DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH
Yıl: 2021 Cilt: 12 Sayı: 23 Sayfa Aralığı: 21 - 36 Metin Dili: İngilizce DOI: 10.36543/kauiibfd.2021.002 İndeks Tarihi: 29-07-2022
DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH
Öz: This study is to detect the presence of bubbles and to examine the possible contributions of the Covid-19 outbreak to bubble formation in futures markets. To assess the impacts of financial contagion, the daily data will be used for the period between December 1, 2019 and December 11, 2020. The empirical estimation strategy will be based on the generalized supremum augmented Dickey–Fuller (GSADF) test to examine whether there are bubbles in future markets. According to the estimation results obtained, the GSADF test statistics were found to be statistically significant for 8 future market indices selected for the study. This result reveals empirical evidence that the COVID-19 epidemic has contagion effects on future markets, causing bubble formation for 8 futures market indices. Therefore, the findings obtained in this study have obtained important findings regarding the development and spread of the contagion of the COVID-19 epidemic to financial markets.
Anahtar Kelime: VADELİ İŞLEM PİYASALARINDA FİNANSAL BULAŞICILIK BALONLARININ TESPİTİ: SAĞ KUYRUKLU BİRİM KÖK TESTİ YAKLAŞIMDAN AMPİRİK KANITLAR
Öz: Bu çalışma, vadeli işlem piyasalarında balonların varlığını ve Covid-19 salgınının vadeli işlem piyasalarında balon oluşumuna olası katkılarını incelemektedir. Çalışmada balonların varlığını ve finansal bulaşmanın etkilerini değerlendirmek için, 1 Aralık 2019 ile 11 Aralık 2020 dönemi arasındaki günlük veriler kullanılmıştır. Çalışmanın ampirik tahmin stratejisinde, Genelleştirilmiş SADF (GSADF) testine dayanılarak vadeli işlem piyasalarında balonların olup olmadığı tespit edilecektir. Elde edilen tahmin sonuçlarına göre GSADF test istatistikleri, çalışma için seçilen 8 vadeli işlem piyasası endeksi için istatiksel olarak anlamlı bulunmuştur. Bu sonuç, Covid-19 salgınının vadeli işlem piyasalarında bulaşıcı etkilere sahip olduğunu ve 8 vadeli işlem piyasası endeksi için balon oluşumuna neden olduğuna ilişkin ampirik kanıtlar ortaya koymaktadır. Bu nedenle çalışmada elde edilen bulgular, Covid-19 salgınının finansal piyasalara bulaşmasının gelişimi ve yayılmasına ilişkin önemli bulgular sunmaktadır.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
- Afşar, M, Afşar, A, & Doğan, E. (2019), Döviz balonlarının tespitine yönelik bir analiz: Türkiye örneği, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,54, 447-460.
- Ali, M., Alam, N., & Rizvi, S. A. R. (2020), “Coronavirus (COVID-19) – An epidemic or pandemic for financial markets”, Journal of Behavioral and Experimental Finance, 27, 1-6.
- Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., & Dzuvor, C. (2020), “Economic impacts of Wuhan 2019‐nCoV in China and the world”. Journal of Medical Virology, 92(5), 473-475.
- Boissay F. & Rungcharoenkitkul P. (2020). “Macroeconomic effects of Covid-19: an early review”, BIS Bulletin, No. 7, 1-6.
- Broner, F., & Ventura, J. (2016), “Rethinking the Effects of Financial Globalization”, The Quarterly Journal of Economics, 131(3), 1497-1542.
- Cheng, I. H. (2020). “Volatility markets underreacted to the early stages of the COVID19 pandemic” The Review of Asset Pricing Studies, 10(4), 635-668.
- Chiu, C. L., & Chou, K. H. (2020), “The soft commodities multiple bubbles tests: evidence from the New York Futures Markets”, Applied Economics Letters, 1- 6.
- Demir, F., Karabıyık, A., Ermişoğlu, E., & Küçük, A. (2008), “ABD Mortgage Krizi. BDDK Çalışma Tebliği, 3, 1-118.
- Erarslan, C. (2016), “Küresel Finansal Krizi Anlamak”, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(1),79-99.
- Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. & Tahir, M. (2020), “The impact of massive infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China”, Social Science Research Network Report.
- Gharib, C., Mefteh-Wali, S., & Jabeur, S. B. (2020), “The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets”, Finance research letters, 38.
- Grover, R. & Grover C. (2014), “Property bubbles–a transitory phenomenon. Journal of Property Investment & Finance”, 32(2), 208-222.
