Özet:

The stock market in Turkey has been experiencing a bullish market condition especially since 2002. Turkish equity market also had several boom and bust cycles in recent years, which raises the question of whether equity prices in Turkey reflect their fundamental values. An asset price movement, unexplained by the fundamentals is called a price bubble. In this paper, the existence of a bubble in the Turkish stock market is tested for the period 2002 – 2010. A relatively new technique, duration dependence test is used to detect any rational speculative bubble in Turkish stock market. Results of non-parametric duration dependence test indicate evidence of no negative duration dependence in runs of positive excess returns, consistent with the absence of rational expectations bubbles during the sample period.

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