The Research of Asset Price Bubble at Borsa Istanbul and Financial Crisis Relationship

Authors : Müge SAĞLAM BEZGİN, Mehmet BAŞAR

Pages : 143-156

Doi:10.18037/ausbd.758046

View : 30 | Download : 13

Publication Date : 2020-06-25

Article Type : Research Paper

Abstract :In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test.
Keywords : Asset Price Bubble, Financial Crisis, Right Tailed Unit Root Test, Asymmetric Causality, Time Series Analysis