The Research of Asset Price Bubble at Borsa Istanbul and Financial Crisis Relationship

Year 2020, Volume: 20 Issue: 2, 143 - 156, 25.06.2020

Müge Sağlam Bezgin , Mehmet Başar

https://doi.org/10.18037/ausbd.758046

Cited By: 2

Abstract

In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test.

Keywords

Asset Price Bubble, Financial Crisis, Right Tailed Unit Root Test, Asymmetric Causality, Time Series Analysis

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