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  Citation Number 7
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Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi
2019
Journal:  
Uluslararası Ekonomi ve Yenilik Dergisi
Author:  
DOI:  
10.20979/ueyd.582296
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:

The Imperial Review of the Speculative Balloon Presence in the Turkish Stock Market
2019
Journal:  
Uluslararası Ekonomi ve Yenilik Dergisi
Author:  
DOI:  
10.20979/ueyd.582296
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 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.

Keywords:

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Uluslararası Ekonomi ve Yenilik Dergisi

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 149
Cite : 714
2023 Impact : 0.4
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Uluslararası Ekonomi ve Yenilik Dergisi