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BİST 100 ENDEKSİNDE BALON ETKİSİNİN İNCELENMESİ

Year 2018, Volume: 5 Issue: 8, 124 - 131, 31.08.2018

Abstract

Finansal balonlar, finans piyasasında doğal biçimde ortaya çıkmaktadır ve finansal varlıkların sanal değeri ile gerçek değeri arasında oluşan sürekli ve sistematik fiyat farklılıkları olarak tanımlanmaktadır. 1990’lı yıllardan önceki yaygın görüşe göre, finansal balonlar genellikle patladıkları zaman fark edilirlerdi ve tahmin edilemezlerdi. Balonların etkisini ölçmek için basit bir balon tespit algoritması olan LPPL (log-periodic power law) modeli kullanılmaktadır. LPPL modeli, balonun rejimi değiştireceği zamana ait tahminleri veren doğrusal olmayan en küçük kareler yöntemine dayanmaktadır. Bu çalışmanın amacı, 03.01.1996-15.03.2018 dönemi için BİST 100 endeksinde çöküş ve balon etkisini tespit etmektir. Çalışmada, LPPL modelinin ileri sürdüğü kalıplarla, BİST 100 serisindeki spekülatif balonların gözlenip gözlenemeyeceği; LPPL modelinin spekülatif balonların ne zaman söneceğini tahmin etmede ne kadar başarılı olduğu incelenmiştir.

References

  • Bree, D. S., & Joseph, N. L. (2010). Fitting the Log Periodic Power Law to financial crashes: a critical analysis, arXiv preprint arXiv:1002.1010.
  • Chan, K., McQueen, G. & Thorley, S. (1998). “Are There Rational Speculative Bubbles in Asian Stock Markets?”, Pacific-Basin Finance Journal, 6(1), 125–51.
  • Fama, E. (1970). Efficient Capital Markets: A Rewiew of Theory and Emprical Work. Journal of Finance. Vol. 25, No:2.
  • Geraskin, P., & Fantazzini, D. (2013). Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask. The European Journal of Finance, 19(5), 366-391.
  • He Shu-peng, C. L. (2013). Bubble Formation and Heterogeneity of Traders : A Multi-Agent Perspective. Comput Econ, 42:267–289.
  • Johansen, A., Ledoit, O. & Sornette, D.(2000). Crashes as Critical Points. International Journal of Theoretical and Applied Finance. 3: 219-255.
  • Johansen, A. & Sornette, D. (2001). Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: an empirical study.International Journal of Theoretical and Applied Finance, 4:853-920.
  • Kıyılar, M., & Akkaya, M. Davranışsal Finans. 1. Baskı, Literatür Yayıncılık, İstanbul, 2016.
  • Kulali, İ. (2016). Etkin Piyasalar Hipotezi ve Davranışsal Finans Çatışması (A Conflict Beetween The Efficient Market Hypothesis and Behavioral Finance). International Journal of Finance & Banking Studies (2147-4486), 5(2), 46.
  • MacDonell, A. (2014). Popping the Bitcoin bubble: An application of log-periodic power law modeling to digital currency. University of Notre Dame working paper.
  • Matsushita, R., Da Silva, S., Figueiredo, A., & Gleria, I. (2006). Log-periodic crashes revisited. Physica A: Statistical Mechanics and its Applications, 364, 331-335.
  • Pele, D. T. (2012). An LPPL Algorithm For Estimating The Critical Time Of A Stock Market Bubble. Journal of Social and Economic Statistics, 1(2), 14–22.
  • Pele, D.T., Mazurencu, M.M. & Nijkamp, P.(2013) Herding Behaviour, Bubbles and Log Periodic Power Lows in Illiquid Stock Markets A Case Study on the Bucharest Stock Exchange. Timbergen Institute Discussion Paper. 1-17.
  • Wątorek, M., & Stawiarski, B. (2016). Log-Periodic Power Law and Generalized Hurst Exponent Analysis in Estimating an Asset Bubble Bursting Time. e-Finanse, 12(3), 49-58.
  • Wheatley, S., Sornette, D., Huber, T., Reppen, M., & Gantner, R. N. (2018). Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model.
Year 2018, Volume: 5 Issue: 8, 124 - 131, 31.08.2018

Abstract

References

  • Bree, D. S., & Joseph, N. L. (2010). Fitting the Log Periodic Power Law to financial crashes: a critical analysis, arXiv preprint arXiv:1002.1010.
  • Chan, K., McQueen, G. & Thorley, S. (1998). “Are There Rational Speculative Bubbles in Asian Stock Markets?”, Pacific-Basin Finance Journal, 6(1), 125–51.
  • Fama, E. (1970). Efficient Capital Markets: A Rewiew of Theory and Emprical Work. Journal of Finance. Vol. 25, No:2.
  • Geraskin, P., & Fantazzini, D. (2013). Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask. The European Journal of Finance, 19(5), 366-391.
  • He Shu-peng, C. L. (2013). Bubble Formation and Heterogeneity of Traders : A Multi-Agent Perspective. Comput Econ, 42:267–289.
  • Johansen, A., Ledoit, O. & Sornette, D.(2000). Crashes as Critical Points. International Journal of Theoretical and Applied Finance. 3: 219-255.
  • Johansen, A. & Sornette, D. (2001). Bubbles and anti-bubbles in Latin-American, Asian and Western stock markets: an empirical study.International Journal of Theoretical and Applied Finance, 4:853-920.
  • Kıyılar, M., & Akkaya, M. Davranışsal Finans. 1. Baskı, Literatür Yayıncılık, İstanbul, 2016.
  • Kulali, İ. (2016). Etkin Piyasalar Hipotezi ve Davranışsal Finans Çatışması (A Conflict Beetween The Efficient Market Hypothesis and Behavioral Finance). International Journal of Finance & Banking Studies (2147-4486), 5(2), 46.
  • MacDonell, A. (2014). Popping the Bitcoin bubble: An application of log-periodic power law modeling to digital currency. University of Notre Dame working paper.
  • Matsushita, R., Da Silva, S., Figueiredo, A., & Gleria, I. (2006). Log-periodic crashes revisited. Physica A: Statistical Mechanics and its Applications, 364, 331-335.
  • Pele, D. T. (2012). An LPPL Algorithm For Estimating The Critical Time Of A Stock Market Bubble. Journal of Social and Economic Statistics, 1(2), 14–22.
  • Pele, D.T., Mazurencu, M.M. & Nijkamp, P.(2013) Herding Behaviour, Bubbles and Log Periodic Power Lows in Illiquid Stock Markets A Case Study on the Bucharest Stock Exchange. Timbergen Institute Discussion Paper. 1-17.
  • Wątorek, M., & Stawiarski, B. (2016). Log-Periodic Power Law and Generalized Hurst Exponent Analysis in Estimating an Asset Bubble Bursting Time. e-Finanse, 12(3), 49-58.
  • Wheatley, S., Sornette, D., Huber, T., Reppen, M., & Gantner, R. N. (2018). Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model.
There are 15 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Aygül Anavatan

Eda Yalçın Kayacan

Publication Date August 31, 2018
Published in Issue Year 2018 Volume: 5 Issue: 8

Cite

APA Anavatan, A., & Kayacan, E. Y. (2018). BİST 100 ENDEKSİNDE BALON ETKİSİNİN İNCELENMESİ. Avrasya Sosyal Ve Ekonomi Araştırmaları Dergisi, 5(8), 124-131.