DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURES MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH
DETECTING FINANCIAL CONTAGION BUBBLES IN FUTURES MARKETS: AN EMPIRICAL EVIDENCE FROM RIGHT-TAILED UNIT ROOT TEST APPROACH
Author(s): Emrah DoganSubject(s): Micro-Economics, International relations/trade, Health and medicine and law, Present Times (2010 - today), Financial Markets
Published by: Kafkas Üniversitesi Sağlık, Kültür ve Spor Daire Başkanlığı Dijital Baskı Merkezi
Keywords: Future markets; COVID-19; financial contagion; bubbles; right-tailed unit root test; GSADF;
Summary/Abstract: The objective of this study is to identify the presence of bubbles and to seek the contributions of the Covid-19 pandemic to bubble formation in futures markets. To assess the impact of financial contagion, daily data for the period between December 1, 2019 and December 11, 2020 were used. The empirical estimation strategy was used based on the GSADF test to investigate whether there are bubbles in futures markets. According to the estimation results, GSADF test statistics for selected 7 futures market indices were found to be statistically significant for the study. The results show that COVID -19 pandemic has contagion effects on futures markets and causes bubble formation for 7 futures market indices. As a result, important insights were obtained regarding the development and spread of the COVID -19 contagion to financial markets.
Journal: Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
- Issue Year: 12/2021
- Issue No: 23
- Page Range: 21-36
- Page Count: 16
- Language: English