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EMTİA PİYASALARINDA RASYONEL BALONLAR VE VOLATİLİTE YAYILIMLARININ ARAŞTIRILMASI: DEĞERLİ METALLERDEN KANITLAR

Year 2019, Volume: 6 Issue: 3, 936 - 951, 31.12.2019
https://doi.org/10.30798/makuiibf.586527

Abstract

Bir varlığın fiyatının, varlığın temel
değerinden sapması olarak ifade edilebilen fiyat balonları, piyasalar üzerinde
önemli etkilere sahiptir. ABD’de 2008 yılında konut fiyat balonunun
patlamasıyla başlayan finansal krizin etkileri tüm dünyaya yayılarak küresel
krize dönüşmüştür. Bu çalışmada emtia piyasalarında yer alan değerli
metallerden altın, gümüş, platin ve paladyum fiyatlarında 01.01.2010-19.02.2019
dönemi için fiyat balonlarının varlığı araştırılmıştır. Araştırmada fiyat
balonlarının oluşum ve patlama dönemlerini ortaya koyabilen RtADF, SADF ve
GSADF yöntemleri kullanılmıştır. Analizler sonucunda altın, gümüş ve platin
fiyatlarında balona rastlanırken, paladyum fiyatında herhangi bir balonun
varlığına dair kanıt bulunamamıştır. Söz konusu balonların birbirine yakın
tarihlerde meydana gelmesi nedeniyle de ayrıca altın, gümüş ve platin
piyasaları arasında getiri ve volatilite yayılımının bulunup bulunmadığı
VAR-EGARCH yöntemi ile araştırılmıştır. Araştırma sonucunda da altın, gümüş ve
platin getirileri arasında çoklu bir yayılım olduğu tespit edilmiş, böylece
kıymetli madenlerde oluşan fiyat balonlarının birbirini tetiklediği sonucuna
ulaşılmıştır. Kıymetli metal piyasalarında fiyat balonlarının varlığı ile
ilgili elde edilen bulgular, bu piyasadaki yatırımcılar için işlem zamanlaması
açısından önemlidir. Diğer taraftan kıymetli metaller arasındaki volatilite
yayılımı ile ilgili bulgular da kıymetli metallerle finansal korunma sağlayan
yatırımcıların kıymetli metaller arasındaki şok yayılımlarını dikkate alması
açısından önemlidir.

