Araştırma Makalesi
Yıl 2018,
Cilt: 19 Sayı: 1, 188 - 200, 31.05.2018
Öz
Finansal piyasalarda olumsuz etkileri
bulunan balonlar araştırmacıların ilgisini çeken konulardan birisidir. 2008
Küresel kriz ve sonrasında ise araştırmacıların üzerinde sıklıkla durduğu
konuların başında gelmektedir. Bu çalışmanın amacı Türkiye hisse senedi
piyasasında Ocak 2002- Mart 2017 döneminde gerçekleşen balonların ve bu
balonların oluşumunda etkili olan değişkenlerin belirlenmesidir. Analiz için
Lojistik Regresyon ve Eş bütünleşme testleri kullanılmıştır. Lojistik Regresyon
ve Granger Nedensellik testi sonuçlarında Yurtdışı Yerleşiklerin Hisse Senedi
Portföyü ve Borsa İstanbul Getiri Endeksindeki balonlar arasında ilişki olduğu
görülmüştür. Ayrıca İhracat, Reel Döviz Kuru, ABD Doları 1 Aylık Faizi ve
Yurtdışı Yerleşiklerin Hisse Senedi Portföyü Borsa İstanbul Getiri Endeksindeki
balonların Granger nedenidir.
Anahtar Kelimeler
Finansal Balonlar Borsa İstanbul Getiri Endeksi İçsel faktörler Eş bütünleşme Testi
Kaynakça
- Altay, E. (2008). Rational Bubbles in Istanbul Stock Exchange: Linear and Nonlinear Unit Root Tests. Economics of Emerging Markets. Nova Publishers. Asako, K., Kanoh, S., Sano, H. (1990). Stock prices and bubbles (in Japanese). In: Miwa, Y., Nishimura, K.N. (Eds.), Stock and Land Prices in Japan. University of Tokyo Press, 59–86 Asako, K. ve Liu, Z. (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, 2639-2651. Akıncı, M., Akıncı, G.Y. ve Yılmaz, Ö. (2014). “LALE ÇILGINLIĞI’NDAN MORTGAGE KRİZİ’NE SPEKÜLATİF BALONLAR”, Tarih Okulu Dergisi (TOD), 7, XIX, 719-749. Anderson, K. ve Brooks, C. (2014). “Speculative Bubbles and the Cross-Secional Variation in Stock Returns”, International Review of Financial Analysis,35, 20-31. Blanchard, O. (1979). “Speculative bubbles, crashes, and rational expectations”, Economics Letters, 3, (4), 387-389. Blanchard, O.J., Watson, M. (1982). Bubbles, rational expectations and financial markets. In: Wachtel, P. (Ed.), Crises in the Economic and Financial Structure. Lexington Books, Lexington, 95–315. Boucher, C. (2003), “Testing for Rational Bubbles with Time Varying Risk Premium and Non-Linear Cointegration: Evidence from the US and French Stock Markets” http://www.univ-orleans.fr/deg/GDRecomofi/Activ/boucher_nice.pdf Research Paper Brooks, Chris- Katsaris, Apostolos (2003), “Rational Speculative Bubbles: An Empirical Investigation of The London Stock Exchange”, The Bulletin of Economic Research, 55, 319-346. Brunnermeier, M. ve Oehmke, M. (2013). “Bubbles, Financial Crises, and Systematic Risk”, Economics of Finance, 2, 1221-1288. Chan, K., MCQuenn, G., Thorley, S. (1998). “Are there rational speculative bubbles in Asian stock market?”, Pacific – Basin Finance Journal, 6, 125 – 151 Demarzo, P. M., Kaniel R. and Kremer, I. (2008). “Relative Wealth Concerns and Financial Bubbles”, Review of Financial Studies, 21(1), 19-50. Dezhbakhsh H., Demirgüç–Kunt, A. (1990). “On the presence of speculative bubbles in stock prices”, Journal of Financial and Quantitive Analysis, 25, 101 – 112. Fama, E. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25, 386. Gurkaynak, R.S. (2008). “Econometric tests of asset price bubbles taking stock”, Journal of Economic Surveys, 22, 166–186. Homm, U., ve Breigung, J. (2012). “Testing for speculative bubbles in stock markets: a comparison of alternative methods”, Journal of Financial Econometrics,10, 198– 231. Jiang, Z et all (2010). “Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chines Stock Market Bubbles”, Journal of Economic Behavior and Organization, 74, 149-162. Korkmaz, Ö., Erer, D. ve Erer, E. (2016). “ALTERNATİF YATIRIM ARAÇLARINDA ORTAYA ÇIKAN BALONLAR TÜRKİYE HİSSE SENEDİ PİYASASINI ETKİLİYOR MU? BIST 100 ÜZERİNE BİR UYGULAMA”, 20. Finans Sempozyumu, Trabzon. Oran, A. (2011). “Balonları Daha İyi Tanımaya Çalışmak: Balon Tanımları, Modelleri ve Lale Çılgınlığı Örneği”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 151-161. Phillips, P. C. B. ve Yu, J. (2011). “Dating the Timeline of Financial Bubbles During the Subprime Crises”, Quantitative Economics, 2(3), 455-491. Rotermann, B. ve Wilfling, B. (2014). “Periodically Collapsing Evand Bubbles and Stock-Price Volatility”, Economics Letters, 123, 383-386. Taşçı, H. M. ve Okuyan, H. A. (2009). “İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doğu Üniversitesi Dergisi, 10(2), 272-283. Tran, Thi B. N. (2016). “Speculative Bubbles in Emergining Stock Markets and Macroeconomic Factors: A New Empirical Evidence for Asia and Latin America”, Reserach in International Business and Finance, 1-14. Yanık, S. ve Aytürk, Y. (2011). “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi. Yu, Junk-Suk- Hassan, M. Kabir (2010), “Rational Speculative Bubbles in MENA Stock Markets”, Studies in Economics and Finance, 27,(3), 247-264.
