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Is There A Rational Bubble In Bist 100 And Sector Indices?

Author

Listed:
  • KIRKPINAR, Aysegul

    (Dokuz Eylül University, Turkey.)

  • ERER, Elif

    (Ege University, Turkey.)

  • ERER, Deniz

    (Ege University, Turkey.)

Abstract

Global financial crises, which can stem from the bubbles in asset prices and which have been observed especially in the United States and Europe, have demonstrated once again how important the determination of bubbles is. The bubbles in question in financial markets are referred as excessive increase in asset prices. When considering the close relationship of rational bubbles with financial crises, the analysis and detection of them become even more important for investors, portfolio managers and market regulators. For this purpose, the aim of this study is to examine the existence of rational bubbles in Borsa Istanbul 100 Index (BIST 100) and some sector indices for the period of 1990-2015. For this, right-tailed unit root test, Sup Augmented Dickey-Fuller test and Generalized Sup Augmented Dickey-Fuller test have been used. As a result of the analyses, it has been observed that no rational bubbles existed in BIST 100 and the mentioned sector indices. Our findings may provide policy makers and both domestic and international investors in order to make appropriate decision and thus, to take a position in the markets.

Suggested Citation

  • KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
    • Handle: RePEc:vls:finstu:v:23:y:2019:i:3:p:21-33
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bubbles; BIST 100; sector indices; SADF; GSADF;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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