FİNANSAL PİYASALARDA VARLIK BALONU İNCELENMESİ: GSADF YAKLAŞIMI

Yıl 2021, Cilt: 43 Sayı: 2, 231 - 252, 31.12.2021

Remzi Gök

https://doi.org/10.14780/muiibd.1051781

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

• Afşar, M., Afşar, A., & Doğan, E. (2019). Döviz balonlarinin tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 54, 447–460.
• Balcilar, M., Gupta, R., Jooste, C., & Wohar, M. E. (2016). Periodically collapsing bubbles in the South African stock market. Research in International Business and Finance, 38, 191–201.
• Baur, D. G. & Glover, K. (2012). A gold bubble? SSRN Electronic Journal Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2166636.
• Bertus, M. & Stanhouse, B. (2001). Rational speculative bubbles in the gold futures market: an application of dynamic factor analysis. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(1), 79–108.
• Bettendorf, T. & Chen, W. (2013). Are there bubbles in the sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters, 120(2), 350–353.
• Bialkowski, J., Bohl, M. T., Stephan, P. M., & Wisniewski, T. P. (2015). The gold price in times of crisis. International Review of Financial Analysis, 41, 329–339.
• Blanchard, O. J. & Watson, M. W. (1982). Bubbles, rational expectations and financial markets. U.S. National Bureau of Economic Research (NBER) Reports, No. 0945.
• Brunnermeier, M. K. (2008). Bubbles. In Lawrence Blume and Durlauf, Steven (Eds.), New Palgrave Dictionary of Economics, Second Edition (pp. 1–16). London, UK: Palgrave Macmillan. Retrieved from http://scholar.princeton.edu/sites/default/files/bubbles_survey_0.pdf
• Caspi, I., Phillips, P. C. B., & Shi, S. (2018). Real time monitoring of asset markets with psymonitor. R package version 0.0.1. URL: https://itamarcaspi.github.io/psymonitor
• Chan, H. L., Lee, S. K., Woo, & K. Y. (2003). An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations. International Review of Economics Finance, 12(3), 327–344.
• Chang, T., Gil-Alana, L., Aye, G. C., Gupta, R., & Ranjbar, O. (2016). Testing for bubbles in the BRICS stock markets. Journal of Economic Studies, 43(4), 646–660.
• Chiu, C. L. & Yeh, C. C. (2019). Whether the multiple bubbles exist in the bond markets of developed countries? International Journal of Information and Management Sciences, 30(2019), 271–282.
• Çağlı, E. Ç. & Mandacı, P. E. (2017). Borsa İstanbul’da rasyonel balon varlığı: sektör endeksleri üzerine bir analiz. Finans Politik Ekonomik Yorumlar, 54(629), 63–76.
• Çelik, I., Akkuş, H. T., & Gülcan, N. (2019). Investigation of rational bubbles and volatility spillovers in commodity markets: evidences from precious metals. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(3), 936–951.
• Çıtak, F. (2019). Türkiye hisse senedi piyasasinda spekülatif balon varliğinin ampirik incelenmesi. Uluslararası Ekonomi ve Yenilik Dergisi, 5(2), 247–262.
• Deev, O., Kajurová, V., & Stavárek, D. (2014). Rational speculative bubbles in central European emerging stock markets. Eastern European Economics, 52(4), 47–91.
• Delis, M. D. & Mylonidis, N. (2011). The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps. Finance Research Letters, 8(3), 163-170.
• Diba, B. T. & Grossman, H. I. (1984). Rational bubbles in the price of gold. U.S. National Bureau of Economic Research (NBER) Reports, No. 1300.
• Diba, B. T. & Grossman, H. I. (1988). Explosive rational bubbles in stock prices? The American Economic Review, 78(3), 520–530.
• El-Montasser, G., Fry, J., & Apergis, N. (2016). Explosive bubbles in the US–China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal, 9(1), 34–46.
• Elike, U. & Anoruo, E. (2017). Testing for explosive bubbles in the south African-US exchange rate using the sequential ADF procedures. Banks and Bank Systems, 12(1), 105–112.
• Evans, G. W. (1986). A test for speculative bubbles in the sterling-dollar exchange rate: 1981-84. The American Economic Review, 76(4), 621–636.
• Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review, 81(4), 922–930.
