SavedAdd your journal

Journals / Finans Politik ve Ekonomik Yorumlar / 2017 / Sayı: 629

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

Borsa İstanbul’da Rasyonel BalonVarlığı: Sektör Endeksleri Üzerine BirAnaliz

Efe Çağlar ÇAĞLI
Pınar EVRİM MANDACI
Pages
63–76
Publication Date
2017-07-01
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

The empirical results suggest that most of the BIST indices are priced different than their fundamental values in time.

📌 3 Key Takeaways

🎯
Objective & Hypothesis: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).
📊
Key Findings & Data:The data containing 21 BIST indices are obtained from the Bloomberg covering the period from November 2006 to May 2016.
💡
Conclusion & Impact:The empirical results suggest that most of the BIST indices are priced different than their fundamental values in time.
🔬Design:Research Article
📍Scope:2006 Verileri
⚙️Variables:Borsa İstanbul · Spekülatif Balon · Temettü Verim Oranı

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.

Özet

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.

🔖

Cite This Article

ÇAĞLI, E. Ç., MANDACI, P. E. (2017). The Existence of Speculative Bubble in Istanbul Stock Exchange: An Analysis on Sector Indices. Finans Politik ve Ekonomik Yorumlar, Sayı: 629, 63–76. https://ajindex.com/articles/989133

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (14)

  1. AL-ANASWAH, Nael and Bernd Wilfling; (2011), “Identification of Speculative Bubbles Using State-Space Models with Markov-Switching”, Journal of Banking and Finance, 35(5), pp. 1073–86.
  2. ANDERSON, Keith and Chris Brooks; (2014), “Speculative Bubbles and the Cross-Sectional Variation in Stock Returns”, International Review of Financial Analysis, 35, pp. 20–31.
  3. ANDERSON, Keith, Chris Brooks, and Apostolos Katsaris; (2010), “Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?”, Journal of Empirical Finance, 17(3), pp. 345–61.
  4. ASAKO, Kazumi and Zhentao Liu; (2013), “A Statistical Model of Speculative Bubbles, with Applications to the Stock Markets of the United States, Japan, and China”, Journal of Banking and Finance, 37(7), pp. 2639–2651.
  5. BAUMOL, William J.; (1957), “Speculation, Profitability, and Stability”, The Review of Economics and Statistics, 39(3), pp. 263-271.
  6. BLANCHARD, Olivier J.; (1979), “Speculative Bubbles, Crashes and Rational Expectations”, Economics Letters, 3(4), pp. 387–89.
  7. BOZOKLU, Şeref ve Fatma Zeren; (2013), “Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, 5(9), ss. 17-31.
  8. BROOKS, Chris and Apostolos Katsaris; (2003), “Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange”, Bulletin of Economic Research, 55(4), pp. 319–46.
  9. CAMPBELL, John Y. and Robert J. Shiller; (1987), “Cointegration and Tests of Present Value Models”, Journal of Political Economy, 95(5), pp. 1062–88.
  10. CAMPBELL, John Y. and Robert J. Shiller; (1988), “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors”, Review of Financial Studies, 1(3), pp. 195– 228. CAPELLE-BLANCARD, Gunther. and Hélène Raymond; (2004), “Empirical Evidence on Periodically Collapsing Stock Price Bubbles”, Applied Economics Letters, 11(1), pp. 61–69.
  11. CHAN, Kalok, Grant McQueen, and Steven Thorley; (1998), “Are There Rational Speculative Bubbles in Asian Stock Markets?”, Pacific-Basin Finance Journal, 6(1), pp. 125–51.
  12. CHEN, Shiu-Sheng; (2009), “Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators”, Journal of Banking & Finance, 33(2), pp. 211–23.
  13. CRAINE, Roger; (1993), “Rational Bubbles”, Journal of Economic Dynamics and Control, 17(5–6), pp. 829–46.
  14. DIBA, Behzad T. and Herschel I. Grossman; (1988), “The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, 98(392), pp. 746-754. FRIEDMAN,