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İMKB’DE SPEKÜLATİF ŞİŞKİNLERİN TEST EDİLMESİ

Yıl 2009, Cilt: 10 Sayı: 2, 272 - 283, 01.07.2009

Öz

Bu çalışmanın amacı İMKB’de spekülatif şişkinliklerin varlığının süre verisi duration modeli ile test edilmesidir. Bu amaçla İMKB’deki hisse senedi fiyatlarında süre bağımlılığı olup olmadığı McQueen ve Thorley 1994 ’nin yaklaşımı kullanılarak farklı sektörler bazında araştırılmaktadır. Verilerin başlangıç tarihi IMKB 100 endeksi için 3/7/1987, mali endeks ve sınai endeksi için 28/12/1990, hizmetler için 2/1/1997 ve teknoloji endeksi için 3/7/2000’dir. Seriler başlangıç tarihlerinden 20/02/2008 tarihine kadar olan süreyi kapsamaktadır ve günlük verilerdir. Yapılan hem parametrik hem de parametrik olmayan süre bağımlılığı testlerine göre incelenen tüm sektörlerde spekülatif şişkinliklerin var olmadığı gözlemlenmiştir.

Kaynakça

  • ALTAY, E., (2006). Fiyat köpüğü olgusunun İMKB’de test edilmesi, X. Ulusal Finans Sempozyumu, 1 – 4 Kasım, İzmir
  • BAUMOL, W.J., (1957). Speculation, profitability and stability, Review of Econometrics and Statistics, 39, 263 – 271.ss.
  • CAMPBELL J., SHILLER, R., (1987). Cointegration and tests of present value models, Journal of Political Economy, 95, pp. 1062 – 1088
  • CAPELLE-BLANCARD, G., RAYMOND, H., (2004). Empirical evidence on periodically collapsing stock price bubbles, Applied Economic Letters, 11 (1), 61 – 69.ss.
  • CHAN, K., MCQUENN, G., THORLEY, S., (1998). Are there rational speculative bubbles in Asian stock market?, Pacific – Basin Finance Journal, 6, 125 – 151.ss.
  • COX, D.R., OAKES, D. (1984). Analysis of survival data, New York, Chapman and Hall.
  • CRAINE R., (1993). Rational Bubbles: A Test, Journal of Economic Dynamics and Control, 17, 829 – 846.ss.
  • DELONG, J.B., SHLEIFER, A., SUMMERS, L.H., WALDMANN, R.J., (1990), noise trader risk in financial market, Journal of Political Economy, 98 (4), 703 –
  • DEZHBAKHSH H., DEMİRGÜÇ–KUNT, A., (1990). On the presence of speculative bubbles in stock prices, Journal of Financial and Quantitive Analysis, 25, 101 – 112.ss.
  • DEVINE T.J., KIEFER N.M., (1991). Empirical labor economics: the search approach, Oxford University Press, Oxford.
  • DIBA, B.T., GROSSMAN H.I., (1988a). The theory of rational bubbles in stock prices. Economic Journal, 98, 746 – 754.ss.
  • DIBA, B.T., GROSSMAN H.I., (1988b). Explosive rational bubbles in stock prices. American Economic Review, 78, 520 – 530.ss.
  • EVANS, G.W., (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81, 922 – 930.ss.
  • FAMA F.E., FRENCH, K.R., (1988), “Permanent and Temporary Components of Stock Prices”, Journal of Political Economy, 96, pp. 246 – 273
  • FLOOD R.P., GARBER P., (1980). Market fundamentals versus price level bubbles: The First Tests. Journal of Political Economy, 88, 745 – 770.ss.
  • FRIEDMAN, M., (1953). Essay in positive economics. Chicago: University of Chicago Press.
  • FUNG, L., (2001). Time series analysis of rational speculative bubble: a simulation experiment. Birkbeck College Working Paper Series.
  • GARBER, P.M., (1990). Famous first bubbles. Journal of Economic Perspective,4, 35 – 54.ss.
  • GREENE, WILLIAM, H. (1997). Econometric analysis. (3rd ed.) Prentice Hall Englewood Cliffs.
  • HARDOUVELIS, G.H., (1988). Evidence on stock market speculative bubbles: Japan, the United States and Great Britain. Quarterly Review of Federal Reserve Bank of New York, Summer, 4 – 16.ss.
