ULUSLARARASI HİSSE SENEDİ PİYASALARINDA ÖZYİNELEMELİ ESNEK TAHMİNLEME İLE ÇOKLU BALONLARIN BELİRLENMESİ

Year 2018, Volume: 19 Issue: 2, 193 - 200, 28.12.2018

Efe Çağlar Çağlı , Pınar Evrim Mandacı

https://doi.org/10.24889/ifede.452513

Cited By: 2

Abstract

Bu çalışmada, birçok
gelişmiş ve gelişmekte olan hisse senedi piyasalarındaki çoklu rasyonel
balonlar incelenmeye çalışılmıştır. Ocak 2002- Nisan 2017 dönemi için 39 hisse
senedi piyasalarının aylık karpayı getirilerine genelleştirilmiş eküs
genişletilmiş Dickey Fuller (GSADF) testi kullanılmıştır. Bu ekonometrik çerçeve
çoklu rasyonel bolanların tarihlerini saptamaya izin vermekte ve dahası
özyinelemeli esnek tahminleme aracılığı ile standard birim kök testlerinin
üzerinde bir performans göstermektedir. Çalışmanın ampirik sonuçları ele alınan
ülke piyasalarının çoğunda rasyonel balonların varlığı güçlü bir biçimde
kanıtlamaktadır. Son olarak, hisse senedi piyasalarındaki rasyonel balonların
2007-08 global finansal kriz dönemi etrafında olduğu bulunmuştur.

Keywords

Rasyonel balonlar, hisse senedi piyasası, global finansal kriz, özyinelemeli esnek tahminleme

DETECTING MULTIPLE BUBBLES IN INTERNATIONAL STOCK MARKETS WITH RECURSIVE FLEXIBLE WINDOWS

Abstract

In this paper, we try
to examine the multiple rational bubbles in several developed and emerging
stock markets. We employ the generalized sup augmented Dickey-Fuller (GSADF)
test on the monthly dividend yield series of 39 stock markets for the period
from January 2002 to April 2017. This econometric framework allows us to date-stamp
the multiple rational bubbles and furthermore outperforms the standard unit
root tests through its recursive flexible estimation window. The empirical
results strongly confirm the existence of rational bubbles in most of the
analyzed stock markets. Finally, it was found out that the rational bubbles in
the stock markets occurred around the 2007-08 global financial turmoil.

Keywords

Rational bubbles, stock market, global financial crisis, recursive fexible window

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