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

Nazlıgül GÜLCAN; Namıka BOYACIOĞLU; Arife ÖZDEMİR HÖL

doi:https://doi.org/10.21076/vizyoner.729647

Makale detayları

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

Yazarlar:

Nazlıgül GÜLCAN | Namıka BOYACIOĞLU | Arife ÖZDEMİR HÖL

Yayıncı:

Süleyman Demirel University

Ana Başlıklar:

Genel yönetim

Dergi:

Süleyman Demirel University Visionary Journal 2021 Vol.12 Issue 29, pp.176-187

Belge Tipi:

Makale

Yayın Tarihi:

2/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000598069

Sıklık:

Üç Aylık

eISSN:

1308-9552

DOI:

https://doi.org/10.21076/vizyoner.729647

Özet:

 


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. 

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Makale detayları

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

Yazarlar: Nazlıgül GÜLCAN | Namıka BOYACIOĞLU | Arife ÖZDEMİR HÖL

Yayıncı: Süleyman Demirel University

Ana Başlıklar: Genel yönetim

Dergi: Süleyman Demirel University Visionary Journal 2021 Vol.12 Issue 29, pp.176-187

Belge Tipi: Makale

Yayın Tarihi: 2/2021

Belge Dili: İngilizce

Document ID (Org No.): 2000598069

Sıklık: Üç Aylık

eISSN: 1308-9552

DOI: https://doi.org/10.21076/vizyoner.729647

Sayı

Yazarlar:

Nazlıgül GÜLCAN | Namıka BOYACIOĞLU | Arife ÖZDEMİR HÖL

Yayıncı:

Süleyman Demirel University

Ana Başlıklar:

Genel yönetim

Dergi:

Süleyman Demirel University Visionary Journal 2021 Vol.12 Issue 29, pp.176-187

Belge Tipi:

Makale

Yayın Tarihi:

2/2021

Belge Dili:

İngilizce

Document ID (Org No.):

2000598069

Sıklık:

Üç Aylık

eISSN:

1308-9552

DOI:

https://doi.org/10.21076/vizyoner.729647