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Emtia balonlarının belirlenmesi: Dow Jones İndeksi’nde analitik bir çalışma

Year 2023, Volume: 25 Issue: 2, 206 - 225, 01.12.2023
https://doi.org/10.33707/akuiibfd.1250470

Abstract

Bu çalışmanın amacı Amerikan Dow Jones indeksi emtia piyasasında yer alan Emtia Fiyatları kullanılarak, Amerikan emtia piyasasında spekülatif balonlarının var olup olmadığı, varsa toplam balon süreleri ve incelenen dönemde kaç kez spekülatif balon oluştuğunun belirlenmesidir. Çalışmada Amerikan Dow Jones indeksi emtia piyasasında yer alan 23 adet gerçek zamanlı Emtia fiyatları kullanılmış, 01.01.2012 tarihinden 01.08.2022 tarihine kadar 10 yıllık dönemde, aylık veriler üzerinden Phillips, Shi ve Yu (2015) tarafından literatüre kazandırılan genelleştirilmiş Dickey Fuller (GSADF) testi kullanılmıştır. Çalışma sonucunda incelenen zaman aralığında ve emtiaların tamamında fiyat balonu veya balonlarının çeşitli defa ve sürelerde oluştuğu belirlenmiştir. Emtia piyasasında bir balonun varlığı ulusal ve uluslararası ekonomi üzerinde yıkıcı etkiler yaratabilir. GSADF testlerinin gerçek zamanlı bir kabarcık detektörü olarak kullanılabileceği göz önüne alındığında bu yaklaşımın uygulanması ve politika yapıcılar tarafından yapılan zamanla değişen nedensellik testleri, dışsal veya dış kaynaklı risklerin değerlendirilmesi ve ölçülmesi açısından önemli faydalar sağlayabilir.

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References

  • Areal, J., Balcombea, K., & Rapsomanikis, G. (2016). Testing for bubbles in agriculture commodity markets, Economía Agraria y Recursos Naturales. 16(1), 59-79
  • Altay E. (2008). Sermaye Piyasasında Sürü Davranışı İMKB’de Piyasa Yönünde Sürü Davranışının Analizi. BDDK Bankacılık ve Finansal Piyasalar, 2(1), 27-58.
  • Carter, A., Rausser, G., & Smith, A. (2011). Commodity Booms and Busts, The Annual Review of Resource Economics, 3, 87-118.
  • Chen, Z., Yan, B., & Kang, H. (2023). Price bubbles of agricultural commodities: evidence from China’s futures market, Empirical Economics, 64(1), 195-222, doi: 10.1007/s00181-022-02254-0
  • Chiu, C. L., & Chou, K. H. (2020). The soft commodities multiple bubbles tests: evidence from the New York Futures Markets, 29(3), 206-211, doi: 10.1080/13504851.2020.1861195
  • Damadoran, A. (2014). Applied Corporate Finance, Fourth Edition, Wiley, 29-35.
  • Etienne, X., Irwin, S., & Garcia, P. (2014). Bubbles in food commodity markets: Four decades of evidence, Journal of International Money and Finance, 42, 129-155, doi: 10.1016/j.jimonfin.2013.08.008
  • Gutierrez, L. (2013). Speculative bubbles in agricultural commodity markets, European Review of Agricultural Economics, 40(2), 217–238, doi: 10.1093/erae/jbs017
  • Gurkaynak, R. S. (2008). Econometric tests of asset price bubbles: Taking stock, J. Econ. Surveys, 22, 166–186.
  • Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods, Journal of Financial Econometrics, 10(1), 198–231, doi: 10.1093/jjfinec/nbr009
  • Khan, K., Wei, C. S., & Khurshid, A. (2022). Do booms and busts identify bubbles in energy prices?, Resources Policy, 76(C), doi: 10.1016/j.resourpol.2022.102556
