Cilt 9 Sayı 4 (2021): Business & Management Studies: An International Journal
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Borsa balonlarının ampirik karşılaştırılması

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  • Özge Korkmaz,
  • Bilgin Bari,
  • Zafer Adalı
Özge Korkmaz
Doç. Dr., Malatya Turgut Özal Üniversitesi, Malatya, Türkiye
Bilgin Bari
Dr. Öğr. Üyesi, Anadolu Üniversitesi, Eskişehir, Turkey
Zafer Adalı
Arş. Görv., Artvin Çoruh Universitesi, Artvin-Hopa, Türkiye
DOI: https://doi.org/10.15295/bmij.v9i4.1889

Yayınlanmış 2021-12-25

Nasıl Atıf Yapılır

Korkmaz, Özge, Bari, B., & Adalı, Z. (2021). Borsa balonlarının ampirik karşılaştırılması. Business & Management Studies: An International Journal, 9(4), 1286–1299. https://doi.org/10.15295/bmij.v9i4.1889

Telif Hakkı (c) 2021 Özge Korkmaz- Bilgin Bari- Zafer Adalı

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Özet

Finansal varlık balonları bir varlığın temel değeri ile piyasa değeri arasında oluşan sistematik ve sürekli farklar sonucu ortaya çıkar. Benzer balonlar borsa endekslerinde de görülür. Özellikle yükselen piyasa ekonomilerinde büyüme dönemleri ve yabancı fon girişleri sonucu balon etkisi oluşabilir. Bu çalışmada BIST100, IDX COMPOSITE, BOVESPA MDEX, NIFTY 50, SHANGAI ve S&P 500 borsalarında 2009:01-2021:06 dönemi için balonların varlığı incelenmektedir. Bu amaçla borsa kapanış fiyatları kullanılarak RADF, SADF, and GSADF testleri uygulanmaktadır. Ayrıca, date-stamping yöntemi yardımıyla balonların ortaya çıkma ve sönme tarihleri incelenmektedir. GSADF testinin daha etkin sonuçlar verdiği dikkate alındığında S&P 500 hariç tüm borsalarda farklı süreye sahip balonların varlığı tespit edilmektedir. Sonuçlar karşılaştırıldığında en etkin olmayan piyasanın IDX COMPOSITE olduğu görülmektedir. S&P 500 ise en etkin işleyen piyasadır. Dünyanın en likit ve en büyük borsası olan S&P 500 karşılaştırma amacıyla analize dahil edilmektedir. Sonuçlara genel olarak bakıldığında yükselen piyasa borsalarında balonların daha fazla oluştuğu görülmektedir. Bulgular aynı zamanda rasyonel balon yasasının geçerliliğini de doğrulamaktadır.

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