An empirical comparison of stock market bubbles
| dc.contributor.author | KORKMAZ, Özge | |
| dc.contributor.author | Bari, Bilgin | |
| dc.contributor.author | adalı, zafer | |
| dc.date.accessioned | 2025-10-24T18:03:26Z | |
| dc.date.available | 2025-10-24T18:03:26Z | |
| dc.date.issued | 2021 | |
| dc.department | Malatya Turgut Özal Üniversitesi | |
| dc.description.abstract | Financial asset bubbles occur due to systematic and continuous differences between fundamental and\rmarket values. Due to high growth periods and foreign capital inflows, bubbles are also seen in stock\rmarket indexes, especially in emerging market economies. This study analyzes the existence of\rbubbles in BIST100, IDX COMPOSITE, BOVESPA, MDEX, NIFTY 50, SHANGAI, and S&P 500 stock\rmarkets for the period 2009:01-2021:06. RADF, SADF, and GSADF tests are applied to detect bubbles\ron stock market closing prices. In addition, the emergence and demise dates of the bubbles are\rdetermined by employing the date-stamping method. The GSADF test gives more effective results\rand determines bubbles with different durations in all stock markets, except the S&P 500. The results\rreveal that the most inefficient market is IDX COMPOSITE, and S&P 500is the most efficient market.\rThe analysis includes the S&P 500, the world's most liquid and most prominent stock market, for\rcomparison. In this respect, bubbles occur more in emerging market exchanges. The findings also\rconfirm the validity of the rational bubble law. | |
| dc.identifier.doi | 10.15295/bmij.v9i4.1889 | |
| dc.identifier.endpage | 1299 | |
| dc.identifier.issn | 2148-2586 | |
| dc.identifier.issue | 4 | |
| dc.identifier.startpage | 1286 | |
| dc.identifier.trdizinid | 517246 | |
| dc.identifier.uri | https://doi.org/10.15295/bmij.v9i4.1889 | |
| dc.identifier.uri | https://search.trdizin.gov.tr/tr/yayin/detay/517246 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12899/2229 | |
| dc.identifier.volume | 9 | |
| dc.indekslendigikaynak | TR-Dizin | |
| dc.language.iso | en | |
| dc.relation.ispartof | Business and Management Studies: An International Journal | |
| dc.relation.publicationcategory | Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.snmz | TR-Dizin_20251023 | |
| dc.subject | İktisat | |
| dc.title | An empirical comparison of stock market bubbles | |
| dc.type | Article |
