IDENTIFICATION OF SPECULATIVE BUBBLES IN THE BIST TECHNOLOGY INDEX DURING THE COVID-19 PERIOD: GSADF APPROACH

Fela Özbey; Elif Sanlı; Serkan Yılmaz Kandır

Makale detayları

IDENTIFICATION OF SPECULATIVE BUBBLES IN THE BIST TECHNOLOGY INDEX DURING THE COVID-19 PERIOD: GSADF APPROACH

Yazarlar:

Fela Özbey | Elif Sanlı | Serkan Yılmaz Kandır

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 1, pp.43-59

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313970

pISSN:

2687-184X

Anahtar kelimeler:

Özet:

 After the first cases seen in Wuhan, China, in the last days of 2019, Covid-19, which spread rapidly all over the world, deeply affected the whole world both in health and economy with the declaration of a pandemic in the first quarter of 2020. Measures such as restrictions on international trade, travel bans and interruptions to production have brought world trade to a standstill and caused great uncertainty in the markets. The aim of this study is to investigate whether price bubbles occur during the Covid-19 pandemic period in the BIST Technology XUTEK index, which consists of the share prices of technology companies traded in Borsa Istanbul. In this context, the Generalized Supremum Augmented Dickey-Fuller Generalized Supremum Augmented Dickey-Fuller, GSADF test was applied to the series consisting of daily values of the XUTEK index covering the period from 11.03.2020 when the first positive case was reported in Turkey to 31.05.2022. As a result of the study, the formation of price bubbles between 23.07.2020-29.07.2020 and 19.11.2021-15.12.2021 in the BIST Technology index was determined.

 After the first cases seen in Wuhan, China, in the last days of 2019, Covid-19, which spread rapidly all over the world, deeply affected the whole world both in health and economy with the declaration of a pandemic in the first quarter of 2020. Measures such as restrictions on international trade, travel bans and interruptions to production have brought world trade to a standstill and caused great uncertainty in the markets. The aim of this study is to investigate whether price bubbles occur during the Covid-19 pandemic period in the BIST Technology XUTEK index, which consists of the share prices of technology companies traded in Borsa Istanbul. In this context, the Generalized Supremum Augmented Dickey-Fuller Generalized Supremum Augmented Dickey-Fuller, GSADF test was applied to the series consisting of daily values of the XUTEK index covering the period from 11.03.2020 when the first positive case was reported in Turkey to 31.05.2022. As a result of the study, the formation of price bubbles between 23.07.2020-29.07.2020 and 19.11.2021-15.12.2021 in the BIST Technology index was determined.

 After the first cases seen in Wuhan, China, in the last days of 2019, Covid-19, which spread rapidly all over the world, deeply affected the whole world both in health and economy with the declaration of a pandemic in the first quarter of 2020. Measures such as restrictions on international trade, travel bans and interruptions to production have brought world trade to a standstill and caused great uncertainty in the markets. The aim of this study is to investigate whether price bubbles occur during the Covid-19 pandemic period in the BIST Technology XUTEK index, which consists of the share prices of technology companies traded in Borsa Istanbul. In this context, the Generalized Supremum Augmented Dickey-Fuller Generalized Supremum Augmented Dickey-Fuller, GSADF test was applied to the series consisting of daily values of the XUTEK index covering the period from 11.03.2020 when the first positive case was reported in Turkey to 31.05.2022. As a result of the study, the formation of price bubbles between 23.07.2020-29.07.2020 and 19.11.2021-15.12.2021 in the BIST Technology index was determined.

 2019 yılının son günlerinde Çinin Wuhan kentinde görülen ilk vakaların ardından hızla tüm dünyaya yayılan Covid-19, 2020 yılının ilk çeyreğinde pandemi ilan edilmesi ile bütün dünyayı hem sağlık hem de ekonomik anlamda derinden etkilemiştir. Uluslararası ticarette kısıtlamalar, seyahat yasakları ve üretime ara verilmesi gibi tedbirler dünya ticaretinin durma noktasına gelmesine ve piyasalarda büyük belirsizliğe neden olmuştur. Bu çalışmanın amacı Borsa İstanbulda işlem gören teknoloji şirketlerinin pay fiyatlarından oluşan BIST Teknoloji XUTEK endeksinde Covid-19 pandemi döneminde fiyat balonlarının oluşup oluşmadığı araştırmaktır. Bu bağlamda Türkiyede ilk pozitif vakanın rapor edildiği 11.03.2020 tarihinden 31.05.2022 tarihine kadar olan dönemi kapsayan XUTEK endeksinin günlük değerlerinden oluşan seriye Genelleştirilmiş Eküs Arttırılmış Dickey-Fuller Generalized Supremum Augmented Dickey-Fuller, GSADF testi uygulanmıştır. Çalışma sonucunda BIST Teknoloji endeksinde 23.07.2020-29.07.2020 ve 19.11.2021-15.12.2021 tarihleri arasında fiyat balonlarının oluşumu tespit edilmiştir.

Makale detayları

IDENTIFICATION OF SPECULATIVE BUBBLES IN THE BIST TECHNOLOGY INDEX DURING THE COVID-19 PERIOD: GSADF APPROACH

Yazarlar:

Fela Özbey | Elif Sanlı | Serkan Yılmaz Kandır

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 1, pp.43-59

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313970

pISSN:

2687-184X

Financial Markets

Time Series Analysis

BIST Technology Index

Price Bubbles

GSADF TestFinansal Piyasalar

Zaman Serisi Analizi

BIST Teknoloji Endeksi

Fiyat Balonları

GSADF Testi

Sayı

Makale detayları

Yazarlar: Fela Özbey | Elif Sanlı | Serkan Yılmaz Kandır

Yayıncı: Anadolu University

Ana Başlıklar: Finance

Dergi: Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 1, pp.43-59

Belge Tipi: Makale

Yayın Tarihi: 3/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001313970

pISSN: 2687-184X

Sayı

Yazarlar:

Fela Özbey | Elif Sanlı | Serkan Yılmaz Kandır

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.25 Issue 1, pp.43-59

Belge Tipi:

Makale

Yayın Tarihi:

3/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001313970

pISSN:

2687-184X