Cilt 5, Sayı 9, Sayfalar 17 - 31 2014-01-10

TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI

Şeref Bozoklu [1] , Fatma Zeren [2]

747 1146

In this paper, the presence of rational bubbles is examined in Borsa Istanbul stock exchange market over the period January 1998-April 2013 by means of traditional and hidden cointegration tests. The empirical results indicate that there is hidden cointegration between stock price index and dividend index, and therefore rational bubbles does not exist in the stock market.
Bu çalışmada Borsa İstanbul hisse senedi piyasasında rasyonel köpüklerin varlığı Ocak 1998-Nisan 2013 dönemi için geleneksel ve saklı eşbütünleşme testleri aracılığıyla araştırılmaktadır. Ampirik sonuçlar hisse senedi fiyat endeksi ile getiri endeksi arasında saklı eşbütünleşme ilişkisinin olduğunu ve dolayısıyla hisse senedi piyasasında rasyonel köpüğün bulunmadığını göstermektedir.
  • BLANCHARD, Oliver, (1979), “Speculative bubbles, crashes, and rational expectations” Economics Letters, Vol.3, No.4, p. 387-389.
  • BLANCHARD, Oliver J. and WATSON, Mark W. (1982), Bubbles, Rational Expectations and Financial Markets, içinde Crises in the Economic and Financial Structure, ed. Paul Wachtel, Lexington, MA: Lexington Books.
  • BOUCHER, Christophe, (2003), Testing for Rational Bubbles with Time Varying Risk Premium and Non-Linear Cointegration: Evidence from the US and French Stock Markets, Research Paper, Université Paris-Nord
  • CAMPBELL, John Y. and SHILLER, Robert J. (1988), “The dividend–price ratio and expectations of future dividends and discount factors”, Review of Financial Studies, Vol. 1, No. 3, p. 195-228.
  • CAMPBELL, John Y. , LO, W. Andrew and MacKINLAY, A. Craig, (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
  • CHEN, Shyh-Wei and SHEN, Chung-Hua (2009), “Can the Nonlinear Present Value Model Explain the Movement of Stock Prices?”, International Research Journal of Finance and Economics, 23, p. 155-170.
  • CHRISTOPOULOS, Dimitris K. and LE´ON-LEDESMA Miguel A. (2010) “Revisiting The Real Wages–Unemployment Relationship. New Results From Non-Linear Models” Bulletin of Economic Research, Vol. 62, No.1, p. 80-96.
  • CRAINE, Roger, (1993), “Rational bubbles: A test”, Journal of Economic Dynamics and Control, Vol. 17, No. 5-6, p. 829–846. DIBA, Behzad T. and GROSMANN, Herschel I. (1987), “On the inception of Rational Bubbles”, Quaterly Journal of Economics,Vol. 102, No. 3, p. 697-700.
  • DIBA, Behzad T. and GROSMANN, Herschel I. (1988a), “The theory of rational bubbles in stock prices”, Economic Journal, Vol. 98, No. 392, p. 746-754.
  • DIBA, Behzad T. and GROSMANN, Herschel I. (1988b), “Explosive rational bubbles in stock prices?”, American Economic Review, Vol.78, No. 3, p. 520-530.
  • DRIFFILL, John and SOLA, Martin, (1998), “Intrinsic bubbles and regime switching”, Journal of Monetary Economics, Vol. 42, No. 2, p. 357-373.
  • EVANS, George. W. (1991), “Pitfalls in testing for explosive bubbles in asset prices”, American Economic Review, Vol. 81, No. 4, p.922-930.
  • FAMA, Eugene, (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, No. 2, p. 383-417.
  • FROOT, Kenneth A. and OBSTFELD, Maurice, (1991), “Intrinsic bubbles: The case of stock prices”, American Economic Review, Vol. 81, No. 5, p. 1189-1214.
  • GRANGER, Clive W. J and YOON, Gawon (2002), Hidden cointegration, Department of Economics Working Paper, University of California, San Diego, CA.
  • GÜRKAYNAK, Refet S. (2008), “Econometric Tests of Asset Price Bubbles: Taking Stock”, Journal of Economic Surveys, Vol. 22, No. 1, p. 166-186.
  • HALL, Stephan G., PSARADAKIS, Zacharias and SOLA, Martin (1999), “Detecting periodically collapsing bubbles: a Markov-switching unit root test”, Journal of Applied Econometrics, 14, p. 143-154.
  • HATEMI-J, Abdulnasser and IRANDOUST, Manuchehr (2012), “Asymmetric interaction between government spending and terms of trade volatility”, Journal of Economic Studies Vol. 39, No. 3, pp.368-378.
  • IKEDA, Shinsuke and SHIBATA, Akihisa, (1992), “Fundamentals-dependent Bubbles in stock prices”, Journal of Monetary Economics, Vol. 30, No.1, p.143-168.
  • KORTAIN, Tro, (1995), Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature, Research Discussion Paper 9501, International Department and Economic Research Department Reserve Bank of Australia.
  • KOUSTAS, Zisimos and SERLETIS, Apostolos, (2005), “Rational bubbles or persistent deviations from market fundamentals?”, Journal of Banking and Finance, Vol. 29, No. 10, p. 2523-2539.
  • MA, Yue and KANAS, Angelos, (2004), Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting, Journal of Forecasting, Vol. 23, No. 4, p. 237-250.
  • NUNES, Mauricio and SERGIO, Da Silva, (2008), “Explosive and periodically collapsing bubbles in emerging stockmarkets”, Economics Bulletin, Vol. 3, No. 46, p. 1-18.
  • O’HARA, Maureen, (2008) “Bubbles: Some Perspective (and Loose Talk) from History”, The Review of Financial Studies,Vol 21, No: 1, p. 11-17.
  • PARVAR, Mohammad R. Jahan and WATERS, George A. (2010), Equity price bubbles in the Middle Eastern and North African Financial Markets, Emerging Markets Review, Vol. 11, p. 39- 48
  • PHILLIP, Peter C. B. and YU, Jun (2011), "Dating the timeline of financial bubbles during the subprime crisis, Quantitative Economics, 2, p. 455–491
  • SCHALLER, Huntley and VAN NORDEN, Simon, (2002), “Fads or bubbles?”, Empirical Economics, Vol. 27, No. 2, p.335-362.
  • TAŞÇI, H. Mehmet ve OKUYAN H. Aydın, (2009), “Testing for Speculative Bubbles on ISE”, Journal of Dogus University, Vol. 10, No. 2, p. 272-283.
  • TAYLOR, Mark P. and PEEL, David A. (1998), “Periodically collapsing stock price bubbles: a robust test”, Economics Letters, Vol. 61, p. 221-228.
  • VAN NORDEN, Simon and SCHALLER, Huntley, (1993), “The predictability of stock market regime: evidence from the Toronto stock exchange”, Review of Economics and Statistics, Vol.75, No.3, p. 505-510.
  • VAN NORDEN, Simon and SCHALLER, Huntley, (1999), Speculative behavior, regimeswitching, and stock market crashes, içinde: Nonlinear Time Series Analysis of Economic and Financial Data, ed. Philip Rothman, London: Springer.
  • VAN NORDEN, Simon and VIGFUSSON, Robert, (1998), “Avoiding the pitfalls: can regimeswitching tests reliably detect bubbles?”, Studies in Nonlinear Dynamics and Econometrics, 3, p. 122.
  • VISSING-JORGENSEN, Annete, (2003), Perspectives on behavioural finance: does irrationality disappear with wealth? Evidence from expectations and actions, içinde: NBER Macroeconomics Annual 2003, ed. Mark Gertler and Kenneth Rogoff, The MIT Press, Massachusetts.
  • YANIK, Serhat ve AYTÜRK, Yusuf, (2011), “Rational Speculative Bubbles in Istanbul Stock Exchange”, Muhasebe ve Finansman Dergisi, Temmuz/2011, p. 175-190
  • YU, Junk-Suk and HASSAN, M. Kabir (2010), “Rational Speculative Bubbles in MENA Stock Markets”, Studies in Economics and Finance, Vol. 27, No. 3, p. 247-264.
Birincil Dil tr
Konular
Dergi Bölümü Makaleler
Yazarlar

