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Investigation of Speculative Bubbles in Financial Markets: The Example of Foreign Exchange Market

Yıl 2021, Cilt: 12 Sayı: 29, 176 - 187, 20.02.2021
https://doi.org/10.21076/vizyoner.729647

Öz

Financial bubbles are described as the deviation of the market values of financial assets from their core values. They are one of the main indicators for the financial crises by negatively affecting the markets due to the constant overvaluation of the assets. Therefore, investigating the presence of financial bubbles and determining the reasons are of great importance for investors, market regulators, and portfolio managers in terms of investment risk and price stability. In the study, the presence of bubbles in the foreign exchange market is investigated by considering the most traded currencies such as the US Dollar, Euro, Japanese Yen, British Pound, and Chinese Yuan. For this purpose, the daily price data for the period between 03.01.2005-20.11.2019 for the US Dollar/Turkish Lira, Euro/Turkish Lira, British Pound/Turkish Lira, and Chinese Yuan/Turkish Lira, and the daily price data belonging to 28.08.2013-20.11.2019 period for Japanese Yen/Turkish Lira are used. Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests are used to determine the bubbles in aforementioned exchange rates. The results indicate findings regarding the formation of financial bubbles in the foreign exchange market in Turkey. 

Kaynakça

  • Afşar, M., Afşar, A. and Doğan, E. (2019). Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (54), 447-460.
  • Akıncı, M., Yüce Akıncı, G. and Yılmaz, Ö. (2014). Lale Çılgınlığı’ndan Mortgage Krizi’ne spekülatif balonlar. Tarih Okulu Dergisi, 7(XIX), 719-749.
  • Altın, H. (2017). Türkiye’de döviz piyasalarda yaşanan fiyat hareketlerinin ölçülmesi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 9(2), 95-104.
  • Anavatan, A. and Yalçın Kayacan, E. (2018). BİST 100 Endeksi’nde balon etkisinin incelenmesi. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 5(1), 124-131.
  • Berke, B., Özcan, B. and Dizdarlar, H. I. (2014). Döviz piyasasının etkinliği: Türkiye için bir analiz. Ege Akademik Bakış, 14(4), 621-636.
  • Bettendorf, T. and Chen, W. (2013). Are there bubbles in the sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters 120, 350-353.
  • Blanchard, O. J. (1979). Speculative bubbles, crashes and rational expectations. Economic Letters, 3(4), 263-271.
  • Blanchard, O. J. and Watson, M. W. (1982). Bubbles, rational expectations and financial markets. (Working Paper No. 945). National Bureau of Economic Research.
  • CBRT Bulletin. (2014). Access address: https://www.tcmb.gov.tr/wps/wcm/connect/213a830b-7ed5-4ddc-93ed-c26f0545eb8d/Bulten33.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-213a830b-7ed5-4ddc-93ed-c26f0545eb8d-m3fB9EI, (17.03.2020).
  • Chan, K., McQueen, G. and Thorley, S. (1998). Are there rational speculative bubbles in Asian Stock Markets?, Pacific-Basin Finance Journal, 6(1), 125-151.
  • Chang, T., Gil-Alana, L., Aye, G. C., Gupta, R. and Ranjbar, O. (2016). Testing for bubbles in the BRICS Stock Markets. Journal of Economic Studies, 43(4), 646-660.
  • Demiröz, M. (2018). Kur balonu. Access address: https://www.gazetebirlik.com/yazarlar/kur-balon, (23.03.2020).
  • Deviren, B., Kocakaplan, Y., Keskin, M., Balcılar, M., Özdemir, Z. A. and Ersoy, E. (2014). Analysis of bubbles and crashes in the TRY/USD, TRY/EUR, TRY/JPY and TRY/CHF exchange rate within the scope of econophysics. Physica A 410, 414-420.
  • Dezhbakhsh, H. and Demirguc-Kunt, A. (1990). On the presence of speculative bubbles in stock prices. Journal of Financial and Quantitative Analysis, 25(1), 101-112.
