Abstract:

The main purpose of this study is to test the existence of price bubbles in the index returns of the stock markets of MIST (Mexico, Indonesia, South Korea and Turkey) countries. Price bubbles, which represent the deviation of the market value of financial assets from their fundamental value, have been seen in many stock markets from history to the present. All over the world, especially due to the 2008 global financial crisis, price bubbles come first among researchers working on financial markets in 2008 and after. In this study, the existence of price bubbles in the stock market indices of MIST countries were investigated with weekly index closing price data for the April 2001 – November 2020 periods. The presence of price bubbles in the stock market index returns of MIST countries for many sub-sample periods, Sup –Augmented Dickey Fuller (SADF) test results and Generalized Sup Augmented Dickey Fuller (GSADF) test results are demonstrated by the bootstrap simulation method. The existence of price bubbles in the index returns of the stock markets of these countries at different times has been proven by practice.

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