- Gürsoy, S , Tunçel, M , & Sayar, B . (2020), “Koronavirüsün (COVID-19) finansal göstergeler üzerine etkileri”, Ekonomi Maliye İşletme Dergisi , 3 (1) , 20-32 .
- Gürsoy, S . (2020), “Koronovirüsün finansal piyasalara etkisinin bölgesel yakınlık açısından incelenmesi: Ampirik bir uygulama” , Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi , Salgın Hastalıklar Özel Sayısı , 359-378.
- Huang, W., & Zheng, Y. (2020), “COVID-19: Structural changes in the relationship between investor sentiment and crude oil futures price”, Energy Research Letters, 1(2), 1-5.
- International Monetary Fund (2020), World Economic Outlook, Chapter 1, the Great Lockdown, April.
- Ji, Q., Zhang, D., & Zhao, Y. (2020). “Searching for safe-haven assets during the COVID19 pandemic”. International Review of Financial Analysis, 71, 1-10.
- Malkiel, B. G. (2010), “Bubbles in asset prices”. CEPS Working Paper, No. 200, pp. 1- 21.
- Mao, Q., Ren, Y. & Loy, J.-P. (2020), "Price bubbles in agricultural commodity markets and contributing factors: evidence for corn and soybeans in China", China Agricultural Economic Review, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/CAER-10-2019-0190
- Moser, T. (2003), “What is international financial contagion? International Finance, 6(2), 157-178.
- Murphy, E. V. (2012), “What Is Systemic Risk? Does It Apply to Recent JP Morgan Losses?” Congressional Research Service.
- Pereira, D. (2018), “Financial contagion in the BRICS stock markets: An empirical analysis of the Lehman Brothers collapse and European sovereign debt crisis”, Journal of Economics and Financial Analysis, 2(1), 1-44.
- Phillips, P. C. B., Shi, S. & Yu J. (2015), “Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4),1043-1078.
- Račickas, E., & Vasiliauskaitė, A. (2011), “Channels of financial risk contagion in the global financial markets”, Economics and Management, 16.
- Shirinov, N., Huseynov, F., & Shamilov (2020), Detecting bubbles in oil market using SADF approach: Cases of wti and brent oil futures, International Journal of Social Science and Economic Research, 5(6), 1400-1409
- Wang, J., Shao, W., & Kim, J. (2020), “Analysis of the impact of COVID-19 on the correlations between crude oil and agricultural futures”. Chaos, Solitons & Fractals, 136, 1-7.
- Zeren, F., and Hızarcı, A. (2020), “The impact of COVID-19 coronavirus on stock markets: Evidence from selected countries”, Muhasebe ve Finans İncelemeleri Dergisi, 3(1), pp. 78-84.
| APA | Dogan E (2021). DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. , 21 - 36. 10.36543/kauiibfd.2021.002 |
| Chicago | Dogan Emrah DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. (2021): 21 - 36. 10.36543/kauiibfd.2021.002 |
| MLA | Dogan Emrah DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. , 2021, ss.21 - 36. 10.36543/kauiibfd.2021.002 |
| AMA | Dogan E DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. . 2021; 21 - 36. 10.36543/kauiibfd.2021.002 |
| Vancouver | Dogan E DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. . 2021; 21 - 36. 10.36543/kauiibfd.2021.002 |
| IEEE | Dogan E "DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH." , ss.21 - 36, 2021. 10.36543/kauiibfd.2021.002 |
| ISNAD | Dogan, Emrah. "DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH". (2021), 21-36. https://doi.org/10.36543/kauiibfd.2021.002 |
| APA | Dogan E (2021). DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ , 12(23), 21 - 36. 10.36543/kauiibfd.2021.002 |
| Chicago | Dogan Emrah DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ 12, no.23 (2021): 21 - 36. 10.36543/kauiibfd.2021.002 |
| MLA | Dogan Emrah DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ , vol.12, no.23, 2021, ss.21 - 36. 10.36543/kauiibfd.2021.002 |
| AMA | Dogan E DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ . 2021; 12(23): 21 - 36. 10.36543/kauiibfd.2021.002 |
| Vancouver | Dogan E DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH. KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ . 2021; 12(23): 21 - 36. 10.36543/kauiibfd.2021.002 |
| IEEE | Dogan E "DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH." KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ , 12, ss.21 - 36, 2021. 10.36543/kauiibfd.2021.002 |
| ISNAD | Dogan, Emrah. "DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURE MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH". KAFKAS ÜNİVERSİTESİ İKTİSADİ ve İDARİ BİLİMLER FAKÜLTESİ DERGİSİ 12/23 (2021), 21-36. https://doi.org/10.36543/kauiibfd.2021.002 |