• Froot, K. & Obstfeld, M. (1991). Intrinsic bubbles: the case of stock prices. American Economic Review, 81, 1189–1214.
• Gharib, C., Mefteh-Wali, S., & Jabeur, S. B. (2021). The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. Finance Research Letters, 38, 101703.
• Gök, R. & Kara, E. (2021). Testing for causality among cds, interest, and exchange rates: new evidence from the granger coherence analysis. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(2), 427–445.
• Gök, R. (2020). Causality between stock market and macroeconomic variables in Turkey: new evidence from wavelet coherence analysis. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 56, 229–254.
• Gök, R. & Çankal, E. (2020). Granger causal relationship between bond yield changes and equity returns through wavelets analysis: The case of Turkey. Ege Academic Review, 20(4), 301–317.
• Gomez-Gonzalez, J. E., Ojeda-Joya, J. N., Franco, J. P., & Torres, J. E. (2017). Asset price bubbles: existence, persistence and migration. South African Journal of Economics, 85(1), 52–67.
• Gürkaynak, R. S. (2008). Econometric tests of asset price bubbles: taking stock. Journal of Economic Surveys, 22(1), 166–186.
• Hall, S. G., Psaradakis, Z., & Sola, M. (1999). Detecting periodically collapsing bubbles: a markov-switching unit root test. Journal of Applied Econometrics, 14(2), 143–154.
• Harvey, D. I., Leybourne, S. J., Sollis, R., & Taylor, A. R. (2016). Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance, 38, 548–574.
• Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (2013). Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller Statistics. Journal of Econometrics, 177(2), 265–284.
• Hassan, M. K., Kayhan, S., & Bayat, T. (2017). Does credit default swap spread affect the value of the Turkish lira against the US dollar? Borsa Istanbul Review, 17(1), 1–9.
• He, Q., Qian, Z., Fei, Z., & Chong, T. T. L. (2019). Do speculative bubbles migrate in the Chinese stock market? Empirical Economics, 56(2), 735–754.
• Homm, U. & Breitung, J. (2012). Testing for speculative bubbles in stock markets: a comparison of alternative methods. Journal of Financial Econometrics, 10(1), 198–231.
• Hu, Y. & Oxley, L. (2017). Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling, 64, 419–442.
• Huston, J. H. & Spencer, R. W. (2018). Quantitative easing and asset bubbles. Applied Economics Letters, 25(6), 369–374.
• Jahan-Parvar, M. R. & Waters, G. A. (2010). Equity price bubbles in the middle eastern and north African financial markets. Emerging Markets Review, 11(1), 39–48.
• Jalan, A., Matkovskyy, R., & Potì, V. (2021). Shall the winning last? A study of recent bubbles and persistence. Finance Research Letters, Article e102162.
• Jiang, C., Wang, Y., Chang, T., & Su, C. W. (2015). Are there bubbles in Chinese RMB–dollar exchange rate? evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120–6135.
• Jirasakuldech, B., Emekter, R., & Went, P. (2006). Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies. Applied Financial Economics, 16(3), 233–243.
• Kanda, P., Burke, M., & Gupta, R. (2018). Time-varying causality between equity and currency returns in the United Kingdom: evidence from over two centuries of data. Physica A: Statistical Mechanics and its Applications, 506, 1060–1080.
• Korkmaz, Ö. (2018). The relationship between bitcoin, gold, foreign exchange returns: the case of Turkey. Turkish Economic Review, 5(4), 359–374.
• Korkmaz, Ö., Erer, D., & Erer, E. (2016). Alternatif yatırım araçlarında ortaya çıkan balonlar Türkiye hisse senedi piyasasını etkiliyor mu? BIST100 üzerine bir uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 10(2), 29–61.
• Lamoen, R., Mattheussens, S., & Dröes, M. (2017). Quantitative easing and exuberance in government bond markets: evidence from the ECB's expanded asset purchase program. De Nederlandsche Bank Working Paper. No. 548.
• Liaqat, A., Nazir, M. S., & Ahmad, I. (2018). Identification of multiple stock bubbles in an emerging market: application of GSADF approach. Economic Change and Restructuring, 52(3), 301–326.
