DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH

Year 2021, , 21 - 36, 28.06.2021

Emrah Doğan

https://doi.org/10.36543/kauiibfd.2021.002

Abstract

This study is to detect the presence of bubbles and to examine the possible contributions of the Covid-19 outbreak to bubble formation in futures markets. To assess the impacts of financial contagion, the daily data will be used for the period between December 1, 2019 and December 11, 2020. The empirical estimation strategy will be based on the generalized supremum augmented Dickey–Fuller (GSADF) test to examine whether there are bubbles in future markets. According to the estimation results obtained, the GSADF test statistics were found to be statistically significant for 8 future market indices selected for the study. This result reveals empirical evidence that the COVID-19 epidemic has contagion effects on future markets, causing bubble formation for 8 futures market indices. Therefore, the findings obtained in this study have obtained important findings regarding the development and spread of the contagion of the COVID-19 epidemic to financial markets.

Keywords

Future Markets, COVID-19, Financial Contagion, Bubbles, Right-Tailed Unit Root Test, GSADF

DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURES MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH

Abstract

Bu çalışma, vadeli işlem piyasalarında balonların varlığını ve Covid-19 salgınının vadeli işlem piyasalarında balon oluşumuna olası katkılarını incelemektedir. Çalışmada balonların varlığını ve finansal bulaşmanın etkilerini değerlendirmek için, 1 Aralık 2019 ile 11 Aralık 2020 dönemi arasındaki günlük veriler kullanılmıştır. Çalışmanın ampirik tahmin stratejisinde, Genelleştirilmiş SADF (GSADF) testine dayanılarak vadeli işlem piyasalarında balonların olup olmadığı tespit edilecektir. Elde edilen tahmin sonuçlarına göre GSADF test istatistikleri, çalışma için seçilen 8 vadeli işlem piyasası endeksi için istatiksel olarak anlamlı bulunmuştur. Bu sonuç, Covid-19 salgınının vadeli işlem piyasalarında bulaşıcı etkilere sahip olduğunu ve 8 vadeli işlem piyasası endeksi için balon oluşumuna neden olduğuna ilişkin ampirik kanıtlar ortaya koymaktadır. Bu nedenle çalışmada elde edilen bulgular, Covid-19 salgınının finansal piyasalara bulaşmasının gelişimi ve yayılmasına ilişkin önemli bulgular sunmaktadır.

Keywords

Vadeli İşlem Piyasaları, COVID-19, Finansal Bulaşma, Balonlar, Sağ Kuyruklu Birim Kök Testi, GSADF

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