ULUSLARARASI HİSSE SENEDİ PİYASALARINDA ÖZYİNELEMELİ ESNEK TAHMİNLEME İLE ÇOKLU BALONLARIN BELİRLENMESİ

Bu çalışmada, birçok gelişmiş ve gelişmekte olan hisse senedi piyasalarındaki çoklu rasyonel balonlar incelenmeye çalışılmıştır. Ocak 2002- Nisan 2017 dönemi için 39 hisse senedi piyasalarının aylık karpayı getirilerine genelleştirilmiş eküs genişletilmiş Dickey Fuller (GSADF) testi kullanılmıştır. Bu ekonometrik çerçeve çoklu rasyonel bolanların tarihlerini saptamaya izin vermekte ve dahası özyinelemeli esnek tahminleme aracılığı ile standard birim kök testlerinin üzerinde bir performans göstermektedir. Çalışmanın ampirik sonuçları ele alınan ülke piyasalarının çoğunda rasyonel balonların varlığı güçlü bir biçimde kanıtlamaktadır. Son olarak, hisse senedi piyasalarındaki rasyonel balonların 2007-08 global finansal kriz dönemi etrafında olduğu bulunmuştur.

Anahtar Kelimeler:

Rasyonel balonlar, hisse senedi piyasası, global finansal kriz, özyinelemeli esnek tahminleme

DETECTING MULTIPLE BUBBLES IN INTERNATIONAL STOCK MARKETS WITH RECURSIVE FLEXIBLE WINDOWS

In this paper, we try to examine the multiple rational bubbles in several developed and emerging stock markets. We employ the generalized sup augmented Dickey-Fuller (GSADF) test on the monthly dividend yield series of 39 stock markets for the period from January 2002 to April 2017. This econometric framework allows us to date-stamp the multiple rational bubbles and furthermore outperforms the standard unit root tests through its recursive flexible estimation window. The empirical results strongly confirm the existence of rational bubbles in most of the analyzed stock markets. Finally, it was found out that the rational bubbles in the stock markets occurred around the 2007-08 global financial turmoil.

Keywords:

Rational bubbles, stock market, global financial crisis, recursive fexible window,

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