Investigation of Speculative Bubbles in Financial Markets: The Example of Foreign Exchange Market

Year 2021, Volume: 12 Issue: 29, 176 - 187, 20.02.2021

Nazlıgül Gülcan Namıka Boyacıoğlu Arife Özdemir Höl

https://doi.org/10.21076/vizyoner.729647

Cited By: 1

Abstract

Financial bubbles are described as the deviation of the market values of financial assets from their core values. They are one of the main indicators for the financial crises by negatively affecting the markets due to the constant overvaluation of the assets. Therefore, investigating the presence of financial bubbles and determining the reasons are of great importance for investors, market regulators, and portfolio managers in terms of investment risk and price stability. In the study, the presence of bubbles in the foreign exchange market is investigated by considering the most traded currencies such as the US Dollar, Euro, Japanese Yen, British Pound, and Chinese Yuan. For this purpose, the daily price data for the period between 03.01.2005-20.11.2019 for the US Dollar/Turkish Lira, Euro/Turkish Lira, British Pound/Turkish Lira, and Chinese Yuan/Turkish Lira, and the daily price data belonging to 28.08.2013-20.11.2019 period for Japanese Yen/Turkish Lira are used. Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests are used to determine the bubbles in aforementioned exchange rates. The results indicate findings regarding the formation of financial bubbles in the foreign exchange market in Turkey. 

Keywords

Exchange Rate, Financial Bubble, SADF and GSADF Test

Finansal Piyasalardaki Spekülatif Balonların Araştırılması: Döviz Piyasası Örneği

Abstract

Finansal varlıkların piyasa değerlerinin temel değerlerinden sapması olarak tanımlanan finansal balonlar, varlıkların piyasada sürekli aşırı değerlenmelerinden dolayı piyasaları olumsuz etkileyerek finansal krizlerin öncü göstergeleri olmaktadır. Böylece yatırımcılar, piyasa düzenleyiciler ve portföy yöneticileri açısından finansal balonların varlığının araştırılması ve nedenlerinin tespit edilmesi, yatırım riski ve fiyat istikrarı için büyük önem arz etmektedir. Bu çalışmada Amerikan Doları, Euro, Japon Yeni, İngiliz Sterlini ve Çin Yuanı olmak üzere en çok işlem gören para birimleri dikkate alınarak döviz piyasasındaki balonların varlığı araştırılmıştır. Bu amaç doğrultusunda çalışmada ABD Doları, Euro, İngiliz Sterlini ve Çin Yuanı için 03.01.2005-20.11.2019; Japon Yeni için de 28.08.2013-20.11.2019 dönemi günlük fiyat verileri kullanılmıştır. Söz konusu kurlardaki balonları belirlemek amacıyla Eküs-Genelleştirilmiş Dickey-Fuller (SADF) ve Genelleştirilmiş SADF (GSADF) testlerinden yararlanılmıştır. Çalışma sonucunda Türkiye döviz piyasasında finansal balonların oluşumuna yönelik bulgulara ulaşılmıştır. 

Keywords

Döviz Kuru, Finansal Balon, SADF ve GSADF Testi

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