The Research of Asset Price Bubble at Borsa Istanbul and Financial Crisis Relationship

Yıl 2020, Cilt: 20 Sayı: 2, 143 - 156, 25.06.2020

Müge Sağlam Bezgin , Mehmet Başar

https://doi.org/10.18037/ausbd.758046

Cited By: 2

Öz

In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test.

Anahtar Kelimeler

Asset Price Bubble, Financial Crisis, Right Tailed Unit Root Test, Asymmetric Causality, Time Series Analysis

Kaynakça

• Allen, F. and Douglas G. (2000). Bubbles and crises, The Economic Journal, 11, 236-255, doi: 10.1111/1468-0297.00499.
• Arshanapalli, B. and Nelson W. B. (2016). Testing for stock price bubbles: a review of econometric tools. The International Journal of Business and Finance Research, 10(4), 29-42.
• Barlevy, G. (2007). Economic theory and asset bubbles. Economic Perspective, 31(3), 44-59.
• BİST (2018). Available at: https://www.borsaistanbul.com/en/home-page.
• Blanchard, O. J., Watson, M. W. and Watchtel, P. (1982). Bubbles, rational expectations and financial markets, crises in the economic and financial structure. Watchtel P. (Ed). MA: LexingtonBooks.
• Boucher, C. (2003). Testing for rational bubbles with time varying risk premium and nonlinear cointegration: evidence from the US and French stock markets, Research Paper, France: Universite Paris-Nord. Doi: 10.1.1.595.9068
• Brunnermeier, M. K. and Oehmke, M. (2012). Bubbles, financial crises, and systemic risk. NBER Working Paper. 18398, 1221-1288. Doi: 10.3386/w18398.
• Chang, T., Aye C.G. and Gupta R. (2014). Testing for multiple bubbles in the BRICS stock markets, University of Pretoria Department of Economics Working Paper Series No: 201407, 1-22.
• Edison, H., Luangaram, P., Miller, M., (1998). Asset bubbles, domino effects and ‘lifeboats’: elements of the East Asian Crisis. Paper presented at the CEPR–World Bank Conference on Financial Crises: Contagion and Market Volatility, London. Doi: 10.1177/002795019816500109
• Flood, R. P. and Garber P. M. (1980). Market fundamentals versus price level bubbles: the first tests, Journal of Political Economy, 88, 745-770. Doi: 10.1086/260900
• Fu, M. and Bidarkota P.V. (2011). Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors. Journal of Risk and Financial Management, 4, 97-132.
• Fukuta, Y. (2002). A Test for rational bubbles in stock prices. Empirical Economics, 27, 587-600.
• Gürkaynak, R. S. (2008). Econometric tests of asset price bubbles: taking stock. Journal of Economic Surveys, 22(1), 166-186. Doi: 10.1111/j.1467-6419.2007.00530.x
• Hacker, R. S. and Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500, Doi: 10.1080/00036840500405763
• Haque, A., Shaoping W. and Hongping O.(2008). Rational speculative bubbles in Chinese stock market. International Journal of Applied Economics, 5(1), 85-100.
• Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economy, 43(1), 447-456, Doi:10.1007/s00181-011-0484-x
• Homm, U. and Breitung J. (2010). Testing for speculative bubbles in stock markets: a comparison of alternative methods. Journal of Financial Econometrics, 10(1), 198-231. Doi: 10.1093/jjfinec/nbr009
• IMF. (2003, April). When bubbles burst?. Available at: https://www.imf.org/en/Publications/WEO/Issues/2016/12/31/Growth-and-Institutions
• Kaminsky, G., Lizondo, S. and Reinhart, C.M. (1997). Leading ındicators of currency crises. IMF Working Paper. 1-46.
• Kindleberger, C. P. (1978a). Manias, panics, and crashes: a history of financial crises, New York: Wiley Investment Classics.
• Kindleberger, C. P. (2000b). Manias, panics and crashers: a history of financial crisis. London: Macmillan.
• Kindleberger, C. P. and Aliber, R.Z. (2011a). Manias, panics and crashes: a history of financial crises (6th Ed), New York: Palgrave Macmillan.
• Kindleberger, C. P. and Aliber R. Z. (2015b). Manias, panics and crashes: a history of financial crises (7th Ed) New York:, Palgrave Macmillan.
• Kivedal, B.K.(2012).Testing for rational bubbles in the housing market. Working Paper Series of Department of Economics Norwegian University of Science and Technology, 10, 1-17.
• Komaromi, G. (2004). Anatomy of stock market bubbles. Hyderabad: The Institute of Chartered Financial Analysts of India (ICFAI) University.
• Korkos, I. (2014). Detecting bubbles in asset price: an empirical investigation in the US stock exchange market. Atina: School of Economics, Business Administration & Legal Studies A Thesis Submitted For The Degree of Master Of Science (Msc) in Banking & Finance. Available at: https://www.academia.edu/8603506/Detecting_bubbles_in_asset_prices_ an_empirical_investigation_in_the_US_stock_exchange_market
• Phillips, P. C.B., Shi, S.-P. and Yu J. (2013) Testing for multiple bubbles 2: limit theory of real time detectors. Research Collection School of Economics, Singapore Management University. Available at: https://ink.library.smu.edu.sg/soe_research/1511
• Stiglitz, J. (1990). Symposium on bubbles. The Journal of Economic Perspective, 4(2), 13-18.
• Watanabe, K., Takayasu, H. ve Takayasu, M. (2007). A mathematical defination of the financial bubbles and crashes. Physica A, 383, 120-124.
• Yaraşır-Tümlüce, S. and Zeren, F. (2017). Analysis of the relationshıp between public expenditures and economic growth in Turkey by asymmetric causality test. Int. Journal of Management Economics and Business, 13(2), 299-310.
• Yılancı, V. and Bozuklu, Ş. (2014). Price and trade volume relationship in Turkish stock market: a time-varying asymmetric causality analysis. Ege Academic Review, 14(2), 211-220.
• Zeren, F. and Yılancı, V. (2019). Are there multiple bubbles in the stock markets? further evidence from selected countries. Ekonomika, 98(1), 81-95. Doi: https://doi.org/10.15388/Ekon.2019.1.5