Pay Piyasalarında Finansal Balonlar Adaptif Mi? Borsa İstanbul’dan Kanıtlar
Are Financial Bubbles in Stock Markets Adaptive? Evidence From Istanbul Stock Exchange

Summary/Abstract: Purpose – Investors, portfolio managers and market makers closely monitor financial asset values and try to understand and predict financial trends, bubbles, and collapses in order to take advantage of opportunities and avoid losses. In this research, it is aimed to reveal the existence of financial bubbles and whether these bubbles act adaptively in the stock markets. Design/methodology/approach – In this study, the existence of financial bubbles and whether financial bubbles act adaptively in the BIST Industrials (XUSIN), BIST Financials (XUMAL), BIST Services (XUHIZ) and BIST Technology (XUTEK) indices, which are the stock market indices of the sectors that constitute an important part of the country's economy, were examined using weekly data for the period 03.01.2010-18.09.2022. In order to determine whether financial bubbles exhibit adaptive movements, the data set is divided into two equal sub-periods, 03.01.2010- 08.05.2016 and 15.05.2016-18.09.2022. In order to determine the bubbles in the stock market index price series, in other words, to catch the explosive behaviors involving irrational herd behaviors, the Generalized Sup ADF (GSADF) test, which is developed by Phillips, Shi, and Yu (2015) was used. Finding – As a result of the analysis, no statistically significant financial bubble findings were found in any of the sector indices in the whole period sample and in the first period sample, while 4 financial bubbles were detected in the Industrials index, 5 in the Financials index, 4 in the Services index and 3 in the Technology index in the second period sample. Discussion –The findings indicate that the developments in the Central Bank, changes in foreign investments and factors such as Covid-19 cause price bubbles in sector indices, the market is not efficient and herd behaviors are observed, and financial bubbles act adaptively in sector indices.

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