We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
What Triggers the ISTFIX Bubbles?
- Authors
AÇIK, Abdullah; BAŞER, Sadık Özlen; ERTÜRK, Egemen
- Abstract
The aim of this study is to determine the factors that influence the probability of price bubble formation in the İstanbul Freight Index (ISTFIX). In this direction, firstly the price bubbles were determined by generalized sup augmented Dickey-Fuller (GSADF) test. Following the GSADF test, a logit regression model was established by creating dummy variables from bubble dates and it was tried to determine the factors affecting bubble formation. The dataset consists of 354 weekly observations and covers the dates between 18.03.2011 and 31.12.2017. According to the results, 4 bubble periods with lengths ranging from 6 to 12 weeks were detected. In the logit model, it was found that "euro" and "fuel price" variables increase the probability of bubble formation and the marginal effect of "euro" is much higher.
- Subjects
DUMMY variables; BUBBLES; LOGITS; REGRESSION analysis; GEOGRAPHICAL location codes
- Publication
Uluslararasi Ekonomi ve Yenilik Dergisi, 2018, Vol 4, Issue 2, p119
- ISSN
2149-6838
- Publication type
Article
- DOI
10.20979/ueyd.434031