  • HARMAN, Y.S., ZUEHLKE, Y.W., (2004). Duration dependence testing for speculative bubbles. Journal of Economics and Finance, 28, 147 – 154.ss.
  • HART, O.D., KREPS, D.M., (1986). Price destabilizing speculation. Journal of Political Economy, 94 (5), 927 – 952.ss.
  • HASSAN M.K., SUK-YU, J. (2007). Rational speculative bubbles: an empirical ınvestigation of the Middle East and North African stock markets. Indiana State University Network Financial Institutes Working Paper Series, No: 31.
  • JIRASAKULDECH, B., EMEKTAR R., RAO, R.P., (2007). Do Thai stock prices deviate from fundamental values?. Pacific-Basin Finance Journal, 2007, (Accepted Paper).
  • KINDLEBERGER C., (1978). Manias, panics and crashes: a history of financial crisis, New York, Basic Books.
  • KIEFER, N.M., (1988). Economic duration data and Hazard functions. Journal of Economic Literature, 26(2), 646-679.ss.
  • KLEIDON, A.W., (1986), Variance bounds tests and stock price valuation models. Journal of Political Economy, 94, 953 – 1001.ss.
  • KOHN, M., (1978). Competitive speculation. Econometrica, 49, 1061 – 1076.ss.
  • LANVIN, A.M., ZORN T.S., (2001). Empirical tests of the fundamental – value hypotesis. Journal of Real Estate Finance and Economics, 22, 99 – 116.ss.
  • LEROY, S.F., PORTER, R.D., (1981). The present value relation: tests based on ımplied variance bounds. Econometrica, 49, 55 – 74.ss.
  • LIU, T., SANTONI, G.J., STONE, C.C., (1995). In search of stock market bubbles: a comment on rappoport and white. Journal of Economic History, 55 (3), 647 –
  • LUNDE, A., TIMMERMANN, A.G., (2000). Duration dependence in stock prices: an analysis of Bull and Bear markets. Econometric Society World Congress 2000 Contributed Paper, No:1216.
  • MARSH, T., MERTON R., (1986). Dividend variability and variance bounds test for the rationality of stock prices. American Economic Review, 76, 483 – 498.ss.
  • MCQUENN, G., THORLEY, S., (1994). Bubbles, stock returns and duration dependence. Journal of Financial and Quantitive Analysis, 29, 196 – 197.ss.
  • MOKHTAR, S.H., NASSIR, A.M., HASSAN, T., (2006). Detecting rational speculative bubbles in the Malaysian stock market”, International Research Journal of Finance and Economics, 6, 102 – 115.ss.
  • RAPPOPORT, P., WHITE, E., (1993). Was there a bubble in the 1929 stock market?”, Journal of Economic History, 53 (3), 549 – 574.ss.
  • ROSSER, J.B., (2000). From catastrope to chaos: a general theory of economic discontinuities, (2nd ed.), Kluwer Academic.
  • SHILLER, R.J., (1981). Do stock prices move too much to be justified by subsequent changes in dividends. American Economic Review, 71, 421 – 436.ss.
  • SHILLER, R.J., (1997). Market volatility, (5th ed.), Massachusetts: MIT Pres.
  • SIEGEL, J.J., (2003). What is an asset price bubble? an operational definition. European Financial Management, 9(1), 11 – 24.ss.
  • WATANAPALACHAIKUL, S., ISLAM, S., (2003). Speculative bubbles in the Thai stock market: econometric tests and implications. Victoria University Working Paper Series.
  • WEST, K.D., (1987). A specification test of speculative bubbles. Quarterly Journal of Economics, 102, 553 – 580.ss.
  • WOOLDRIDGE, J. (2002). Econometric analysis of cross section and panel data. Chambridge, MA: MIT Press

