ULUSLARARASI HİSSE SENEDİ PİYASALARINDA ÖZYİNELEMELİ ESNEK TAHMİNLEME İLE ÇOKLU BALONLARIN BELİRLENMESİ
Öz
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.
Anahtar Kelimeler
Rasyonel balonlar hisse senedi piyasası global finansal kriz özyinelemeli esnek tahminleme
Kaynakça
- Blanchard, O.J. (1979). Speculative Bubbles, Crashes and Rational Expectations. Economics Letters, 3(4), 387–389.
- Blanchard, O.J. and Watson M.W. (1982). Bubbles, Rational Expectations and Financial Markets." P. Wachtel (Ed.), Crises in the Economic and Financial Structure (pp. 295-316). Lexington, MA: D.C. Heathand Company,
- Campbell, J.Y., and Shiller, R.J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3), 195–228.
- Chan, K., McQueen, G., and Thorley, S. (1998). Are There Rational Speculative Bubbles in Asian Stock Markets? Pacific-Basin Finance Journal, 6(1), 125–151.
- Craine, R. (1993). Rational Bubbles. Journal of Economic Dynamics and Control, 17(5–6), 829–846.
- Diba, B.T., and Grossman, H.I. (1988). The Theory of Rational Bubbles in Stock Prices. The Economic Journal, 98(392), 746-754.
- Dickey, D.A., and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
- Evans, G.W. (1991). Pitfalls in Testing for Explosive Bubbles in Asset Prices. American Economic Review, 81(4), 922–930.
- Flood, R.P., and Garber, P.M. (1980). Market Fundamentals versus Price-Level Bubbles: The First Tests. The Journal of Political Economy, 88(4), 745–770.
- Gürkaynak, R.S. (2008). Econometric Tests of Asset Price Bubbles: Taking Stock. Journal of Economic Surveys, 22(1), 166–186.
- Homm, U., and Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198–231.
- Lamont, O. (1998). Earnings and Expected Returns. Journal of Finance, 53(5), 1563–1587.
- Nasseh, A., and Strauss, J. (2004). Stock Prices and The Dividend Discount Model: Did Their Relation Break Down in The 1990s? The Quarterly Review of Economics and Finance, 44(2), 191–207.
- Obstfeld, M., and Rogoff, K. (1987). Ruling Out Nonstationary Speculative Bubbles. National Bureau of Economic Research Working Paper Series, No. 1601.
- Phillips, P.C.B., Shi, S., and Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043–1078.
- Phillips, P.C.B., Wu, Y., and Yu, J. (2011). Explosive Behavior In The 1990S Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52(1), 201–226.
- Santoni, G.J. (1987). The Great Bull Markets 1924-29 And 1982-87: Speculative Bubbles or Economic Fundamentals? Federal Reserve Bank of St. Louis Review, (Nov), 16–30.
- West, K. D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102(3), 553–580.
Öz
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.
Anahtar Kelimeler
Rational bubbles stock market global financial crisis recursive fexible window
Kaynakça
- Blanchard, O.J. (1979). Speculative Bubbles, Crashes and Rational Expectations. Economics Letters, 3(4), 387–389.
- Blanchard, O.J. and Watson M.W. (1982). Bubbles, Rational Expectations and Financial Markets." P. Wachtel (Ed.), Crises in the Economic and Financial Structure (pp. 295-316). Lexington, MA: D.C. Heathand Company,
- Campbell, J.Y., and Shiller, R.J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1(3), 195–228.
- Chan, K., McQueen, G., and Thorley, S. (1998). Are There Rational Speculative Bubbles in Asian Stock Markets? Pacific-Basin Finance Journal, 6(1), 125–151.
- Craine, R. (1993). Rational Bubbles. Journal of Economic Dynamics and Control, 17(5–6), 829–846.
- Diba, B.T., and Grossman, H.I. (1988). The Theory of Rational Bubbles in Stock Prices. The Economic Journal, 98(392), 746-754.
- Dickey, D.A., and Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
- Evans, G.W. (1991). Pitfalls in Testing for Explosive Bubbles in Asset Prices. American Economic Review, 81(4), 922–930.
- Flood, R.P., and Garber, P.M. (1980). Market Fundamentals versus Price-Level Bubbles: The First Tests. The Journal of Political Economy, 88(4), 745–770.
- Gürkaynak, R.S. (2008). Econometric Tests of Asset Price Bubbles: Taking Stock. Journal of Economic Surveys, 22(1), 166–186.
- Homm, U., and Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198–231.
- Lamont, O. (1998). Earnings and Expected Returns. Journal of Finance, 53(5), 1563–1587.
- Nasseh, A., and Strauss, J. (2004). Stock Prices and The Dividend Discount Model: Did Their Relation Break Down in The 1990s? The Quarterly Review of Economics and Finance, 44(2), 191–207.
- Obstfeld, M., and Rogoff, K. (1987). Ruling Out Nonstationary Speculative Bubbles. National Bureau of Economic Research Working Paper Series, No. 1601.
- Phillips, P.C.B., Shi, S., and Yu, J. (2015). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. International Economic Review, 56(4), 1043–1078.
- Phillips, P.C.B., Wu, Y., and Yu, J. (2011). Explosive Behavior In The 1990S Nasdaq: When Did Exuberance Escalate Asset Values? International Economic Review, 52(1), 201–226.
- Santoni, G.J. (1987). The Great Bull Markets 1924-29 And 1982-87: Speculative Bubbles or Economic Fundamentals? Federal Reserve Bank of St. Louis Review, (Nov), 16–30.
- West, K. D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 102(3), 553–580.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 28 Aralık 2018 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 19 Sayı: 2 |