References

  • ABILDGREN, K., HANSEN, N. L. and KUCHLER, A. (2018), Overoptimism and House Price Bubbles, Journal of Macroeconomics, 56, 1-14.BALCILAR, M., OZDEMIR, Z. A. and YETKINER, H. (2014), Are There Really Bubbles in Oil Prices?, Physica A, 416, 631-638.BAUR, D. G. and GLOVER, K. (2012), A Gold Bubble?, Finance Discipline Group, Working Paper No:175.BERTUS, M. and STANHOUSE, B. (2001), Rational Speculative Bubbles in The Gold Futures Market: An Application of Dynamic Factor Analysis. Journal of Futures Markets, 21(1), 79-108.BIALKOWSKI, J. P., BOHL, M. T., STEPHAN, P. M. and WISNIEWSKI, T. P. (2011), Is There a Speculative Bubble in the Price of Gold?, https://pdfs.semanticscholar.org/6422/462aab0a64807539016a96ec1392c6e1ed6b.pdf?_ga=2.244859141.1041393117.1553603081-94674437.1535313876 (26.03.2019).BLANCHARD, O. J. and WATSON, M. W. (1982), Bubbles, Rational Expectations and Financial Markets, NBER Working Paper Series, Working Paper No.945.CANCELLOR, E. (2010), Şeytan Sofrası: Finansal Spekülasyonlar Tarihi (Çeviren: N. Domaniç), İstanbul: Scala Yayıncılık.CASPI, I. (2013), Rtadf: Testing for Bubbles with EViews, Munich Personal RePEc Archive, 1-15.CASPI, I. (2016), Rtadf: Testing for Bubbles with EViews, Research Institute for Econometrics Discussion, Paper No.4-16.CASPI, I. and GRAHAM, M. (2018), Testing for Bubbles in Stock Markets with Irregular Dividend Distribution, Finance Research Letters, 26, 89-94.CEYLAN, F., EKINCI, R., TUZUN, O. and KAHYAOGLU, H. (2018), Kripto Para Piyasasında Balonların Tespiti: Bitcoin ve Etherium Örneği, Business&Management Studies: An International Journal, 6(3), 263-274.DIBA, B. T. and GROSSMAN, H. I. (1988), Explosive Rational Bubbles in Stock Prices, The American Economic Review, 78(3), 520-530.FLOOD, R. P. and GARBER, P. M. (1980), Market Fundamentals Versus Price Level Bubbles: The First Tests, Journal of Political Economy, 88(4), 745-770.GILBERT, C. L. (2010), Speculative Influences on Commodity Futures Prices 2006-2008, United Nations Conference on Trade and Development, Discussion Papers No.197.GURKAYNAK, R. S. (2008), Econometric Tests of Asset Price Bubbles: Taking Stock, Journal of Economic Surveys, 22(1), 166-186.HARVEY, D. I., LEYBOURNE, S. J. and SOLLIS, R. (2015), Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble, Journal of Financial Econometrics, 13(1), 166-187.HESSEL, J. and PEETERS, J. (2011), Housing Bubbles, the Leverage Cycle and The Role of Central Banking, DNB Occasional Studies, 9(5).HOMM, U. and BREITUNG, J. (2012), Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods, Journal of Financial Econometrics, 10(1), 198-231.KORKMAZ, O., ERER, E. and ERER, D. (2016), The Factors Affecting Credit Bubbles: The Case of Turkey, Financial Studies, 20(1), 37-53.KOUTMOS, G. (1996), Modelling the Dynamic Interdependence of Major European Stock Markets, Journal of Business Finance&Accounting, 23(7), 975-988. KOY, A. (2018), Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX, Business and Economics Research Journal (BERJ), 9(2), 291-299.LAMMERDING, M., STEPHAN, P., TREDE, M. and WILFLING, B. (2013), Speculative Bubbles in Recent Oil Price Dynamics: Evidence from A Bayesian Markov-switching State-space Approach, Energy Economics, 36, 491-502.LUCEY, B. M. and ONNOR, F. A. (2013), Do Bubbles Occur in the Gold Prices? An Investigation of Gold Lease Rates, Borsa Istanbul Review, 13(3), 53-63. PAN, W. F. (2018), Sentiment and Asset Price Bubble in the Precious Metals Markets, Finance Research Letters, 26, 106-111.PHILIPS, P. C. B. and YU, J. (2011), Dating the Timeline of Financial Bubbles during the Suprime Crises, Quantitive Economics, 2(3), 455-491.PHILLIPS, P. C. B., SHI, S. and YU, J. (2015), Testing for Multiple Bubbles: Historical Episode of Exuberance and the Collapse in the S&P 500, International Economic Review, 56(4), 1042-1077.PHILLIPS, P. C. B., WU, Y. and YU, J. (2011), Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?, International Economic Review, 52, 201-226.PHILLIPS, P. C., SHI, S. and YU, J. (2013), Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Research Collection School Of Economics, Paper No.04-2013.PINDYCK, R. (1993), The Present Value Model of Commodity Pricing, The Economic Journal, 103(418), 511-530.SCHERBINA, A. (2013), Asset Price Bubbles: A Selective Survey, IMF Working Paper, WP/13/45.SU, C. W., LI, Z. Z., CHANG, H. L. and LOBONT, O. R. (2017), When will Occur the Crude Oil Bubbles?, Energy Policy, 102, 1-6.SU, C. W., WANG, K. H., CHANG, H. L. and PECULEA, A. D. (2017), Do Iron Ore Price Bubbles Occur?, Resources Policy, 53, 340-346.TOKIC, D. (2010), The 2008 Oil Bubble: Causes and Consequences, Energy Policy, 38(10), 6009-6015. ZEREN, F. and ERGUZEL, O. Ş. (2015), Testing for Bubbles in the Housing Market: Further Evidence from Turkey, Financial Studies, 19, 40-52.ZEREN, F. and ESEN, S. (2018), Geleceğin Para Birimi ya da Sadece Bir Balon: Bitcoin, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(39), 433-448.ZHANG, Y. J. and YAO, T. (2016), Interpreting the Movement of Oil Prices: Driven by Fundamentals or Bubbles?, Economic Modelling, 55, 226-240.