TESTING FOR SPECULATIVE BUBBLES ON ISE

Yıl 2009, Cilt: 10 Sayı: 2, 272 - 283, 01.07.2009

Öz

The main aim of this study is to examine the existence of speculative bubbles in Turkey using the daily data on ISE-100 and different sectors. For this purpose, the approach developed by McQueen and Thorley 1994 , which utilizes duration models, is used. The beginning date of the daily indexes are 3/7/1987 for ISE-100 index, 28/12/1990 for financial and industry indexes, and 2/1/1997 for services index and 3/7/2000 for technology index. The end of observation period for all of the indexes is 20/02/2008. Both parametric and nonparametric duration test results do not support the expectations that there are speculative bubbles in all cases, that is, for the full data ISE-100 and the data by considering sector differences as well

Kaynakça

  • ALTAY, E., (2006). Fiyat köpüğü olgusunun İMKB’de test edilmesi, X. Ulusal Finans Sempozyumu, 1 – 4 Kasım, İzmir
  • BAUMOL, W.J., (1957). Speculation, profitability and stability, Review of Econometrics and Statistics, 39, 263 – 271.ss.
  • CAMPBELL J., SHILLER, R., (1987). Cointegration and tests of present value models, Journal of Political Economy, 95, pp. 1062 – 1088
  • CAPELLE-BLANCARD, G., RAYMOND, H., (2004). Empirical evidence on periodically collapsing stock price bubbles, Applied Economic Letters, 11 (1), 61 – 69.ss.
  • CHAN, K., MCQUENN, G., THORLEY, S., (1998). Are there rational speculative bubbles in Asian stock market?, Pacific – Basin Finance Journal, 6, 125 – 151.ss.
  • COX, D.R., OAKES, D. (1984). Analysis of survival data, New York, Chapman and Hall.
  • CRAINE R., (1993). Rational Bubbles: A Test, Journal of Economic Dynamics and Control, 17, 829 – 846.ss.
  • DELONG, J.B., SHLEIFER, A., SUMMERS, L.H., WALDMANN, R.J., (1990), noise trader risk in financial market, Journal of Political Economy, 98 (4), 703 –
  • DEZHBAKHSH H., DEMİRGÜÇ–KUNT, A., (1990). On the presence of speculative bubbles in stock prices, Journal of Financial and Quantitive Analysis, 25, 101 – 112.ss.
  • DEVINE T.J., KIEFER N.M., (1991). Empirical labor economics: the search approach, Oxford University Press, Oxford.
  • DIBA, B.T., GROSSMAN H.I., (1988a). The theory of rational bubbles in stock prices. Economic Journal, 98, 746 – 754.ss.
  • DIBA, B.T., GROSSMAN H.I., (1988b). Explosive rational bubbles in stock prices. American Economic Review, 78, 520 – 530.ss.
  • EVANS, G.W., (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81, 922 – 930.ss.
  • FAMA F.E., FRENCH, K.R., (1988), “Permanent and Temporary Components of Stock Prices”, Journal of Political Economy, 96, pp. 246 – 273
  • FLOOD R.P., GARBER P., (1980). Market fundamentals versus price level bubbles: The First Tests. Journal of Political Economy, 88, 745 – 770.ss.
  • FRIEDMAN, M., (1953). Essay in positive economics. Chicago: University of Chicago Press.
  • FUNG, L., (2001). Time series analysis of rational speculative bubble: a simulation experiment. Birkbeck College Working Paper Series.
  • GARBER, P.M., (1990). Famous first bubbles. Journal of Economic Perspective,4, 35 – 54.ss.
  • GREENE, WILLIAM, H. (1997). Econometric analysis. (3rd ed.) Prentice Hall Englewood Cliffs.
  • HARDOUVELIS, G.H., (1988). Evidence on stock market speculative bubbles: Japan, the United States and Great Britain. Quarterly Review of Federal Reserve Bank of New York, Summer, 4 – 16.ss.
  • HARMAN, Y.S., ZUEHLKE, Y.W., (2004). Duration dependence testing for speculative bubbles. Journal of Economics and Finance, 28, 147 – 154.ss.
