Bubble Assets in Baltic Exchange Indices

Year 2024, Issue: 19, 14 - 24, 31.05.2024

Savaş Tarkun

https://doi.org/10.29157/etusbed.1441108

Abstract

In this study, potential bubble assets in the Baltic stock market indices are investigated. Bubble entities were examined with the Generalized Supremum Augmented Dickey-Fuller (GSADF) test. Considering the study period, bubble assets emerged in late 2021. A bubble has been detected once in the Baltic Capesize Index, once in the Baltic Panamax Index, six times in the Baltic Surpramax Index, and five times in the Baltic Handysize Index on the Baltic Stock Exchange. Bubble assets were obtained in the Baltic Dirty Tanker Index five times and in the Baltic Clean Tanker Index three times. The longest bubble existence among the indices in the study was in the Baltic Handysize Index, which lasted 110 days. Negative effects on the international maritime market and economy and the impact of the maritime sector, which has an impact on world trade, on the general economy are inevitable. Since it tracks the transportation costs of key inputs for infrastructure and energy-intensive industries, it can be said to be a leading indicator of the global economy. It can also have a contagion effect on the commodity market, the energy market, and the overall economy, albeit with a lag. The disruption of the supply chain caused by the pandemic and the subsequent recovery efforts of economies and fluctuations such as the Suez Canal problem are important for the analysis of the international transportation market.

Keywords

Baltic Exchange, Bubble Assets, GSADF Test

Baltık Borsası Endekslerindeki Balon Varlıkları

Abstract

Bu çalışmada, Baltık borsası endekslerindeki potansiyel balon varlıkları araştırılmaktadır. Balon varlıkları Genelleştirilmiş Supremum Artırılmış Dickey-Fuller (GSADF) testi ile incelenmiştir. Çalışma dönemi dikkate alındığında balon varlıkları 2021 yılının sonlarında ortaya çıkmıştır. Baltık borsasında bulunan Baltic Capesize Endeksi’nde 1 kez, Baltic Panamax Endeksi’nde 1 kez, Baltic Surpramax Endeksi’nde 6 kez ve Baltic Handysize Endeksi’nde 5 kez gerçekleşen balon tespit edilmiştir. Baltic Kirli Tanker Endeksi’nde 5 kez ve Baltic Temiz Tanker Endeksi’nde 3 kez gerçekleşen balon varlıkları elde edilmiştir. Çalışmadaki endekslerden en uzun balon varlığı ise Baltic Handysize Endeksi’nde gerçekleşmiş ve 110 gün sürmüştür. Uluslararası denizcilik piyasasının ve ekonomisinin üzerindeki olumsuz etkiler, dünya ticaretinde etkisi bulunan denizcilik sektörünün genel ekonomilere etkisi kaçınılmazdır. Altyapı ve enerji yoğun sanayiler için önemli girdilerin nakliye maliyetlerini takip ettiğinden küresel ekonomi hakkında öncü gösterge niteliğinde olduğu söylenebilir. Ayrıca emtia piyasası, enerji piyasası ve genel ekonomi üzerinde gecikmeli de olsa bulaşıcı etki yaratabilmektedir. Pandemiden dolayı meydana gelen tedarik zincirinin bozulması ve akabinde ekonomilerin toparlanma çabası ile Süveyş Kanalı problemi gibi dalgalanmalar, uluslararası nakliye pazarının incelenmesi açısından önem arz etmektedir.

Keywords

Baltık Borsası, Balon Varlıkları, GSADF Testi

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