INVESTIGATION OF RATIONAL BUBBLES AND VOLATILITY SPILLOVERS IN COMMODITY MARKETS: EVIDENCES FROM PRECIOUS METALS

Year 2019, Volume: 6 Issue: 3, 936 - 951, 31.12.2019
https://doi.org/10.30798/makuiibf.586527

Abstract

Price bubbles which can be expressed as the
deviation of the price of an asset from its fundamental value, have significant
impacts on markets. The effects of the financial crisis that started with the
burst of the housing bubbles in the USA in 2008 have spread all over the world
and turned into a global crisis. In this study, the price bubbles of gold, silver,
platinum and palladium in the commodity markets for the period between
01.01.2010-19.02.2019 were investigated. RtADF, SADF and GSADF methods were
used to determine the formation and burst periods of price bubbles. As a result
of the analysis, price bubbles were found in gold, silver and platinum, whereas
no bubbles were found in palladium prices. Due to the close formation dates of
these bubbles, whether there was any return or volatility spillover between
gold, silver and platinum markets was investigated with VAR-EGARCH method. As a
result of the study, it was found that there was a multiple spillover between
the gold, silver and platinum returns. Thus, it was concluded that the price
bubbles formed in precious metals triggered each other. Findings regarding the
presence of price bubbles in the precious metal markets are crucial for traders
in terms of trading timing. However, the findings related to the volatility
spillover among precious metals are also important in terms of considering the
effect of this spillover for the investors who provide hedging by precious
metals.

