An Empirical Investigation of Bubble in the Turkish Stock Market

Ferhat ÇITAK (Hitit Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Çorum, Türkiye)
Uluslararası Ekonomi ve Yenilik Dergisi
1 0
Yıl: 2019 Cilt: 5 Sayı: 2 Sayfa Aralığı: 247 - 262 Metin Dili: İngilizce İndeks Tarihi: 18-06-2020

An Empirical Investigation of Bubble in the Turkish Stock Market

Öz:
In this paper, twenty – four sectoral indices of stock prices operated in theTurkish stock market are analyzed for evidence of rational speculative bubbles using thegeneralized supremum Augmented – Dickey – Fuller (GSADF) test. Then, detecting rationalspeculative bubbles, we define a dummy variable to capture the bubble dates and ran the logitmodel to determine the factors that influence bubble formation. Empirical results depict thatForeign Portfolio Investment (FPI), Credit Default Swap Spreads (CDS), and Volatility Index(VIX) are the important variables that cause the probability of bubble formation in the Turkishstock market.
Anahtar Kelime:

Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi

Öz:
Bu çalışmada, Türkiye pay piyasasında işlem gören 24 sektör ve gösterge endeksleri için, genelleştirilmiş eküs Augmented – Dickey – Fuller (GSADF) testi ile rasyonel spekülatif balonların varlığı analiz edilmiştir. İkinci aşamada, rasyonel spekülatif balonlarının görüldüğü tarihlere kukla değişken tanımlanarak balon oluşumunu etkileyen faktörler, logit modeli kullanılarak tespit edilmeye çalışılmıştır. Analiz sonuçlarına göre, Türkiye pay piyasasında balon oluşma olasığını en fazla etkileyen değişkenlerin uluslararası portföy yatırımları (FPI), ülke kredi risk primi (CDS) ve uluslararası yatırımcıların risk algısı (VIX ) olduğu belirlenmiştir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA citak f (2019). An Empirical Investigation of Bubble in the Turkish Stock Market. , 247 - 262.
Chicago citak ferhat An Empirical Investigation of Bubble in the Turkish Stock Market. (2019): 247 - 262.
MLA citak ferhat An Empirical Investigation of Bubble in the Turkish Stock Market. , 2019, ss.247 - 262.
AMA citak f An Empirical Investigation of Bubble in the Turkish Stock Market. . 2019; 247 - 262.
Vancouver citak f An Empirical Investigation of Bubble in the Turkish Stock Market. . 2019; 247 - 262.
IEEE citak f "An Empirical Investigation of Bubble in the Turkish Stock Market." , ss.247 - 262, 2019.
ISNAD citak, ferhat. "An Empirical Investigation of Bubble in the Turkish Stock Market". (2019), 247-262.
APA citak f (2019). An Empirical Investigation of Bubble in the Turkish Stock Market. Uluslararası Ekonomi ve Yenilik Dergisi, 5(2), 247 - 262.
Chicago citak ferhat An Empirical Investigation of Bubble in the Turkish Stock Market. Uluslararası Ekonomi ve Yenilik Dergisi 5, no.2 (2019): 247 - 262.
MLA citak ferhat An Empirical Investigation of Bubble in the Turkish Stock Market. Uluslararası Ekonomi ve Yenilik Dergisi, vol.5, no.2, 2019, ss.247 - 262.
AMA citak f An Empirical Investigation of Bubble in the Turkish Stock Market. Uluslararası Ekonomi ve Yenilik Dergisi. 2019; 5(2): 247 - 262.
Vancouver citak f An Empirical Investigation of Bubble in the Turkish Stock Market. Uluslararası Ekonomi ve Yenilik Dergisi. 2019; 5(2): 247 - 262.
IEEE citak f "An Empirical Investigation of Bubble in the Turkish Stock Market." Uluslararası Ekonomi ve Yenilik Dergisi, 5, ss.247 - 262, 2019.
ISNAD citak, ferhat. "An Empirical Investigation of Bubble in the Turkish Stock Market". Uluslararası Ekonomi ve Yenilik Dergisi 5/2 (2019), 247-262.
Sayfa Oluşturulma Tarihi
23-04-2024 12:15

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