  • Dowla, A. (1995). Efficiency of the black market for foreign exchange. International Economic Journal, 9(2), 89-100.
  • Eğilmez, M. (December, 2017). 2017'den 2018'e geçerken. Access address: http://www.mahfiegilmez.com/2017/12/2017den-2018e-gecerken.html, (17.03.2020).
  • Fama, E. (1970). Efficient capital markets: a review of theory and emprical work. Journal of Finance. 25(2), 383-417.
  • Flood, R. P. and Garber, P. M. (1980). Market fundamentals versus price-level bubbles: the first test. Journal of Political Economy, 88(4), 745-770.
  • Garber, P. M. (2000). Famous first bubbles: the fundamentals of early manias. MIT Press, Cambridge, MA.
  • Hu, Y. and Oxley, L. (2016). Are there bubbles in exchange rates? some new evidence from G10 and emerging markets countries. (Working Paper No. 5). University of Waikato Working Papers in Economics.
  • Jiang, C., Wang, Y., Chang, T. and Su, C. W. (2015). Are there bubbles in Chinese RMB-dollar exchange rate? evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120-6135.
  • Jirasakuldech, B., Emekter, R. and Went, P. (2006). Fundamental value hypothesis and return behavior: evidence from emerging equity markets. Review of Pacific Basin Financial Markets and Policies, 29(1), 97-127.
  • Korkmaz, Ö. (2018). The relationship between bitcoin, gold and foreign exchange retruns: the case of Turkey. Turkish Economic Review, 5(4), 359-374.
  • Korkmaz, Ö., Erer, D. and Erer, E. (2016). Alternatif yatırım araçlarında ortaya çıkan balonlar Türkiye hisse senedi piyasasını etkiliyor mu? BİST 100 üzerine bir uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 10(2), 29-61.
  • KPMG Bakış. (2016). Türkiye ve dünya ekonomisinde makro gelişmeler. Access address: https://assets.kpmg/content/dam/kpmg/tr/pdf/2016/10/tr-bakis-3.pdf, (14.03.2020).
  • Malkiel, B. G. (2010). Bubbles in asset prices. (Working Paper, No. 200). CEPS.
  • Maria, A. (2016). Periodically collapsing bubbles in exchange rates. University Applied Economics and Finance Master Thesis, 1-50.
  • Mayer, C. (2011). Housing bubbles: a survey. Annual Review Economics, 3(1), 559-577.
  • Phillips, P. C. B. and Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
  • Phillips, P. C. B., Shi, S. P. and Yu J. (2013). Testing for multiple bubbles 1: historical episodes of exuberance and collapse in the S&P 500. (Working Paper No. 4). Singapore Management University.
  • Phillips, P. C. B., Shi, S. P. and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011a). Explosive behavior in the 1990s NASDAQ: when did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011b). Testing for multiple bubbles. (Working Paper No. 1843), Cowles Foundation Discussion.
  • Rasekhi, S., Zahra, M. E. and Milad, S. (2017). Testing for multiple bubbles in İranian foreign exchange market: the application of RTADF unit root tests. The Journal of Economic Modeling Research, 7(27), 7-39.
  • Şentürk, M., Kayhan, S. and Bayat, T. (2016), Küresel finans krizi sonrasında merkez bankacılığı ve Türkiye Cumhuriyet Merkez Bankası. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(3), 146-160.
  • Steenkamp, D. (2017). How bubbly is the New Zealand Dollar?. Reserve Bank of New Zealand DP2017/03, 1-21.
  • Watanabe K., Takayasu H. and Takayasu, M. (2007). Extracting the exponential behaviors in the market data, Physica A: Statistical Mechanics and its Applications, 382(1), 336-339.
  • Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? evidence from an alternative test. Journal of International Money and Finance, 14(1), 27-46.

Finansal Piyasalardaki Spekülatif Balonların Araştırılması: Döviz Piyasası Örneği

Yıl 2021, Cilt: 12 Sayı: 29, 176 - 187, 20.02.2021
https://doi.org/10.21076/vizyoner.729647

