Multibubbles in Emerging Stock Markets

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KOY A.

Finans Politik ve Ekonomik Yorumlar Dergisi, cilt.55, sa.637, ss.95-109, 2018 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 55 Sayı: 637
  • Basım Tarihi: 2018
  • Dergi Adı: Finans Politik ve Ekonomik Yorumlar Dergisi
  • Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.95-109
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

Bubbles are deviations of financial asset prices from random walk process andhave been present in many stock markets in history. The purpose of the study isdetecting bubbles and their beginning and ending dates in ten emerging markets.By the help of Sup Augmented Dickey Fuller (SADF) and Generalized Sup AugmentedDickey Fuller (GSADF) tests, bubble events identified in ten emergingstock markets’ main equity indices (BIST100: Turkey, BOVESPA: Brazil, IDXComposite: Indonesia, IPC: Mexico, IPSA: Chile, KOSPI: South Korea, MCX:Russia, NIFTY50: India, QE All Shares: Qatar, WIG20: Poland) for the periodfrom January 2001 to July 2017. The results indicate that all of the emergingstock markets in our sample separated from their random walk more than onetime in the 2001-2017 period except WIG20.