• Long, W., Li, D., & Li, Q. (2016). Testing explosive behavior in the gold market. Empirical Economics, 51(3), 1151–1164.
• Maldonado, W. L., Ribeiro, J., & Tourinho, O. A. F. (2019). Testing four types of bubbles in BRICS exchange rates. Emerging Markets Finance and Trade, 1–21.
• Meese, R. A. (1986). Testing for bubbles in exchange markets: a case of sparkling rates? Journal of Political Economy, 94(2), 345–373.
• Narayan, P. K. (2020). Did bubble activity intensify during COVID-19? Asian Economics Letters, 1(2).
• Nazir, M. S., Mahmood, J., Abbas, F., & Liaqat, A. (2019). Do rational bubbles exist in emerging markets of SAARC? Journal of Economic and Administrative Sciences. 36(2), 163–182.
• Noorie, S., Meriç, E., Yildirim, S., & Esen, E. (2020). Analysis of the relationship between macroeconomic variables and BIST-30 stock returns. Business & Management Studies: An International Journal, 8(4), 500–522.
• Oliveira, M. A., Santos, C. (2015). Market exuberance in sovereign credit default swaps: assessing the EU regulatory framework and trading profit opportunities. Investment Management and Financial Innovations, 12(4), 70–80.
• Pan, W. F. (2018). Sentiment and asset price bubble in the precious metals markets. Finance Research Letters, 26, 106–111.
• Pavlidis, E. G., Paya, I., & Peel, D. A. (2017). Testing for speculative bubbles using spot and forward prices. International Economic Review, 58(4), 1191–1226.
• Phillips, P. C., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the SP500. International Economic Review, 56(4), 1043–1078.
• Phillips, P. C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s NASDAQ: when did exuberance escalate asset values? International Economic Review, 52(1), 201–226.
• Phillips, P. C. & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455–491.
• Shi, S., Phillips, P. C., & Hurn, S. (2018). Change detection and the causal impact of the yield curve. Journal of Time Series Analysis, 39(6), 966-987.
• Shiller, R. J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421–436.
• Taşçı, H. M. & Okuyan, H. A. (2009). İMKB’de spekülatif şişkinlerin test edilmesi. Doğuş Üniversitesi Dergisi, 10(2), 272–283.
• Tran, T. B. N. (2017). Speculative bubbles in emerging stock markets and macroeconomic factors: a new empirical evidence for Asia and Latin America. Research in International Business and Finance, 42, 454–467.
• Ural, M. (2021). Analyzing multiple bubbles in the USDKZT exchange rate using the GSADF test. Eurasian Research Journal, 3(2), 7-18.
• Vasilopoulos, K., Pavlidis, E., & Spavound, S. (2018). Econometric Analysis of Explosive Time Series. R Foundation for Statistical Computing. Vienna, Austria. URL: https://github.com/kvasilopoulos/exuber
• West, K. D. (1987). A specification test for speculative bubbles. The Quarterly Journal of Economics, 102(3), 553–580.
• Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? evidence from an alternative test. Journal of International Money and Finance, 14(1), 27–46.
• Yamaka, W. & Maneejuk, P. (2020). Analyzing the causality and dependence between gold shocks and Asian emerging stock markets: a smooth transition copula approach. Mathematics, 8(1), 120.
• Yanık, S. & Aytürk, Y. (2011). Rational speculative bubbles in Istanbul stock exchange. Muhasebe ve Finansman Dergisi, 51, 175–190.
• Yu, J. S. & Hassan, M. K. (2010). Rational speculative bubbles in MENA stock markets. Studies in Economics and Finance, 27(3), 247–264.
• Zeren, F., Yılancı, V. (2019). Are there multiple bubbles in the stock markets? further evidence from selected countries. Ekonomika (Economics), 98(1), 81–95.
• Zhao, Y., Chang, H. L., Su, C. W., & Nian, R. (2015). Gold bubbles: when are they most likely to occur? Japan and the World Economy, 34, 17–23.
• Zhao, Z., Wen, H., & Li, K. (2021). Identifying bubbles and the contagion effect between oil and stock markets: new evidence from China. Economic Modelling, 94, 780-788.