Borsa İstanbul’da Rasyonel BalonVarlığı: Sektör Endeksleri Üzerine BirAnaliz

Yıl 2017, Sayı: 629, 63 - 76, 01.07.2017

Efe Çağlar Çağlı , Pınar EVRİM Mandacı

Öz

Bu çalışmada, Borsa İstanbul (BIST) endeksleri için hesaplanan temettü verimi oranları kullanılarak piyasada rasyonel spekülatif balonların varlığının tespit edilmesi amaçlanmıştır. Bloomberg’den elde edilen 21 endeksin dahil edildiği veri seti, Kasım 2006’dan Mayıs 2016’ya kadar uzanmaktadır. Ele alınan dönem, küresel finansal kriz ve Avrupa borç krizi gibi önemli gelişmeleri de kapsadığından özyinelemeli esnek tahminleme aralıkları algoritmasına dayalı ekonometrik yöntem uygulanmıştır. Yürütülen analizlerde, BIST endekslerinin çoğunun zaman içerisinde temel değerlerinden farklı fiyatlandığına ilişkin sonuçlar bulunmuştur. Sonuç olarak, farklı sektörler ve borsa geneli için hesaplanan çok sayıdaki endeks istatistiklerine göre rasyonel spekülatif balonların varlığı konusunda ampirik kanıtlar elde edilmiştir. Ayrıca, döviz kuru, reel kesim güven endeksi ve sanayi üretim endeksinin spekülatif balon sayısı üzerinde anlamlı marjinal etkileri olduğu ortaya konulmuştur.

Anahtar Kelimeler

Borsa İstanbul, Spekülatif Balon, Temettü Verim Oranı, Özyinelemeli Esnek Tahminleme, Sıfır Değer Ağırlıklı Poisson Modeli

The Existence of Speculative Bubble in Istanbul Stock Exchange: An Analysis on Sector Indices

Öz

In this study, we aim to detect the presence of the rational speculative bubbles by using the calculated dividend yield series for the indices of Borsa Istanbul (BIST). The data containing 21 BIST indices are obtained from the Bloomberg covering the period from November 2006 to May 2016. Since the analyzed data period includes the important economic developments, such as global financial crisis, and European debt crisis, we apply an econometric method that is based on a recursive flexible window algorithm. The empirical results suggest that most of the BIST indices are priced different than their fundamental values in time. As a result, according to the test statistics; we find that there are evidences of speculative bubbles for the BIST broad market indices and many sector/industry indices. We also report that the foreign exchange rate, real sector confidence index, and industrial production index are found to have significant marginal effects on the number of speculative bubbles.

Anahtar Kelimeler

Borsa Istanbul, Speculative Bubble, Dividend Yield, Recursive Flexible Estimation, Zero-Inflated Poisson Model

