- Uluslararası Ekonomi ve Yenilik Dergisi
- Vol: 5 Issue: 2
- Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi
Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi
Authors : Ferhat Çitak
Pages : 247-262
Doi:10.20979/ueyd.582296
View : 6 | Download : 2
Publication Date : 2019-10-24
Article Type : Research
Abstract :In this paper, twenty – four sectoral indices of stock prices operated in the Turkish stock market are analyzed for evidence of rational speculative bubbles using the generalized supremum Augmented – Dickey – Fuller (GSADF) test. Then, detecting rational speculative bubbles, we define a dummy variable to capture the bubble dates and ran the logit model to determine the factors that influence bubble formation. Empirical results depict that Foreign 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 Turkish stock market.Keywords : Rational bubble, GSADF test, Logistic regression, BIST, Turkey