Gelişmekte Olan Pay Piyasalarında Çoklu Balonlar

Year 2018, Issue: 637, 95 - 109, 01.03.2018

Ayben Koy

Abstract

Finansal varlık fiyatlarının rassal yürüyüş sürecinden ayrılması olarak açıklanan balonlar, tarihte birçok pay borsasında görülmüştür. Çalışmanın amacı, on gelişmekte olan piyasada balonları ve balonların başlangıç ve bitiş tarihlerini tespit etmektir. Sup Augmented Dickey Fuller (SADF) ve Genelleştirilmiş Sup Augmented Dickey Fuller (GSADF) testlerinin yardımıyla, gelişmekte olan pay piyasalarının ana pay endekslerindeki (BIST100: Türkiye, BOVESPA: Brezilya, IDX Compozite: Endonezya, IPC: Meksika, IPSA: Şili, KOSPI: Güney Kore, MCX: Rusya, NIFTY50: Hindistan, QE All Share: Katar, WIG20: Polonya) balonlar, Ocak 2001'den Temmuz 2017'ye kadar olan dönem için belirlenmiştir. Sonuçlar, WIG20 haricinde örneklemimizdeki tüm gelişmekte olan pay piyasalarının rassal yürüyüş süreçlerinden birden fazla kez ayrıldığına işaret etmektedir.

Keywords

Balon, SADF, GSADF

Multibubbles in Emerging Stock Markets

Abstract

Bubbles are deviations of financial asset prices from random walk process and have been present in many stock markets in history. The purpose of the study is detecting bubbles and their beginning and ending dates in ten emerging markets. By the help of Sup Augmented Dickey Fuller (SADF) and Generalized Sup Augmented Dickey Fuller (GSADF) tests, bubble events identified in ten emerging stock markets’ main equity indices (BIST100: Turkey, BOVESPA: Brazil, IDX Composite: Indonesia, IPC: Mexico, IPSA: Chile, KOSPI: South Korea, MCX: Russia, NIFTY50: India, QE All Shares: Qatar, WIG20: Poland) for the period from January 2001 to July 2017. The results indicate that all of the emerging stock markets in our sample separated from their random walk more than one time in the 2001-2017 period except WIG20.

Keywords

Bubble, SADF, GSADF

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