Öz

Finansal varlıkların piyasa değerlerinin temel değerlerinden sapması olarak tanımlanan finansal balonlar, varlıkların piyasada sürekli aşırı değerlenmelerinden dolayı piyasaları olumsuz etkileyerek finansal krizlerin öncü göstergeleri olmaktadır. Böylece yatırımcılar, piyasa düzenleyiciler ve portföy yöneticileri açısından finansal balonların varlığının araştırılması ve nedenlerinin tespit edilmesi, yatırım riski ve fiyat istikrarı için büyük önem arz etmektedir. Bu çalışmada Amerikan Doları, Euro, Japon Yeni, İngiliz Sterlini ve Çin Yuanı olmak üzere en çok işlem gören para birimleri dikkate alınarak döviz piyasasındaki balonların varlığı araştırılmıştır. Bu amaç doğrultusunda çalışmada ABD Doları, Euro, İngiliz Sterlini ve Çin Yuanı için 03.01.2005-20.11.2019; Japon Yeni için de 28.08.2013-20.11.2019 dönemi günlük fiyat verileri kullanılmıştır. Söz konusu kurlardaki balonları belirlemek amacıyla Eküs-Genelleştirilmiş Dickey-Fuller (SADF) ve Genelleştirilmiş SADF (GSADF) testlerinden yararlanılmıştır. Çalışma sonucunda Türkiye döviz piyasasında finansal balonların oluşumuna yönelik bulgulara ulaşılmıştır. 

