Abstract:

Nowadays, capital markets are necessary for the successful and sustainable growth of economies and enterprises. As alternative investment instruments, asset prices interact with stock markets. For this reason, bubbles in asset prices are expected to be correlated with stock markets. For this study, the existence of a bubble in the dollar, euro, bitcoin, CDS, and deposit interest rate variables is analyzed using monthly data between 08:2010 and 10:2022. In the presence of bubble formation in the variables considered, it is aimed to examine the effects of these bubbles on the volatility of the BIST 100 index. The existence of bubbles is analyzed by SADF and GSADF tests, while volatility is determined by TARCH and ARCH-GARCH models. While there were statistically significant bubble formations for the USD, euro and bitcoin variables during the period under consideration, no statistically significant bubble formation was observed for the CDS and deposit variables during the relevant period. It can be said that the bubbles in USD and euro variables increase the volatility in the BIST 100 index return. On the other hand, it was observed that the bubbles in bitcoin did not have a statistically significant effect.

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