TY  - JOUR
TI  - An Empirical Investigation of Bubble in the Turkish Stock Market
AB  - 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.
AU  - citak, ferhat
PY  - 2019
JO  - Uluslararası Ekonomi ve Yenilik Dergisi
VL  - 5
IS  - 2
SN  - 2149-6838
SP  - 247
EP  - 262
DB  - TRDizin
UR  - http://search/yayin/detay/343802
ER  -