Kaynakça

  • Afşar, M., Afşar, A. and Doğan, E. (2019). Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (54), 447-460.
  • Akıncı, M., Yüce Akıncı, G. and Yılmaz, Ö. (2014). Lale Çılgınlığı’ndan Mortgage Krizi’ne spekülatif balonlar. Tarih Okulu Dergisi, 7(XIX), 719-749.
  • Altın, H. (2017). Türkiye’de döviz piyasalarda yaşanan fiyat hareketlerinin ölçülmesi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 9(2), 95-104.
  • Anavatan, A. and Yalçın Kayacan, E. (2018). BİST 100 Endeksi’nde balon etkisinin incelenmesi. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 5(1), 124-131.
  • Berke, B., Özcan, B. and Dizdarlar, H. I. (2014). Döviz piyasasının etkinliği: Türkiye için bir analiz. Ege Akademik Bakış, 14(4), 621-636.
  • Bettendorf, T. and Chen, W. (2013). Are there bubbles in the sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters 120, 350-353.
  • Blanchard, O. J. (1979). Speculative bubbles, crashes and rational expectations. Economic Letters, 3(4), 263-271.
  • Blanchard, O. J. and Watson, M. W. (1982). Bubbles, rational expectations and financial markets. (Working Paper No. 945). National Bureau of Economic Research.
  • CBRT Bulletin. (2014). Access address: https://www.tcmb.gov.tr/wps/wcm/connect/213a830b-7ed5-4ddc-93ed-c26f0545eb8d/Bulten33.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-213a830b-7ed5-4ddc-93ed-c26f0545eb8d-m3fB9EI, (17.03.2020).
  • Chan, K., McQueen, G. and Thorley, S. (1998). Are there rational speculative bubbles in Asian Stock Markets?, Pacific-Basin Finance Journal, 6(1), 125-151.
  • Chang, T., Gil-Alana, L., Aye, G. C., Gupta, R. and Ranjbar, O. (2016). Testing for bubbles in the BRICS Stock Markets. Journal of Economic Studies, 43(4), 646-660.
  • Demiröz, M. (2018). Kur balonu. Access address: https://www.gazetebirlik.com/yazarlar/kur-balon, (23.03.2020).
  • Deviren, B., Kocakaplan, Y., Keskin, M., Balcılar, M., Özdemir, Z. A. and Ersoy, E. (2014). Analysis of bubbles and crashes in the TRY/USD, TRY/EUR, TRY/JPY and TRY/CHF exchange rate within the scope of econophysics. Physica A 410, 414-420.
  • Dezhbakhsh, H. and Demirguc-Kunt, A. (1990). On the presence of speculative bubbles in stock prices. Journal of Financial and Quantitative Analysis, 25(1), 101-112.
  • Dowla, A. (1995). Efficiency of the black market for foreign exchange. International Economic Journal, 9(2), 89-100.
  • Eğilmez, M. (December, 2017). 2017'den 2018'e geçerken. Access address: http://www.mahfiegilmez.com/2017/12/2017den-2018e-gecerken.html, (17.03.2020).
  • Fama, E. (1970). Efficient capital markets: a review of theory and emprical work. Journal of Finance. 25(2), 383-417.
  • Flood, R. P. and Garber, P. M. (1980). Market fundamentals versus price-level bubbles: the first test. Journal of Political Economy, 88(4), 745-770.
  • Garber, P. M. (2000). Famous first bubbles: the fundamentals of early manias. MIT Press, Cambridge, MA.
  • Hu, Y. and Oxley, L. (2016). Are there bubbles in exchange rates? some new evidence from G10 and emerging markets countries. (Working Paper No. 5). University of Waikato Working Papers in Economics.
  • Jiang, C., Wang, Y., Chang, T. and Su, C. W. (2015). Are there bubbles in Chinese RMB-dollar exchange rate? evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120-6135.
  • Jirasakuldech, B., Emekter, R. and Went, P. (2006). Fundamental value hypothesis and return behavior: evidence from emerging equity markets. Review of Pacific Basin Financial Markets and Policies, 29(1), 97-127.
  • Korkmaz, Ö. (2018). The relationship between bitcoin, gold and foreign exchange retruns: the case of Turkey. Turkish Economic Review, 5(4), 359-374.
  • Korkmaz, Ö., Erer, D. and Erer, E. (2016). Alternatif yatırım araçlarında ortaya çıkan balonlar Türkiye hisse senedi piyasasını etkiliyor mu? BİST 100 üzerine bir uygulama. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 10(2), 29-61.
  • KPMG Bakış. (2016). Türkiye ve dünya ekonomisinde makro gelişmeler. Access address: https://assets.kpmg/content/dam/kpmg/tr/pdf/2016/10/tr-bakis-3.pdf, (14.03.2020).
  • Malkiel, B. G. (2010). Bubbles in asset prices. (Working Paper, No. 200). CEPS.
  • Maria, A. (2016). Periodically collapsing bubbles in exchange rates. University Applied Economics and Finance Master Thesis, 1-50.
  • Mayer, C. (2011). Housing bubbles: a survey. Annual Review Economics, 3(1), 559-577.
  • Phillips, P. C. B. and Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
  • Phillips, P. C. B., Shi, S. P. and Yu J. (2013). Testing for multiple bubbles 1: historical episodes of exuberance and collapse in the S&P 500. (Working Paper No. 4). Singapore Management University.
  • Phillips, P. C. B., Shi, S. P. and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011a). Explosive behavior in the 1990s NASDAQ: when did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
  • Phillips, P. C. B., Wu, Y. and Yu, J. (2011b). Testing for multiple bubbles. (Working Paper No. 1843), Cowles Foundation Discussion.
  • Rasekhi, S., Zahra, M. E. and Milad, S. (2017). Testing for multiple bubbles in İranian foreign exchange market: the application of RTADF unit root tests. The Journal of Economic Modeling Research, 7(27), 7-39.
  • Şentürk, M., Kayhan, S. and Bayat, T. (2016), Küresel finans krizi sonrasında merkez bankacılığı ve Türkiye Cumhuriyet Merkez Bankası. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(3), 146-160.
  • Steenkamp, D. (2017). How bubbly is the New Zealand Dollar?. Reserve Bank of New Zealand DP2017/03, 1-21.
  • Watanabe K., Takayasu H. and Takayasu, M. (2007). Extracting the exponential behaviors in the market data, Physica A: Statistical Mechanics and its Applications, 382(1), 336-339.
  • Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? evidence from an alternative test. Journal of International Money and Finance, 14(1), 27-46.
Toplam 38 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Araştırma Makaleleri
Yazarlar

Nazlıgül Gülcan 0000-0002-1390-0820

Namıka Boyacıoğlu Bu kişi benim 0000-0002-8338-3574

Arife Özdemir Höl 0000-0002-9902-9174

Yayımlanma Tarihi 20 Şubat 2021
Gönderilme Tarihi 30 Nisan 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 12 Sayı: 29

Kaynak Göster

APA Gülcan, N., Boyacıoğlu, N., & Özdemir Höl, A. (2021). Investigation of Speculative Bubbles in Financial Markets: The Example of Foreign Exchange Market. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 12(29), 176-187. https://doi.org/10.21076/vizyoner.729647

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