Price Bubble in the Turkish Stock Market during Pre- and Post-Covid: Evidence from the SADF and GSADF Test
Chapter from the book:
Buğan,
M.
F.
&
Tuna,
İ.
(eds.)
2023.
Evolution of Financial Markets IV.
Synopsis
The study examines the possibility of a stock market price bubble in four sub-sector stock indices (financial, industrial, service, and technology) and the BIST 100 composite index in Turkey by using the monthly data spans from 2000 to 2023. To capture the irrational prosperity in Turkish stock markets, we employ the supremum augmented Dickey-Fuller (SADF) and the generalized supremum augmented Dickey-Fuller (GSADF) methodologies. Our primary focus is on the construction of price bubbles, particularly in the aftermath of the COVID-19 pandemic. Presently, there are ongoing and intense discussions regarding the potential emergence of such bubbles. The conclusion implies the presence of speculative bubbles in all sector-specific stock market indexes, with the exception of the technology index, subsequent to the complete removal of COVID-19 restrictions by the Turkish government. Moreover, the results show that exuberant investor behavior also occurred in some sub-periods other than the post-COVID-19 period for all stock market indices.
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This work is licensed under a Creative Commons Attribution 4.0 International License.
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Copyright (c) 2023 Mehmet Fatih Buğan, İsmail Tuna; Muhammet Fatih Canbaz, Mustafa Canbaz, Meltem Keskin, Hüseyin Özdemir, İnan Gidiş, Arzu Özmerdivanlı, Ayşe Yıldız, İsmail Tuna, Emine Kaya, Ömer Kaya, Ekrem Meriç, Burcu Buyuran, Fatih Temizel, Yusuf Volkan Baysal, Hatice Elanur Kaplan, Metin Kılıç, Serap Kamışlı