  • Kindleberger, C., & Aliber, R. (2005). Manias, Panics, and Crashes: A History of Financial Crises, Fifth Edition, John Wiley & Sons, Inc.
  • Kurar, İ., & Çetin, A, C. (2016). Türev Araçlarının Risk Yönetim Fonksiyonu: Vadeli İşlem Piyasası Risk Yönetimi Üzerine Bir Araştırma, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(2), 403-425.
  • Li, J., Chavas, J., Etiennec, X., & Lia, C. (2017). Commodity price bubbles and macroeconomics: evidence from the Chineseagricultural markets, Agricultural Economics, 48(2017), 755–768.
  • Maghyereh, A. ve Abdoh, H. (2022). Can news-based economic sentiment predict bubbles in precious metal markets?, Financial Innovation, 8(35), doi: 10.1186/s40854-022-00341-w
  • Öncü, E. (2021). Gümüş Fiyatlarında Spekülatif Balonların Tespiti: GSADF Analizi, İçinde: (Ed. K. S Benli) International Scientifıc Research Congress Proceedings Book, 391-397.
  • Phillips, P.C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? Intl. Econ. Rev., 52, 201–226.
  • Pagnottoni, P., & Spelta, A. (2022). The motifs of risk transmission in multivariate time series: Application to commodity prices, Socio-Economic Planning Sciences, 87(B), doi: 10.1016/j.seps.2022.101459
  • Phillips, P. C., & Magdalinos T. (2007). Limit theory for moderate deviationsfrom a unit root, Journal of Econometrics, 136(1), 115-130.
  • Phillips, P. C., Shi, S. P., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. Intl. Econ. Rev., 56, 1043–1078.
  • Phillips, P. C., Shi, S. P., & Yu, J., (2015b). Testing for multiple bubbles: Limit theory of real-time detectors. Intl. Econ. Rev. 56, 1079–1134.
  • Porter, D. P., & Smith, V. L. (2003). Stock market bubblesin the laboratory. Journal of Behavioral Finance, 4(1), 7-20.
  • Potrykus, M. (2023). Finance Price bubbles in commodity market – A single time series and panel data analysis, The Quarterly Review of Economics and Finance, 87, 110-117.
  • QF QuantifiedStrategies. (2023). Commodity Trading Strategy. https://www.quantifiedstrategies.com/commodity-trading-strategy/ Erişim Tarihi: 20.02.2023
  • Shiller, R. J. (2003). From Efficient Markets Theory to Behavioral Finance, Journal of Economic Perspectives, 17(1), 83-104.
  • Shanwen, G., Wang, Q., Hordofa, T., Kaur, P., Nguyen, P., & Maneengam, A. (2022). Does COVID-19 pandemic cause natural resources commodity prices volatility?, Resources Policy, 77(1), doi: 10.1016/j.resourpol.2022.102721
  • Thanh, S. D. (2015), Threshold effects of inflation on growth in the ASEAN-5 countries: a panel smooth transition regression approach, Journal of Economics, Finance and Administrative Science, 20(38), 41-48.
  • TSPAKB. (2010). Türkiye Sermaye Piyasası Aracı Kuruluşları Birliği: Sermaye Piyasasında Gündem, 90. Tradingeconomics (2023). 2012-2022 Yılları Arasında Commodity Research Bureau (CRB) İndeksi. https://tradingeconomics.com/ (Erişim Tarihi: 12.01.2023)
  • Wang, J., Ma, K., & Zhang, L. (2022). Study on Price Bubbles of China’s Agricultural Commodity against the Background of Big Data, Electronics,11(24), doi: 10.3390/electronics11244067
  • Yalama, A., & Coşkun, M. (2013). Türev Araçlar. Eskişehir: Anadolu Üniversitesi Yayını.

