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Journals / İzmir İktisat Dergisi / 2022 / Cilt: 37 - Sayı: 1

Analysis of Speculative Price Bubbles in Asset Prices Using the Right-Tailed ADF Method

Varlık Fiyatlarında Spekülatif Fiyat Baloncuklarının Sağ Kuyruklu ADF Yöntemiyle Analizi

Mert URAL
Pages
189–205
Publication Date
2022-03-14
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

There is no common date and/or date range for the price bubbles in the asset prices subject to the analysis.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The main purpose of this study is to investigate price bubbles in various asset prices, which have a significant impact on economic indicators and have been frequently emphasized recently.
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Key Findings & Data:For this purpose, the existence and development periods of price bubbles were determined by estimating a recursive Right Tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015).
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Conclusion & Impact:There is no common date and/or date range for the price bubbles in the asset prices subject to the analysis.
🔬Design:Research Article
📍Scope:2015 Verileri
⚙️Variables:Fiyat Baloncukları · RTADF · GSADF

Abstract

The main purpose of this study is to investigate price bubbles in various asset prices, which have a significant impact on economic indicators and have been frequently emphasized recently. In this context, the paper aims to investigate the presence of price bubbles in Brent crude oil (XBR) as commodity, Gold (XAU) as precious metal and GameStop Corp. (GME) as stock prices with GSADF tests, as well as to determine date stamps of the price bubbles. For this purpose, the existence and development periods of price bubbles were determined by estimating a recursive Right Tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015). Daily closing prices of Brent crude oil (XBR), Gold (XAU) and Game Stop Corp (GME) stocks on USD basis between 02.01.2020-27.10.2021 were used in the study. In line with the empirical findings obtained, it has been determined that there is a price bubble in Gold (XAU) prices only in the period of 21.07.2020-11.08.2020. As of the analysis period, a price bubble has been observed in Brent Oil (XBR) prices, especially in March every year. It has been understood that the speculative price bubble in GameStop Corp (GME) stock prices as of January 2021 is the longest and most severe. There is no common date and/or date range for the price bubbles in the asset prices subject to the analysis.

Özet

Bu çalışmanın temel amacı, ekonomik göstergeler üzerinde önemli etkiye sahip olan ve son dönemde üzerlerinde çokça durulan çeşitli varlık fiyatlarında fiyat baloncuklarını araştırmaktır. Bu kapsamda emtia olarak Brent ham petrol (XBR), kıymetli maden olarak altın (XAU) ile hisse senedi olarak GameStop Corp (GME) fiyatlarında baloncukların varlığını GSADF sınamalarıyla araştırmak, ayrıca fiyat baloncuğu başlangıç ve bitiş tarihlerini belirlemek hedeflenmiştir. Bu amaçla, fiyat baloncuklarının varlığı ve gelişme dönemleri Phillips, Shi ve Yu (2015) tarafından geliştirilen özyinelemeli bir Sağ Kuyruklu (Right Tailed) Genelleştirilmiş Supremum Artırılmış Dickey Fuller Testi (GSADF) tahminlenerek belirlenmiştir. Çalışmada 02.01.2020-27.10.2021 tarihleri arasındaki USD bazlı olarak Brent ham petrol (XBR), Altın (XAU) ve Game Stop Corp (GME) hisse senedi günlük kapanış fiyatları kullanılmıştır. Elde edilen ampirik bulgular doğrultusunda Altın (XAU) fiyatlarında sadece 21.07.2020-11.08.2020 döneminde fiyat baloncuğu olduğu tespit edilmiştir. Analiz dönemi itibarıyla Brent Petrol (XBR) fiyatlarında özellikle her yıl Mart ayında bir fiyat baloncuğu oluştuğu gözlenmiştir. GameStop Corp (GME) hisse senedi fiyatlarında Ocak 2021 itibarıyla yaşanan spekülatif fiyat baloncuğunun en uzun süren ve en şiddetlisi olduğu anlaşılmıştır. Analize konu edilen varlık fiyatlarında oluşan fiyat baloncukları için ortak bir tarih ve/veya tarih aralığı söz konusu değildir.

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Cite This Article

URAL, M. (2022). Analysis of Speculative Price Bubbles in Asset Prices Using the Right-Tailed ADF Method. İzmir İktisat Dergisi, Cilt: 37 - Sayı: 1, 189–205. https://ajindex.com/articles/373115

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