Yıl 2018,
Cilt: 19 Sayı: 1, 188 - 200, 31.05.2018
Öz
Kaynakça
- Altay, E. (2008). Rational Bubbles in Istanbul Stock Exchange: Linear and Nonlinear Unit Root Tests. Economics of Emerging Markets. Nova Publishers. Asako, K., Kanoh, S., Sano, H. (1990). Stock prices and bubbles (in Japanese). In: Miwa, Y., Nishimura, K.N. (Eds.), Stock and Land Prices in Japan. University of Tokyo Press, 59–86 Asako, K. ve Liu, Z. (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, 2639-2651. Akıncı, M., Akıncı, G.Y. ve Yılmaz, Ö. (2014). “LALE ÇILGINLIĞI’NDAN MORTGAGE KRİZİ’NE SPEKÜLATİF BALONLAR”, Tarih Okulu Dergisi (TOD), 7, XIX, 719-749. Anderson, K. ve Brooks, C. (2014). “Speculative Bubbles and the Cross-Secional Variation in Stock Returns”, International Review of Financial Analysis,35, 20-31. Blanchard, O. (1979). “Speculative bubbles, crashes, and rational expectations”, Economics Letters, 3, (4), 387-389. Blanchard, O.J., Watson, M. (1982). Bubbles, rational expectations and financial markets. In: Wachtel, P. (Ed.), Crises in the Economic and Financial Structure. Lexington Books, Lexington, 95–315. Boucher, C. (2003), “Testing for Rational Bubbles with Time Varying Risk Premium and Non-Linear Cointegration: Evidence from the US and French Stock Markets” http://www.univ-orleans.fr/deg/GDRecomofi/Activ/boucher_nice.pdf Research Paper Brooks, Chris- Katsaris, Apostolos (2003), “Rational Speculative Bubbles: An Empirical Investigation of The London Stock Exchange”, The Bulletin of Economic Research, 55, 319-346. Brunnermeier, M. ve Oehmke, M. (2013). “Bubbles, Financial Crises, and Systematic Risk”, Economics of Finance, 2, 1221-1288. Chan, K., MCQuenn, G., Thorley, S. (1998). “Are there rational speculative bubbles in Asian stock market?”, Pacific – Basin Finance Journal, 6, 125 – 151 Demarzo, P. M., Kaniel R. and Kremer, I. (2008). “Relative Wealth Concerns and Financial Bubbles”, Review of Financial Studies, 21(1), 19-50. Dezhbakhsh H., Demirgüç–Kunt, A. (1990). “On the presence of speculative bubbles in stock prices”, Journal of Financial and Quantitive Analysis, 25, 101 – 112. Fama, E. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25, 386. Gurkaynak, R.S. (2008). “Econometric tests of asset price bubbles taking stock”, Journal of Economic Surveys, 22, 166–186. Homm, U., ve Breigung, J. (2012). “Testing for speculative bubbles in stock markets: a comparison of alternative methods”, Journal of Financial Econometrics,10, 198– 231. Jiang, Z et all (2010). “Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chines Stock Market Bubbles”, Journal of Economic Behavior and Organization, 74, 149-162. Korkmaz, Ö., Erer, D. ve Erer, E. (2016). “ALTERNATİF YATIRIM ARAÇLARINDA ORTAYA ÇIKAN BALONLAR TÜRKİYE HİSSE SENEDİ PİYASASINI ETKİLİYOR MU? BIST 100 ÜZERİNE BİR UYGULAMA”, 20. Finans Sempozyumu, Trabzon. Oran, A. (2011). “Balonları Daha İyi Tanımaya Çalışmak: Balon Tanımları, Modelleri ve Lale Çılgınlığı Örneği”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26(1), 151-161. Phillips, P. C. B. ve Yu, J. (2011). “Dating the Timeline of Financial Bubbles During the Subprime Crises”, Quantitative Economics, 2(3), 455-491. Rotermann, B. ve Wilfling, B. (2014). “Periodically Collapsing Evand Bubbles and Stock-Price Volatility”, Economics Letters, 123, 383-386. Taşçı, H. M. ve Okuyan, H. A. (2009). “İMKB’de Spekülatif Şişkinlerin Test Edilmesi”, Doğu Üniversitesi Dergisi, 10(2), 272-283. Tran, Thi B. N. (2016). “Speculative Bubbles in Emergining Stock Markets and Macroeconomic Factors: A New Empirical Evidence for Asia and Latin America”, Reserach in International Business and Finance, 1-14. Yanık, S. ve Aytürk, Y. (2011). “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi. Yu, Junk-Suk- Hassan, M. Kabir (2010), “Rational Speculative Bubbles in MENA Stock Markets”, Studies in Economics and Finance, 27,(3), 247-264.
Toplam 1 adet kaynakça vardır.
Ayrıntılar
| Bölüm | Makaleler |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 31 Mayıs 2018 |
| Gönderilme Tarihi | 15 Ocak 2018 |
| Yayımlandığı Sayı | Yıl 2018Cilt: 19 Sayı: 1 |
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