Determination of commodity bubbles: An analytical study in the Dow Jones Index

Year 2023, Volume: 25 Issue: 2, 206 - 225, 01.12.2023
https://doi.org/10.33707/akuiibfd.1250470

Abstract

The aim of this study is to determine whether there are speculative bubbles in the American commodity market, if so, their duration and how many speculative bubbles occur in the analyzed period by using the commodity prices in the American Dow Jones index commodity market. In the study, 23 real-time commodity prices in the American Dow Jones index commodity market were used and the generalized Dickey Fuller (GSADF) test, which was brought to the literature by Phillips, Shi, and Yu (2015) over the monthly data in a 10-year period from 01.01.2012 to 01.08.2022. used. As a result of the study, it was determined that price bubble or bubbles occurred in various times and periods in the examined time period and in all of the commodities. The existence of a bubble in the commodity market can have devastating effects on the national and international economy. Considering that GSADF tests can be used as a real-time bubble detector, the application of this approach and time-varying causality tests by policy makers can provide significant benefits for the assessment and measurement of exogenous or exogenous risks.

Project Number

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References

  • Areal, J., Balcombea, K., & Rapsomanikis, G. (2016). Testing for bubbles in agriculture commodity markets, Economía Agraria y Recursos Naturales. 16(1), 59-79
  • Altay E. (2008). Sermaye Piyasasında Sürü Davranışı İMKB’de Piyasa Yönünde Sürü Davranışının Analizi. BDDK Bankacılık ve Finansal Piyasalar, 2(1), 27-58.
  • Carter, A., Rausser, G., & Smith, A. (2011). Commodity Booms and Busts, The Annual Review of Resource Economics, 3, 87-118.
  • Chen, Z., Yan, B., & Kang, H. (2023). Price bubbles of agricultural commodities: evidence from China’s futures market, Empirical Economics, 64(1), 195-222, doi: 10.1007/s00181-022-02254-0
  • Chiu, C. L., & Chou, K. H. (2020). The soft commodities multiple bubbles tests: evidence from the New York Futures Markets, 29(3), 206-211, doi: 10.1080/13504851.2020.1861195
  • Damadoran, A. (2014). Applied Corporate Finance, Fourth Edition, Wiley, 29-35.
  • Etienne, X., Irwin, S., & Garcia, P. (2014). Bubbles in food commodity markets: Four decades of evidence, Journal of International Money and Finance, 42, 129-155, doi: 10.1016/j.jimonfin.2013.08.008
  • Gutierrez, L. (2013). Speculative bubbles in agricultural commodity markets, European Review of Agricultural Economics, 40(2), 217–238, doi: 10.1093/erae/jbs017
  • Gurkaynak, R. S. (2008). Econometric tests of asset price bubbles: Taking stock, J. Econ. Surveys, 22, 166–186.
  • Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods, Journal of Financial Econometrics, 10(1), 198–231, doi: 10.1093/jjfinec/nbr009
  • Khan, K., Wei, C. S., & Khurshid, A. (2022). Do booms and busts identify bubbles in energy prices?, Resources Policy, 76(C), doi: 10.1016/j.resourpol.2022.102556
  • Kindleberger, C., & Aliber, R. (2005). Manias, Panics, and Crashes: A History of Financial Crises, Fifth Edition, John Wiley & Sons, Inc.
  • Kurar, İ., & Çetin, A, C. (2016). Türev Araçlarının Risk Yönetim Fonksiyonu: Vadeli İşlem Piyasası Risk Yönetimi Üzerine Bir Araştırma, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(2), 403-425.
  • Li, J., Chavas, J., Etiennec, X., & Lia, C. (2017). Commodity price bubbles and macroeconomics: evidence from the Chineseagricultural markets, Agricultural Economics, 48(2017), 755–768.
  • Maghyereh, A. ve Abdoh, H. (2022). Can news-based economic sentiment predict bubbles in precious metal markets?, Financial Innovation, 8(35), doi: 10.1186/s40854-022-00341-w
  • Öncü, E. (2021). Gümüş Fiyatlarında Spekülatif Balonların Tespiti: GSADF Analizi, İçinde: (Ed. K. S Benli) International Scientifıc Research Congress Proceedings Book, 391-397.
  • Phillips, P.C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? Intl. Econ. Rev., 52, 201–226.
  • Pagnottoni, P., & Spelta, A. (2022). The motifs of risk transmission in multivariate time series: Application to commodity prices, Socio-Economic Planning Sciences, 87(B), doi: 10.1016/j.seps.2022.101459
  • Phillips, P. C., & Magdalinos T. (2007). Limit theory for moderate deviationsfrom a unit root, Journal of Econometrics, 136(1), 115-130.
  • Phillips, P. C., Shi, S. P., & Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. Intl. Econ. Rev., 56, 1043–1078.
  • Phillips, P. C., Shi, S. P., & Yu, J., (2015b). Testing for multiple bubbles: Limit theory of real-time detectors. Intl. Econ. Rev. 56, 1079–1134.
  • Porter, D. P., & Smith, V. L. (2003). Stock market bubblesin the laboratory. Journal of Behavioral Finance, 4(1), 7-20.
  • Potrykus, M. (2023). Finance Price bubbles in commodity market – A single time series and panel data analysis, The Quarterly Review of Economics and Finance, 87, 110-117.
  • QF QuantifiedStrategies. (2023). Commodity Trading Strategy. https://www.quantifiedstrategies.com/commodity-trading-strategy/ Erişim Tarihi: 20.02.2023
  • Shiller, R. J. (2003). From Efficient Markets Theory to Behavioral Finance, Journal of Economic Perspectives, 17(1), 83-104.
  • Shanwen, G., Wang, Q., Hordofa, T., Kaur, P., Nguyen, P., & Maneengam, A. (2022). Does COVID-19 pandemic cause natural resources commodity prices volatility?, Resources Policy, 77(1), doi: 10.1016/j.resourpol.2022.102721
  • Thanh, S. D. (2015), Threshold effects of inflation on growth in the ASEAN-5 countries: a panel smooth transition regression approach, Journal of Economics, Finance and Administrative Science, 20(38), 41-48.
  • TSPAKB. (2010). Türkiye Sermaye Piyasası Aracı Kuruluşları Birliği: Sermaye Piyasasında Gündem, 90. Tradingeconomics (2023). 2012-2022 Yılları Arasında Commodity Research Bureau (CRB) İndeksi. https://tradingeconomics.com/ (Erişim Tarihi: 12.01.2023)
  • Wang, J., Ma, K., & Zhang, L. (2022). Study on Price Bubbles of China’s Agricultural Commodity against the Background of Big Data, Electronics,11(24), doi: 10.3390/electronics11244067
  • Yalama, A., & Coşkun, M. (2013). Türev Araçlar. Eskişehir: Anadolu Üniversitesi Yayını.
There are 30 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Research Articles
Authors

Yaşar Köse 0000-0003-0073-2095

Emre Yılmaz 0000-0002-6875-8403

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Early Pub Date August 20, 2023
Publication Date December 1, 2023
Submission Date February 13, 2023
Acceptance Date July 10, 2023
Published in Issue Year 2023 Volume: 25 Issue: 2

Cite

APA Köse, Y., & Yılmaz, E. (2023). Emtia balonlarının belirlenmesi: Dow Jones İndeksi’nde analitik bir çalışma. Afyon Kocatepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 25(2), 206-225. https://doi.org/10.33707/akuiibfd.1250470

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