References

  • ABILDGREN, K., HANSEN, N. L. and KUCHLER, A. (2018), Overoptimism and House Price Bubbles, Journal of Macroeconomics, 56, 1-14.BALCILAR, M., OZDEMIR, Z. A. and YETKINER, H. (2014), Are There Really Bubbles in Oil Prices?, Physica A, 416, 631-638.BAUR, D. G. and GLOVER, K. (2012), A Gold Bubble?, Finance Discipline Group, Working Paper No:175.BERTUS, M. and STANHOUSE, B. (2001), Rational Speculative Bubbles in The Gold Futures Market: An Application of Dynamic Factor Analysis. Journal of Futures Markets, 21(1), 79-108.BIALKOWSKI, J. P., BOHL, M. T., STEPHAN, P. M. and WISNIEWSKI, T. P. (2011), Is There a Speculative Bubble in the Price of Gold?, https://pdfs.semanticscholar.org/6422/462aab0a64807539016a96ec1392c6e1ed6b.pdf?_ga=2.244859141.1041393117.1553603081-94674437.1535313876 (26.03.2019).BLANCHARD, O. J. and WATSON, M. W. (1982), Bubbles, Rational Expectations and Financial Markets, NBER Working Paper Series, Working Paper No.945.CANCELLOR, E. (2010), Şeytan Sofrası: Finansal Spekülasyonlar Tarihi (Çeviren: N. Domaniç), İstanbul: Scala Yayıncılık.CASPI, I. (2013), Rtadf: Testing for Bubbles with EViews, Munich Personal RePEc Archive, 1-15.CASPI, I. (2016), Rtadf: Testing for Bubbles with EViews, Research Institute for Econometrics Discussion, Paper No.4-16.CASPI, I. and GRAHAM, M. (2018), Testing for Bubbles in Stock Markets with Irregular Dividend Distribution, Finance Research Letters, 26, 89-94.CEYLAN, F., EKINCI, R., TUZUN, O. and KAHYAOGLU, H. (2018), Kripto Para Piyasasında Balonların Tespiti: Bitcoin ve Etherium Örneği, Business&Management Studies: An International Journal, 6(3), 263-274.DIBA, B. T. and GROSSMAN, H. I. (1988), Explosive Rational Bubbles in Stock Prices, The American Economic Review, 78(3), 520-530.FLOOD, R. P. and GARBER, P. M. (1980), Market Fundamentals Versus Price Level Bubbles: The First Tests, Journal of Political Economy, 88(4), 745-770.GILBERT, C. L. (2010), Speculative Influences on Commodity Futures Prices 2006-2008, United Nations Conference on Trade and Development, Discussion Papers No.197.GURKAYNAK, R. S. (2008), Econometric Tests of Asset Price Bubbles: Taking Stock, Journal of Economic Surveys, 22(1), 166-186.HARVEY, D. I., LEYBOURNE, S. J. and SOLLIS, R. (2015), Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble, Journal of Financial Econometrics, 13(1), 166-187.HESSEL, J. and PEETERS, J. (2011), Housing Bubbles, the Leverage Cycle and The Role of Central Banking, DNB Occasional Studies, 9(5).HOMM, U. and BREITUNG, J. (2012), Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods, Journal of Financial Econometrics, 10(1), 198-231.KORKMAZ, O., ERER, E. and ERER, D. (2016), The Factors Affecting Credit Bubbles: The Case of Turkey, Financial Studies, 20(1), 37-53.KOUTMOS, G. (1996), Modelling the Dynamic Interdependence of Major European Stock Markets, Journal of Business Finance&Accounting, 23(7), 975-988. KOY, A. (2018), Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX, Business and Economics Research Journal (BERJ), 9(2), 291-299.LAMMERDING, M., STEPHAN, P., TREDE, M. and WILFLING, B. (2013), Speculative Bubbles in Recent Oil Price Dynamics: Evidence from A Bayesian Markov-switching State-space Approach, Energy Economics, 36, 491-502.LUCEY, B. M. and ONNOR, F. A. (2013), Do Bubbles Occur in the Gold Prices? An Investigation of Gold Lease Rates, Borsa Istanbul Review, 13(3), 53-63. PAN, W. F. (2018), Sentiment and Asset Price Bubble in the Precious Metals Markets, Finance Research Letters, 26, 106-111.PHILIPS, P. C. B. and YU, J. (2011), Dating the Timeline of Financial Bubbles during the Suprime Crises, Quantitive Economics, 2(3), 455-491.PHILLIPS, P. C. B., SHI, S. and YU, J. (2015), Testing for Multiple Bubbles: Historical Episode of Exuberance and the Collapse in the S&P 500, International Economic Review, 56(4), 1042-1077.PHILLIPS, P. C. B., WU, Y. and YU, J. (2011), Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values?, International Economic Review, 52, 201-226.PHILLIPS, P. C., SHI, S. and YU, J. (2013), Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Research Collection School Of Economics, Paper No.04-2013.PINDYCK, R. (1993), The Present Value Model of Commodity Pricing, The Economic Journal, 103(418), 511-530.SCHERBINA, A. (2013), Asset Price Bubbles: A Selective Survey, IMF Working Paper, WP/13/45.SU, C. W., LI, Z. Z., CHANG, H. L. and LOBONT, O. R. (2017), When will Occur the Crude Oil Bubbles?, Energy Policy, 102, 1-6.SU, C. W., WANG, K. H., CHANG, H. L. and PECULEA, A. D. (2017), Do Iron Ore Price Bubbles Occur?, Resources Policy, 53, 340-346.TOKIC, D. (2010), The 2008 Oil Bubble: Causes and Consequences, Energy Policy, 38(10), 6009-6015. ZEREN, F. and ERGUZEL, O. Ş. (2015), Testing for Bubbles in the Housing Market: Further Evidence from Turkey, Financial Studies, 19, 40-52.ZEREN, F. and ESEN, S. (2018), Geleceğin Para Birimi ya da Sadece Bir Balon: Bitcoin, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(39), 433-448.ZHANG, Y. J. and YAO, T. (2016), Interpreting the Movement of Oil Prices: Driven by Fundamentals or Bubbles?, Economic Modelling, 55, 226-240.
There are 1 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

İsmail Çelik 0000-0002-6330-754X

Hilmi Tunahan Akkuş 0000-0002-8407-1580

Nazlıgül Gülcan 0000-0002-1390-0820

Publication Date December 31, 2019
Submission Date July 3, 2019
Published in Issue Year 2019 Volume: 6 Issue: 3

Cite

APA Çelik, İ., Akkuş, H. T., & Gülcan, N. (2019). INVESTIGATION OF RATIONAL BUBBLES AND VOLATILITY SPILLOVERS IN COMMODITY MARKETS: EVIDENCES FROM PRECIOUS METALS. Mehmet Akif Ersoy Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 6(3), 936-951. https://doi.org/10.30798/makuiibf.586527