Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi

Authors : Ferhat ÇITAK

Pages : 247-262

Doi:10.20979/ueyd.582296

View : 17 | Download : 7

Publication Date : 2019-10-24

Article Type : Research Paper

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 insert ignore into journalissuearticles values(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 insert ignore into journalissuearticles values( FPI);,  Credit Default Swap Spreads   insert ignore into journalissuearticles values(CDS);, and  Volatility Index   insert ignore into journalissuearticles values( 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