Çalışmada, dünyada giderek finansallaşan piyasalarda, reel ekonomik faaliyetlerin daha çok ön planda olduğu katılım endeksi ve gösterge konvansiyonel endeks performansları fiyat balonları açısından karşılaştırmalı olarak analiz edilmektedir. Özellikle kriz dönemlerinde faaliyetler içerdiği varsayılan endeksler Generalized Sup-Augmented Dickey Fuller (GSADF) testi ile incelenmiştir. İlgili model...

Bu çalışmada en yüksek arza ve işlem hacmine sahip olan 10 adet kripto parada finansal balon varlığı araştırılmıştır. Bunlar; Bitcoin, Ethereum, Tether, USD Coin, BNB, Ripple, Binance USD, Cardano, Solana Dogecoin’dir. Her bir değişkenin inceleme aralığı farklılık göstermektedir. İncelemeler günlük frekanslı serilerle yapılmıştır araştırmada Genelleştirilmiş Sub-ADF (GSADF) testi kullanılmıştır...

Today, people provide information through different channels. The channels used can affect the decision-making mechanism due to asymmetric or tendencies. Especially in recent years, use social media reach quickly. Therefore, notifications made on reveal economic results. Cryptocurrencies are digital currencies intended be as currency. Unlike their traditional financial rivals, cryptocurrencies ...

Since most of the financial crisis caused by bursting bubble assets, investigation behaviors and early detection for prevention adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on basis a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed Phillips, Shi Yu (2015), as well to de...

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The computes test statistics supremum augmented Dickey-Fuller (SADF) Phillips, Wu, Yu (2011), generalized SADF (GSADF) Shi, (2015a,b), panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack, Grossman (2016); generates finite-sample cri...

Purpose The last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates trade amid other sources uncertainties. purpose this study is to examine rate Brazil, Russia, India, China, South Africa (BRICS) Republic Turkey. Design/methodology/approach Given perceived dynamics, current examined BRICS countries Tur...

This empirical study is an attempt to detect speculative bubbles in different indexes of the Pakistan stock market (KSE-100, KSE-30 & KMI-30) using monthly time series data from (2005– 2020) evaluate all four Rtadf (Recursive, Right tail Augmented Dickey-Fuller) tests. includes Standard ADF, Rolling-window Supreme ADF (SADF) and Generalized SADF (GSADF) with Monte-Carlo simulation, under Ga...

This study examines the explosive behavior in five local market prices of stock indices (in USD and TRY), 
 bond, CDS, gold, currency exchange rate USDTRY at weekly observations over sample period between 2005 2021. We find strong evidence bubble formations markets during crisis (financial pandemic, such as ongoing COVID-19 outbreak) non-crisis periods. The findings show both unidirectiona...