İMKB’DE SPEKÜLATİF ŞİŞKİNLERİN TEST EDİLMESİ

Year 2009, Volume: 10 Issue: 2, 272 - 283, 01.07.2009

H. Mehmet Taşçı H. Aydın Okuyan

Abstract

Bu çalışmanın amacı İMKB’de spekülatif şişkinliklerin varlığının süre verisi duration modeli ile test edilmesidir. Bu amaçla İMKB’deki hisse senedi fiyatlarında süre bağımlılığı olup olmadığı McQueen ve Thorley 1994 ’nin yaklaşımı kullanılarak farklı sektörler bazında araştırılmaktadır. Verilerin başlangıç tarihi IMKB 100 endeksi için 3/7/1987, mali endeks ve sınai endeksi için 28/12/1990, hizmetler için 2/1/1997 ve teknoloji endeksi için 3/7/2000’dir. Seriler başlangıç tarihlerinden 20/02/2008 tarihine kadar olan süreyi kapsamaktadır ve günlük verilerdir. Yapılan hem parametrik hem de parametrik olmayan süre bağımlılığı testlerine göre incelenen tüm sektörlerde spekülatif şişkinliklerin var olmadığı gözlemlenmiştir.

Keywords

Spekülatif Şişkinlikler, Süre Bağımlılığı, İMKB

TESTING FOR SPECULATIVE BUBBLES ON ISE

Abstract

The main aim of this study is to examine the existence of speculative bubbles in Turkey using the daily data on ISE-100 and different sectors. For this purpose, the approach developed by McQueen and Thorley 1994 , which utilizes duration models, is used. The beginning date of the daily indexes are 3/7/1987 for ISE-100 index, 28/12/1990 for financial and industry indexes, and 2/1/1997 for services index and 3/7/2000 for technology index. The end of observation period for all of the indexes is 20/02/2008. Both parametric and nonparametric duration test results do not support the expectations that there are speculative bubbles in all cases, that is, for the full data ISE-100 and the data by considering sector differences as well

Keywords

Speculative Bubbles , Duration Dependence , ISE

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