Show/Hide Menu
Hide/Show Apps
anonymousUser
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Frequently Asked Questions
Frequently Asked Questions
Communities & Collections
Communities & Collections
Testing for rational bubbles in the Turkish stock market
Download
index.pdf
Date
2012
Author
Başoğlu, Fatma
Metadata
Show full item record
Item Usage Stats
0
views
0
downloads
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