TY  - JOUR
TI  - DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH
AB  - This study is to detect the presence of bubbles and to examine the possible contributions of the Covid-19 outbreak to bubble formation in futures markets. To assess the impacts of financial contagion, the daily data will be used for the period between December 1, 2019 and December 11, 2020. The empirical estimation strategy will be based on the generalized supremum augmented Dickey–Fuller (GSADF) test to examine whether there are bubbles in future markets. According to the estimation results obtained, the GSADF test statistics were found to be statistically significant for 8 future market indices selected for the study. This result reveals empirical evidence that the COVID-19 epidemic has contagion effects on future markets, causing bubble formation for 8 futures market indices. Therefore, the findings obtained in this study have obtained important findings regarding the development and spread of the contagion of the COVID-19 epidemic to financial markets.
AU  - Dogan, Emrah
DO  - 10.36543/kauiibfd.2021.002
PY  - 2021
JO  - KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ 
VL  - 12
IS  - 23
SN  - 1309-4289
SP  - 21
EP  - 36
DB  - TRDizin
UR  - http://search/yayin/detay/439198
ER  -