimler Dergisi Vol.24 Issue 1, pp.37-52

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314520

pISSN:

2667-8683

Anahtar kelimeler:

Özet:

 Especially in recent years, the formation and prediction of prices, and investors behaviors has been one of the most interesting topics in the literature of finance. Cryptocurrency market is one of the markets where the effects of investors psychology on investments can be observed most clearly. This study investigates the relationship between the crypto fear and greed index, which is considered one of the leading indicators of investor sentiment in the cryptocurrency market and the financial markets of the G7 countries. In this context, the cointegration and causality relations between the crypto fear and greed index and the stock markets of G7 countries were examined with Fourier Bootstrap ARDL Bound Test and Fourier Toda-Yamamoto Causality Test using weekly data for the period 04.02.2018-15.01.2023. ARDL Bound test results reveal that the situation between variables was degenerate, and the variables are not cointegrated. Causality test results, on the other hand, indicate causal relationships between crypto fear and greed index and various financial markets. Causality test results, reveal that there was bidirectional causality between the crypto fear and greed index and FTSEMIB and TSX. it has also been determined that there is unidirectional causality from SP 500 and FTSE 100 to the crypto fear and greed index and unidirectional causality from the crypto fear and greed index to NIKKEI225. The causality test results show that cryptocurrency market investors irrational behaviors, such as fear and greed, which accour a result of the developments in the cryptocurrency market, have important relations with the stock markets.

 Especially in recent years, the formation and prediction of prices, and investors behaviors has been one of the most interesting topics in the literature of finance. Cryptocurrency market is one of the markets where the effects of investors psychology on investments can be observed most clearly. This study investigates the relationship between the crypto fear and greed index, which is considered one of the leading indicators of investor sentiment in the cryptocurrency market and the financial markets of the G7 countries. In this context, the cointegration and causality relations between the crypto fear and greed index and the stock markets of G7 countries were examined with Fourier Bootstrap ARDL Bound Test and Fourier Toda-Yamamoto Causality Test using weekly data for the period 04.02.2018-15.01.2023. ARDL Bound test results reveal that the situation between variables was degenerate, and the variables are not cointegrated. Causality test results, on the other hand, indicate causal relationships between crypto fear and greed index and various financial markets. Causality test results, reveal that there was bidirectional causality between the crypto fear and greed index and FTSEMIB and TSX. it has also been determined that there is unidirectional causality from SP 500 and FTSE 100 to the crypto fear and greed index and unidirectional causality from the crypto fear and greed index to NIKKEI225. The causality test results show that cryptocurrency market investors irrational behaviors, such as fear and greed, which accour a result of the developments in the cryptocurrency market, have important relations with the stock markets.

 Especially in recent years, the formation and prediction of prices, and investors behaviors has been one of the most interesting topics in the literature of finance. Cryptocurrency market is one of the markets where the effects of investors psychology on investments can be observed most clearly. This study investigates the relationship between the crypto fear and greed index, which is considered one of the leading indicators of investor sentiment in the cryptocurrency market and the financial markets of the G7 countries. In this context, the cointegration and causality relations between the crypto fear and greed index and the stock markets of G7 countries were examined with Fourier Bootstrap ARDL Bound Test and Fourier Toda-Yamamoto Causality Test using weekly data for the period 04.02.2018-15.01.2023. ARDL Bound test results reveal that the situation between variables was degenerate, and the variables are not cointegrated. Causality test results, on the other hand, indicate causal relationships between crypto fear and greed index and various financial markets. Causality test results, reveal that there was bidirectional causality between the crypto fear and greed index and FTSEMIB and TSX. it has also been determined that there is unidirectional causality from SP 500 and FTSE 100 to the crypto fear and greed index and unidirectional causality from the crypto fear and greed index to NIKKEI225. The causality test results show that cryptocurrency market investors irrational behaviors, such as fear and greed, which accour a result of the developments in the cryptocurrency market, have important relations with the stock markets.

 Özellikle son yıllarda finansal piyasalarda fiyatların oluşumu, tahmin edilebilirliği ve yatırımcı davranışları finans literatürünün en ilgi çeken konularından biri konumundadır. Yatırımcı psikolojisinin yatırımlar üzerindeki etkilerinin en net gözlemlenebildiği piyasalardan biri de kripto para piyasalarıdır. Bu çalışma, kripto para piyasasında yatırımcı duyarlılığının temel göstergelerinden biri olarak kabul edilen kripto korku ve açgözlülük endeksi ile G7 ülkelerinin finansal piyasaları arasındaki ilişkiyi araştırmaktadır. Bu bağlamda, kripto korku ve açgözlülük endeksi ile G7 ülkelerinin pay piyasaları arasındaki eşbütünleşme ve nedensellik ilişkileri 04.02.201815.01.2023 dönemine ait haftalık veriler kullanılarak Fourier Bootstrap ARDL Sınır Testi ve Fourier Toda-Yamamoto Nedensellik Testi ile incelenmiştir. Fourier Bootstrap ARDL Sınır Testi sonucunda, değişkenler arasında dejenere durum olduğu, daha açık bir ifadeyle eşbütünleşme ilişkisinin olmadığı tespit edilirken, Fourier Toda-Yamamoto Nedensellik Testi sonucunda ise kripto korku ve açgözlülük endeksi ile FTSEMIB ve TSX arasında çift yönlü nedensellik olduğu tespit edilmiştir. Ayrıca, SP 500 ve FTSE 100den kripto korku ve açgözlülük endeksine doğru tek yönlü, kripto korku ve açgözlülük endeksinden NIKKEI225e doğru yine tek yönlü nedensellik olduğu tespit edilmiştir. Nedensellik analizi sonuçları, kripto para piyasası yatırımcılarının kripto para piyasasında yaşanan gelişmeler sonucunda sergiledikleri korku ve açgözlülük davranışlarının pay piyasaları ile önemli ilişkilere sahip olduğunu göstermektedir.

Makale detayları

Examining the Relationship between Crypto Fear and Greed Index and Financial Markets Using Fourier-Based Approaches: Evidence from G7 Countries

Yazarlar:

Mert Baran Tunçel | Serdar Yaman | Feyyaz Zeren

Yayıncı:

Anadolu University

Ana Başlıklar:

Davranışsal Finans

Dergi:

Anadolu Üniversitesi Sosyal Bilimler Dergisi Vol.24 Issue 1, pp.37-52

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314520

pISSN:

2667-8683

Crypto Fear and Greed Index

Investor Sentiment

Fourier Cointegration

Fourier CausalityKripto Korku ve Açgözlülük Endeksi

Yatırımcı Duyarlılığı

Fourier Eşbütünleşme

Fourier Nedensellik

Sayı

Makale detayları

Yazarlar: Mert Baran Tunçel | Serdar Yaman | Feyyaz Zeren

Yayıncı: Anadolu University

Ana Başlıklar: Davranışsal Finans

Dergi: Anadolu Üniversitesi Sosyal Bilimler Dergisi Vol.24 Issue 1, pp.37-52

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001314520

pISSN: 2667-8683

Sayı

Yazarlar:

Mert Baran Tunçel | Serdar Yaman | Feyyaz Zeren

Yayıncı:

Anadolu University

Ana Başlıklar:

Davranışsal Finans

Dergi:

Anadolu Üniversitesi Sosyal Bilimler Dergisi Vol.24 Issue 1, pp.37-52

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001314520

pISSN:

2667-8683