FİNANSAL PİYASALARDA VARLIK BALONU İNCELENMESİ: GSADF YAKLAŞIMI

Öz

2005 ve 2021 yılları arasındaki dönemin dikkate alındığı bu çalışmada, hisse senedi (TL ve dolar bazında), tahvil, CDS, altın ve döviz gibi beş farklı finansal piyasanın haftalık frekansta kapanış fiyatları kullanılarak, bu fiyatlarda balon varlığı incelenmiştir. Hem finansal ve salgın dönemini içeren kriz, hem de kriz dışı periyotlarında geçerli olmak üzere altın, CDS ve tahvil piyasalarında fiyatlarda balon oluşumunu gösteren anlamlı bulgular elde edilmiştir. Bulgulara göre homoskedastik ve heteroskedastik modellerinde tek ve çift yönlü olmak üzere nedensellik ilişkilerine rastlanmıştır. Bu ilişkinin en çok CDS, altın ve hisse senedi piyasaları ile döviz piyasası arasındaki homoskedastik varsayımların geçerli olduğu model altında belirginleşmektedir.

Anahtar Kelimeler

• Varlık Balonu
• GSADF
• Hareketli Nedensellik
• COVID-19
• Bulaşma

IDENTIFICATION OF MULTIPLE BUBBLES IN TURKISH FINANCIAL MARKETS: EVIDENCE FROM GSADF APPROACH

Öz

This study examines the explosive behavior in the five local market prices of stock indices (in USD and TRY), bond, CDS, gold, and currency exchange rate of USDTRY at weekly observations over the sample period between 2005 and 2021. We find strong evidence of bubble formations in bond, gold, and currency markets during the crisis (financial and pandemic, such as ongoing COVID-19 outbreak) and non-crisis periods. The findings show both unidirectional and bidirectional causal linkages under the homoscedasticity and heteroscedasticity assumptions. Additionally, the causation is most pronounced under the homoscedastic model between the currency market with the CDS, gold, and stock markets.

Anahtar Kelimeler

• Bubbles
• GSADF
• Recursive Evolving Causality
• COVID-19
• Contagion

Kaynakça

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