Testing for rational bubbles in the Turkish stock market

Date

2012

Author

Başoğlu, Fatma

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In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.

Subject Keywords

Stock exchanges., Capital market., Financial crises.

URI

http://etd.lib.metu.edu.tr/upload/12614505/index.pdf
https://hdl.handle.net/11511/21685

Collections

Graduate School of Applied Mathematics, Thesis