eprintid: 1833
rev_number: 10
eprint_status: archive
userid: 6
dir: disk0/00/00/18/33
datestamp: 2013-10-15 12:48:54
lastmod: 2014-06-03 12:22:03
status_changed: 2013-10-15 12:48:54
type: article
metadata_visibility: show
contact_email: unal.seven@imtlucca.it
creators_name: Tütek, Hülya
creators_name: Seven, Ünal
creators_id: 
creators_id: unal.seven@imtlucca.it
title: An application of the cusp catastrophe theory to the Istanbul stock exchange crash of 2008
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: none
keywords: Cusp Catastrophe Model; Stock Market Crashes; Istanbul Stock Exchange   -   JEL Classification: G01 C52
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.
date: 2013
date_type: published
publication: Iktisat Isletme ve Finans
volume: 28
number: 330
pagerange: 41-60
id_number: 10.3848/iif.2013.330.3834
refereed: TRUE
issn: 1300-610X
official_url: http://www.iif.com.tr/index.php/iif/article/view/iif.2013.330.3834
citation:   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)