İMKB de Spekülatif Şişkinlerin Test Edilmesi

Abstract

Bu çalışmanın amacı İMKB'de spekülatif şişkinliklerin varlığının süre verisi (duration) modeli ile test edilmesidir. Bu amaçla İMKB'deki hisse senedi fiyatlarında süre bağımlılığı olup olmadığı McQueen ve Thorley (1994)'nin yaklaşımı kullanılarak farklı sektörler bazında araştırılmaktadır. Verilerin başlangıç tarihi IMKB 100

Kripto Paralarda Fiyat Balonu Keşfi: COVID-19 Pandemi Dönemi Üzerine Bir Araştırma

“…The first study investigating the presence of financial balloons in stock exchange markets is the one carried out by Diba and Grossman in year 1985 and, since then, many other researchers examined the presence of balloons in stock exchange markets. Among the researchers, Brooks and Katsaris (2003), Altay (2008), Jiang et al (2010), Asako and Liu (2013), Anderson and Brooks (2014), Rotermann and Wilfling (2014), Baldi et al (2016), Tran (2017), Çağlı and Mandacı (2017), Anavatan and Kayacan (2018), He et al (2018), Akkaya (2018), Nartea et al (2018), Çıtak (2019), and Kılıç (2020) detected the financial balloons in stock exchange markets, Dezhbakhsh and Demirgüç-Kunt (1990), Chan et al (1998), Taşçı and Okuyan (2009), Yu and Hassan (2010), Yanık and Aytürk (2011), and Bozoklu and Zeren (2013) reported that there were no financial balloons in stock exchange markets.…”

An empirical comparison of stock market bubbles

“…There are various studies to test the existence of bubbles in the Turkish stock market with the help of employing different econometric methods. For example, Tasci and Okuyan (2009), Yu and Hasan (2010), and Yanık and Ayturk (2011) employ duration tests, while Ogut et al (2009) uses Artificial and Neural Networks and Support Machine. Parvar and Waters (2010) and Bozoklu and Zeren (2013) examine cointegration.…”

Türkiye Hisse Senedi Piyasasında Spekülatif Balon Varlığının Ampirik İncelenmesi

“…Regarding the uses of different methologies, these studies yield mixed findings. In the existing literature, some studies suggest that there are speculative price (Taşçı and Okuyan, 2009;Yu and Hassan, 2010;Yanık ve Aytürk, 2011;Chang et al, 2016;Liaqat et al, 2018;), while others find no such correlation (Korkmaz et al, 2016;Koy, 2018).…”