Yazar: Şeref Bozoklu
E-posta: sbozoklu@istanbul.edu.tr

Yazar: Fatma Zeren
E-posta: fatma.zeren@inonu.edu.tr

Bibtex @ { marufacd4557, journal = {Finansal Araştırmalar ve Çalışmalar Dergisi}, issn = {1309-1123}, address = {Marmara Üniversitesi}, year = {2014}, volume = {5}, pages = {17 - 31}, doi = {}, title = {TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI}, language = {tr}, key = {cite}, author = {Bozoklu, Şeref and Zeren, Fatma} }
APA Bozoklu, Ş , Zeren, F . (2014). TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI. Finansal Araştırmalar ve Çalışmalar Dergisi, 5 (9), 17-31. Retrieved from http://e-dergi-marmara.dergipark.gov.tr/marufacd/issue/501/4557
MLA Bozoklu, Ş , Zeren, F . "TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI". Finansal Araştırmalar ve Çalışmalar Dergisi 5 (2014): 17-31 <http://e-dergi-marmara.dergipark.gov.tr/marufacd/issue/501/4557>
Chicago Bozoklu, Ş , Zeren, F . "TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI". Finansal Araştırmalar ve Çalışmalar Dergisi 5 (2014): 17-31
RIS TY - JOUR T1 - TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI AU - Şeref Bozoklu , Fatma Zeren Y1 - 2014 PY - 2014 N1 - DO - T2 - Finansal Araştırmalar ve Çalışmalar Dergisi JF - Journal JO - JOR SP - 17 EP - 31 VL - 5 IS - 9 SN - 1309-1123- M3 - UR - Y2 - 2017 ER -
EndNote %0 Finansal Araştırmalar ve Çalışmalar Dergisi TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI %A Şeref Bozoklu , Fatma Zeren %T TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI %D 2014 %J Finansal Araştırmalar ve Çalışmalar Dergisi %P 1309-1123- %V 5 %N 9 %R %U