Kaynakça

• AL-ANASWAH, Nael and Bernd Wilfling; (2011), “Identification of Speculative Bubbles Using State-Space Models with Markov-Switching”, Journal of Banking and Finance, 35(5), pp. 1073–86.
• ANDERSON, Keith and Chris Brooks; (2014), “Speculative Bubbles and the Cross-Sectional Variation in Stock Returns”, International Review of Financial Analysis, 35, pp. 20–31.
• ANDERSON, Keith, Chris Brooks, and Apostolos Katsaris; (2010), “Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?”, Journal of Empirical Finance, 17(3), pp. 345–61.
• ASAKO, Kazumi and Zhentao Liu; (2013), “A Statistical Model of Speculative Bubbles, with Applications to the Stock Markets of the United States, Japan, and China”, Journal of Banking and Finance, 37(7), pp. 2639–2651.
• BAUMOL, William J.; (1957), “Speculation, Profitability, and Stability”, The Review of Economics and Statistics, 39(3), pp. 263-271.
• BLANCHARD, Olivier J.; (1979), “Speculative Bubbles, Crashes and Rational Expectations”, Economics Letters, 3(4), pp. 387–89.
• BOZOKLU, Şeref ve Fatma Zeren; (2013), “Türkiye Hisse Senedi Piyasasında Rasyonel Köpükler: Saklı Eş Bütünleşme Yaklaşımı”, Finansal Araştırmalar ve Çalışmalar Dergisi, 5(9), ss. 17-31.
• BROOKS, Chris and Apostolos Katsaris; (2003), “Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange”, Bulletin of Economic Research, 55(4), pp. 319–46.
• CAMPBELL, John Y. and Robert J. Shiller; (1987), “Cointegration and Tests of Present Value Models”, Journal of Political Economy, 95(5), pp. 1062–88.
• CAMPBELL, John Y. and Robert J. Shiller; (1988), “The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors”, Review of Financial Studies, 1(3), pp. 195– 228.
• CAPELLE-BLANCARD, Gunther. and Hélène Raymond; (2004), “Empirical Evidence on Periodically Collapsing Stock Price Bubbles”, Applied Economics Letters, 11(1), pp. 61–69.
• CHAN, Kalok, Grant McQueen, and Steven Thorley; (1998), “Are There Rational Speculative Bubbles in Asian Stock Markets?”, Pacific-Basin Finance Journal, 6(1), pp. 125–51.
• CHEN, Shiu-Sheng; (2009), “Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators”, Journal of Banking & Finance, 33(2), pp. 211–23.
• CRAINE, Roger; (1993), “Rational Bubbles”, Journal of Economic Dynamics and Control, 17(5–6), pp. 829–46. DIBA, Behzad T. and Herschel I. Grossman; (1988), “The Theory of Rational Bubbles in Stock Prices”, The Economic Journal, 98(392), pp. 746-754.
• FRIEDMAN, Milton; (1953), Essays in Positive Economics, University of Chicago Press, United States. FROOT, Kenneth A. and Maurice Obstfeld; (1991), “Intrinsic Bubbles: The Case of Stock Prices”, American Economic Review, 81(5), pp. 1189–1214.
• HALL, Stephen George, Zacharias Psaradakis and Martin Sola; (1999), “Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test”, Journal of Applied Econometrics, 14(2), pp. 143–54.
• HARDOUVELIS, Gikas A.; (1988), “Evidence on Stock Market Speculative Bubbles: Japan, the United States, and Great Britain”, Federal Reserve Bank of New York Quarterly Review, (Sum), pp. 4–16.
• HART, Oliver D. and David M. Kreps; (1986), “Price Destabilizing Speculation”, Journal of Political Economy, 94(5), pp. 927- 952.
• HOMM, Ulrich and Jörg Breitung; (2012), “Testing for Speculative Bubbles in Stock Markets: A Comparison of Alter-native Methods,” Journal of Financial Econometrics, 10(1), pp. 198– 231.
• HORVATH, Michael T.K. and Mark W. Watson; (1995), “Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified”, Econometric Theory, 11(5), pp. 984-1014.
• JONES, Eric, Travis Oliphant, and Pearu Peterson; (2001), “{SciPy}: Open Source Scientific Tools for {Python}” http://www. scipy.org/, 15.01.2017.
• KOHN, Meir; (1978), “Competitive Speculation”, Econometrica, 46(5), pp. 1061–76.
• LAMBERT, Diane; (1992), “Zero-Inflated Poisson Regression, with an Application to Defects in Manufacturing”, Technometrics, 34(1), pp. 1–14.
• LAMONT, Owen; (1998), “Earnings and Expected Returns”, Journal of Finance, 53(5), pp. 1563–87.
• MEESE, Richard A.; (1986), “Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?”, Journal of Political Economy, 94(2), pp. 345–73.
• NASSEH, Alireza and Jack Strauss; (2004), “Stock Prices and the Dividend Discount Model: Did Their Relation Break Down in the 1990s?”, The Quarterly Review of Economics and Finance, 44(2), pp. 191–207.
• PHILLIPS, Peter C. B., Shuping Shi and Jun Yu; (2015), “Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500”, International Economic Review, 56(4), pp. 1043–78.
• PHILLIPS, Peter C. B., Yangru Wu and Jun Yu; (2011), “Explosive Behavior in The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?”, International Economic Review, 52(1), pp. 201–26.
• RAPPOPORT, Peter and Eugene White; (1994), “Was the Crash of 1929 Expected?”, American Economic Review, 84(1), pp. 271–81.
• SANTONI, Gary James; (1987), “The Great Bull Markets 1924- 29 and 1982-87: Speculative Bubbles or Economic Fundamentals?”, Federal Reserve Bank of St. Louis Review, (Nov), pp. 16–30.
• SHILLER, Robert J.;(1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?”, The American Economic Review, 71(3), pp. 421-436.
• VUONG, Quang. H.; (1989), “Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses”, Econometrica: Journal of the Econometric Society, 57(2), pp. 307–33.
• WEST, Kenneth D.; (1987), “A Specification Test for Speculative Bubbles”, The Quarterly Journal of Economics, 102(3), pp. 553–80.
• YANIK, Serhat and Yusuf Aytürk; (2011), “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, 2011(Temmuz), pp. 175–90.
• YU, Jung-Suk and M. Kabir Hassan; (2010), “Rational Speculative Bubbles in MENA Stock Markets”, Studies in Economics and Finance, 27(3), pp. 247–64.
• ZHONG, Maosen, Ali F. Darrat, and Dwight C. Anderson; (2003), “Do US Stock Prices Deviate from Their Fundamental Values? Some New Evidence”, Journal of Banking & Finance, 27(4), pp. 673–97.