Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği

Afşar, Muharrem; Afşar, Aslı; Doğan, Emrah

doi:10.18070/erciyesiibd.461888

Cited by 4 publications

(1 citation statement)

References 35 publications

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“…The literature has paid critical attention by several researchers and financial analysts to an everincreasing degree of issuing digital assets in the context of their efficiency and effectiveness compared to other financial assets (Ceylan et al, 2018;Afşar, 2019;Hepkorucu and Genç, 2019;Mete et al, 2019). In particular, a bulk of studies have been done to explore the nature of the effects of the COVID-19 pandemic on selling and buying behaviors of financial investors, which have been rapidly increased in the Coronavirus outbreak (Keçeci, 2020;Polat and Tuncel, 2020;Şahin, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

Cryptocurrencies, Covid-19 Pandemic and the Financial Bubbles: The Case of Top Five Digital Assets

Özdemir

2021

Hitit Sosyal Bilimler Dergisi

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This study explores the bubble behavior in the prices of top five cryptocurrencies (i.e., Bitcoin, Ethereum, Ripple, Stellar, and Tether) using daily data of the closing level at the COVID-19 pandemic, covering the period from January 2, 2020 to January 2, 2021. The testing procedure of the bubble behavior in selected cryptocurrency prices is investigated by two methodologies, which are rarely applied in the relevant literature. Those covers the test statistics originated by the Supremum Augmented Dickey-Fuller (SADF) (Phillips et al., 2011) and Generalized Supremum Augmented Dickey-Fuller (GSADF) (Phillips et al., 2015) to define several bubble periods. The empirical results emphasize that bubble behavior is not a diverse and stable feature of Bitcoin, Ethereum, Ripple, and Stellar prices, except the Tether prices, which point out the emergence of a potential crisis in the digital assets market through an increasing degree of financial instability.

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Section: Literature Reviewmentioning

confidence: 99%

Cryptocurrencies, Covid-19 Pandemic and the Financial Bubbles: The Case of Top Five Digital Assets

Özdemir

2021

Hitit Sosyal Bilimler Dergisi

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Identification of Multiple Bubbles in Turkish Financial Markets: Evidence From Gsadf Approach

Gök

2021

Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi

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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.

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Finansal Piyasalardaki Spekülatif Balonların Araştırılması: Döviz Piyasası Örneği

Gülcan

Boyacioğlu

HÖL

2021

Süleyman Demirel Üniversitesi Vizyoner Dergisi

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Financial bubbles are described as the deviation of the market values of financial assets from their core values. They are one of the main indicators for the financial crises by negatively affecting the markets due to the constant overvaluation of the assets. Therefore, investigating the presence of financial bubbles and determining the reasons are of great importance for investors, market regulators, and portfolio managers in terms of investment risk and price stability. In the study, the presence of bubbles in the foreign exchange market is investigated by considering the most traded currencies such as the US Dollar, Euro, Japanese Yen, British Pound, and Chinese Yuan. For this purpose, the daily price data for the period between 03.01.2005-20.11.2019 for the US Dollar/Turkish Lira, Euro/Turkish Lira, British Pound/Turkish Lira, and Chinese Yuan/Turkish Lira, and the daily price data belonging to 28.08.2013-20.11.2019 period for Japanese Yen/Turkish Lira are used. Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests are used to determine the bubbles in aforementioned exchange rates. The results indicate findings regarding the formation of financial bubbles in the foreign exchange market in Turkey.

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Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği

Cited by 4 publications

References 35 publications

Cryptocurrencies, Covid-19 Pandemic and the Financial Bubbles: The Case of Top Five Digital Assets

Cryptocurrencies, Covid-19 Pandemic and the Financial Bubbles: The Case of Top Five Digital Assets

Identification of Multiple Bubbles in Turkish Financial Markets: Evidence From Gsadf Approach

Finansal Piyasalardaki Spekülatif Balonların Araştırılması: Döviz Piyasası Örneği

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