Atıf Sayısı
6
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48
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12
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.
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 run 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.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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