Tütek, Hülya and Seven, Ünal An application of the cusp catastrophe theory to the Istanbul stock exchange crash of 2008. Iktisat Isletme ve Finans, 28 (330). pp. 41-60. ISSN 1300-610X (2013)
Full text not available from this repository.Abstract
This paper examines whether the stochastic cusp catastrophe model explains the crash of stock markets much better than the linear and non-linear models. It is one of the first quantitative attempts to test the cusp catastrophe model by using real stock market data of an emerging market. We test the stochastic cusp catastrophe model on the Turkish financial market data. In our analysis, the crash of October 2008 is chosen since Istanbul Stock Exchange 100 index (ISE 100) fell by 63 in 2008. To construct the catastrophe model we use daily change of ISE 100 index as a behavioral variable, total trading value and foreign investors’ share in the market capitalization as control measures. However, we show that the stochastic cusp catastrophe model does not explain well the crash of October 2008 in the Turkish stock market. Therefore, it can be concluded that October 2008 Turkish stock market crash was not in a bifurcation area.
| Item Type: | Article |
|---|---|
| Identification Number: | https://doi.org/10.3848/iif.2013.330.3834 |
| Uncontrolled Keywords: | Cusp Catastrophe Model; Stock Market Crashes; Istanbul Stock Exchange - JEL Classification: G01 C52 |
| Subjects: | H Social Sciences > HB Economic Theory |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 15 Oct 2013 12:48 |
| Last Modified: | 03 Jun 2014 12:22 |
| URI: | http://eprints.imtlucca.it/id/eprint/1833 |
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