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RATIONAL BUBBLES IN TURKISH STOCK MARKET: A HIDDEN COINTEGRATION APPROACH
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نویسنده
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BOZOKLU Şeref ,ZEREN Fatma
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منبع
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journal of financial researches and studies - 2013 - دوره : 5 - شماره : 9 - صفحه:17 -31
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چکیده
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In this paper, the presence of rational bubbles is examined in borsa istanbul stock exchange market over the period january 1998-april 2013 by means of traditional and hidden cointegration tests. the empirical results indicate that there is hidden cointegration between stock price index and dividend index, and therefore rational bubbles does not exist in the stock market.
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کلیدواژه
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Turkish Stock Market; Efficient Market Hypothesis; Present Value Model; Rational Bubbles; Hidden Cointegration
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آدرس
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İstanbul Üniversitesi, İktisat Fakültesi, İktisat Bölümü, Turkey, İnönü Üniversitesi, İktisadi ve İdari Bilimler Fakültesi (İİBF), Ekonometri Bölümü, Turkey
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Authors
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