DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH

Yıl 2021, , 21 - 36, 28.06.2021

Emrah Doğan

https://doi.org/10.36543/kauiibfd.2021.002

Öz

This study is to detect the presence of bubbles and to examine the possible contributions of the Covid-19 outbreak to bubble formation in futures markets. To assess the impacts of financial contagion, the daily data will be used for the period between December 1, 2019 and December 11, 2020. The empirical estimation strategy will be based on the generalized supremum augmented Dickey–Fuller (GSADF) test to examine whether there are bubbles in future markets. According to the estimation results obtained, the GSADF test statistics were found to be statistically significant for 8 future market indices selected for the study. This result reveals empirical evidence that the COVID-19 epidemic has contagion effects on future markets, causing bubble formation for 8 futures market indices. Therefore, the findings obtained in this study have obtained important findings regarding the development and spread of the contagion of the COVID-19 epidemic to financial markets.

Anahtar Kelimeler

Future Markets, COVID-19, Financial Contagion, Bubbles, Right-Tailed Unit Root Test, GSADF

DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURES MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH

Öz

Bu çalışma, vadeli işlem piyasalarında balonların varlığını ve Covid-19 salgınının vadeli işlem piyasalarında balon oluşumuna olası katkılarını incelemektedir. Çalışmada balonların varlığını ve finansal bulaşmanın etkilerini değerlendirmek için, 1 Aralık 2019 ile 11 Aralık 2020 dönemi arasındaki günlük veriler kullanılmıştır. Çalışmanın ampirik tahmin stratejisinde, Genelleştirilmiş SADF (GSADF) testine dayanılarak vadeli işlem piyasalarında balonların olup olmadığı tespit edilecektir. Elde edilen tahmin sonuçlarına göre GSADF test istatistikleri, çalışma için seçilen 8 vadeli işlem piyasası endeksi için istatiksel olarak anlamlı bulunmuştur. Bu sonuç, Covid-19 salgınının vadeli işlem piyasalarında bulaşıcı etkilere sahip olduğunu ve 8 vadeli işlem piyasası endeksi için balon oluşumuna neden olduğuna ilişkin ampirik kanıtlar ortaya koymaktadır. Bu nedenle çalışmada elde edilen bulgular, Covid-19 salgınının finansal piyasalara bulaşmasının gelişimi ve yayılmasına ilişkin önemli bulgular sunmaktadır.

Anahtar Kelimeler

Vadeli İşlem Piyasaları, COVID-19, Finansal Bulaşma, Balonlar, Sağ Kuyruklu Birim Kök Testi, GSADF

Kaynakça

• Ali, M., Alam, N., and Rizvi, S. A. R. (2020), “Coronavirus (COVID-19) – An epidemic or pandemic for financial markets”, Journal of Behavioral and Experimental Finance, 27, pp. 1-6.
• Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., and Dzuvor, C. (2020).,“Economic impacts of Wuhan 2019‐nCoV on China and the world”. Journal of Medical Virology, Vol. 92 No.5, pp. 473-475.
• Boissay F. and Rungcharoenkitkul P. (2020). “Macroeconomic effects of Covid-19: an early review”, BIS Bulletin, No. 7, 1-6.
• Broner, F., and Ventura, J. (2016), “Rethinking The Effects of Financial Globalization”, The Quarterly Journal of Economics,Vol. 131 No. 3, 1497-1542.
• Cepoi, C-O. (2020), “Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil”, Finance Research Letters, 36, 1-5.
• Chiu, C. L., and Chou, K. H. (2020), “The soft commodities multiple bubbles tests: evidence from the New York Futures Markets”, Applied Economics Letters, 1-6.
• Contessi, S., and De Pace, P. (2020), “The international spread of COVID-19 stock market collapses”. Pomona Economics, 9.
• Çoban, O., Coşkun, Ö., and Çoban, A. (2020), “The impact of the Covid-19 crisis on financial markets: The case of Turkey”, Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19 (COVID-19 Special Issue), 506-519.
• Demir, F., Karabıyık, A., Ermişoğlu, E., and Küçük, A. (2008), “ABD Mortgage Krizi. BDDK Çalışma Tebliği, 3, 1-118.
• Erarslan, C. (2016), “Küresel Finansal Krizi Anlamak”, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 5 No.1, pp. 79-99.
• Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. and Tahir, M. (2020), “The impact of massive infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China”, Social Science Research Network Report.
• Gharib, C., Mefteh-Wali, S., and Jabeur, S. B. (2020), “The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets”, Finance research letters, Vol. 38.
• Gürsoy, S., Tunçel, M. B., and Sayar, B. (2020), “Koronavirüsün (COVID-19) finansal göstergeler üzerine etkileri” Ekonomi Maliye İşletme Dergisi, Vol.3 No.1, pp. 20-32.
• International Monetary Fund (2020), World Economic Outlook, Chapter 1, the Great Lockdown, April.
• Malkiel, B. G. (2010), “Bubbles in asset prices”. CEPS Working Paper, No. 200, pp. 1-21.
• Mao, Q., Ren, Y. and Loy, J.-P. (2020), "Price bubbles in agricultural commodity markets and contributing factors: evidence for corn and soybeans in China", China Agricultural Economic Review, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/CAER-10-2019-0190.
• Moser, T. (2003), “What is international financial contagion? International Finance, Vol. 6 No.2, pp. 157-178.
• Murphy, E. V. (2012), “What Is Systemic Risk? Does It Apply to Recent JP Morgan Losses?” Congressional Research Service.
• Pereira, D. (2018), “Financial contagion in the BRICS stock markets: An empirical analysis of the Lehman Brothers collapse and European sovereign debt crisis”, Journal of Economics and Financial Analysis, Vol. 2 No.1, 1-44.
• Phillips, P. C. B., Shi, S. and Yu J. (2015), “Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, Vol. 56 No.4, pp. 1043-1078.
• Račickas, E., and Vasiliauskaitė, A. (2011), “Channels of financial risk contagion in the global financial markets”, Economics and Management, 16.
• Sansa, N. A. (2020), “The impact of the COVID-19 on the financial markets: Evidence from China and USA”, Electronic Research Journal of Social Sciences and Humanities, Vol. 2 No. 2, pp. 29-39.
• Shirinov, N., Huseynov, F., and Shamilov(2020), T. DETECTING BUBBLES IN OIL MARKET USING SADF APPROACH: CASES OF WTI AND BRENT OIL FUTURES. International Journal of Social Science and Economic Research, Vol. 5, No. 6.
• Wang, W., and Enilov, M. (2020), “The global impact of COVID-19 on financial market”. Available at SSRN: https://ssrn.com/abstract=3588021.
• Zeren, F., and Hızarcı, A. (2020), “The impact of COVID-19 coronavirus on stock markets: Evidence from selected countries”, Muhasebe ve Finans İncelemeleri Dergisi, Vol. 3 No.1, pp. 78-84.