Borsa İstanbul’da Rasyonel BalonVarlığı: Sektör Endeksleri Üzerine BirAnaliz

Year 2017, Issue: 629, 63 - 76, 01.07.2017

Efe Çağlar Çağlı , Pınar EVRİM Mandacı

Abstract

Bu çalışmada, Borsa İstanbul (BIST) endeksleri için hesaplanan temettü verimi oranları kullanılarak piyasada rasyonel spekülatif balonların varlığının tespit edilmesi amaçlanmıştır. Bloomberg’den elde edilen 21 endeksin dahil edildiği veri seti, Kasım 2006’dan Mayıs 2016’ya kadar uzanmaktadır. Ele alınan dönem, küresel finansal kriz ve Avrupa borç krizi gibi önemli gelişmeleri de kapsadığından özyinelemeli esnek tahminleme aralıkları algoritmasına dayalı ekonometrik yöntem uygulanmıştır. Yürütülen analizlerde, BIST endekslerinin çoğunun zaman içerisinde temel değerlerinden farklı fiyatlandığına ilişkin sonuçlar bulunmuştur. Sonuç olarak, farklı sektörler ve borsa geneli için hesaplanan çok sayıdaki endeks istatistiklerine göre rasyonel spekülatif balonların varlığı konusunda ampirik kanıtlar elde edilmiştir. Ayrıca, döviz kuru, reel kesim güven endeksi ve sanayi üretim endeksinin spekülatif balon sayısı üzerinde anlamlı marjinal etkileri olduğu ortaya konulmuştur.

Keywords

Borsa İstanbul, Spekülatif Balon, Temettü Verim Oranı, Özyinelemeli Esnek Tahminleme, Sıfır Değer Ağırlıklı Poisson Modeli

The Existence of Speculative Bubble in Istanbul Stock Exchange: An Analysis on Sector Indices

Abstract

In this study, we aim to detect the presence of the rational speculative bubbles by using the calculated dividend yield series for the indices of Borsa Istanbul (BIST). The data containing 21 BIST indices are obtained from the Bloomberg covering the period from November 2006 to May 2016. Since the analyzed data period includes the important economic developments, such as global financial crisis, and European debt crisis, we apply an econometric method that is based on a recursive flexible window algorithm. The empirical results suggest that most of the BIST indices are priced different than their fundamental values in time. As a result, according to the test statistics; we find that there are evidences of speculative bubbles for the BIST broad market indices and many sector/industry indices. We also report that the foreign exchange rate, real sector confidence index, and industrial production index are found to have significant marginal effects on the number of speculative bubbles.

Keywords

Borsa Istanbul, Speculative Bubble, Dividend Yield, Recursive Flexible Estimation, Zero-Inflated Poisson Model

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