  • HART, O.D., KREPS, D.M., (1986). Price destabilizing speculation. Journal of Political Economy, 94 (5), 927 – 952.ss.
  • HASSAN M.K., SUK-YU, J. (2007). Rational speculative bubbles: an empirical ınvestigation of the Middle East and North African stock markets. Indiana State University Network Financial Institutes Working Paper Series, No: 31.
  • JIRASAKULDECH, B., EMEKTAR R., RAO, R.P., (2007). Do Thai stock prices deviate from fundamental values?. Pacific-Basin Finance Journal, 2007, (Accepted Paper).
  • KINDLEBERGER C., (1978). Manias, panics and crashes: a history of financial crisis, New York, Basic Books.
  • KIEFER, N.M., (1988). Economic duration data and Hazard functions. Journal of Economic Literature, 26(2), 646-679.ss.
  • KLEIDON, A.W., (1986), Variance bounds tests and stock price valuation models. Journal of Political Economy, 94, 953 – 1001.ss.
  • KOHN, M., (1978). Competitive speculation. Econometrica, 49, 1061 – 1076.ss.
  • LANVIN, A.M., ZORN T.S., (2001). Empirical tests of the fundamental – value hypotesis. Journal of Real Estate Finance and Economics, 22, 99 – 116.ss.
  • LEROY, S.F., PORTER, R.D., (1981). The present value relation: tests based on ımplied variance bounds. Econometrica, 49, 55 – 74.ss.
  • LIU, T., SANTONI, G.J., STONE, C.C., (1995). In search of stock market bubbles: a comment on rappoport and white. Journal of Economic History, 55 (3), 647 –
  • LUNDE, A., TIMMERMANN, A.G., (2000). Duration dependence in stock prices: an analysis of Bull and Bear markets. Econometric Society World Congress 2000 Contributed Paper, No:1216.
  • MARSH, T., MERTON R., (1986). Dividend variability and variance bounds test for the rationality of stock prices. American Economic Review, 76, 483 – 498.ss.
  • MCQUENN, G., THORLEY, S., (1994). Bubbles, stock returns and duration dependence. Journal of Financial and Quantitive Analysis, 29, 196 – 197.ss.
  • MOKHTAR, S.H., NASSIR, A.M., HASSAN, T., (2006). Detecting rational speculative bubbles in the Malaysian stock market”, International Research Journal of Finance and Economics, 6, 102 – 115.ss.
  • RAPPOPORT, P., WHITE, E., (1993). Was there a bubble in the 1929 stock market?”, Journal of Economic History, 53 (3), 549 – 574.ss.
  • ROSSER, J.B., (2000). From catastrope to chaos: a general theory of economic discontinuities, (2nd ed.), Kluwer Academic.
  • SHILLER, R.J., (1981). Do stock prices move too much to be justified by subsequent changes in dividends. American Economic Review, 71, 421 – 436.ss.
  • SHILLER, R.J., (1997). Market volatility, (5th ed.), Massachusetts: MIT Pres.
  • SIEGEL, J.J., (2003). What is an asset price bubble? an operational definition. European Financial Management, 9(1), 11 – 24.ss.
  • WATANAPALACHAIKUL, S., ISLAM, S., (2003). Speculative bubbles in the Thai stock market: econometric tests and implications. Victoria University Working Paper Series.
  • WEST, K.D., (1987). A specification test of speculative bubbles. Quarterly Journal of Economics, 102, 553 – 580.ss.
  • WOOLDRIDGE, J. (2002). Econometric analysis of cross section and panel data. Chambridge, MA: MIT Press
Toplam 43 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makalesi
Yazarlar

H. Mehmet Taşçı Bu kişi benim

H. Aydın Okuyan Bu kişi benim

Yayımlanma Tarihi 1 Temmuz 2009
Yayımlandığı Sayı Yıl 2009 Cilt: 10 Sayı: 2

Kaynak Göster

APA Taşçı, H. M., & Okuyan, H. A. (2009). İMKB’DE SPEKÜLATİF ŞİŞKİNLERİN TEST EDİLMESİ. Doğuş Üniversitesi Dergisi, 10(2), 272-283.