Testing for bubbles in the Stock Exchange Market
The regression was estimated for each sector separately by applying the logit model:
where denotes the speculative bubble dates for sector i, which is equal to one if there is a bubble, and to zero otherwise; FPI is foreign portfolio investment; CDS is Sovereign Credit Default Swaps for Turkey; EX is foreign exchange rate (dollar/lira); VIX is CBOE Volatility Index; ∆ is the difference operator; are vectors of parameters to be estimated, and is an i.i.d. error term.
Hypothesis 1: The possibility for the existence of speculative bubbles in assets increase with higher Sovereign Credit Default Swaps (CDS), holding other variables constant.
Hypothesis 2: An increase in foreign exchange rate leads to speculative bubbles, holding all other independent variables constant.
Hypothesis 3: Foreign portfolio investment is associated with an increased probability of speculative bubbles, holding other variables constant.
Hypothesis 4: A lower CBOE Volatility Index (VIX) reduces thechance of the speculative bubble in stock market, holding the effect of the other variables fixed.
I need the interpretation of the following table (LOGIT (MARGINAL EFFECT) model results). How independent variables impact the probability of speculative bubble for each sector? I need some details like what are the reasons behind that conclusion?
I mean one unit or one per cent change in VIX index cause ….% change in the probability of bubble in Y sector, this is because…..(give me some logical explanation).
Table. The Estimation Results of Marjinal Effects
| Portfolio | CDS | EX | VIX | |||
| BIST XUAll | -0.217** | -0.306*** | -0.038 | 0.008 | ||
| BIST XU100 | -0.166** | -0.312*** | -0.064 | 0.033 | ||
| BIST XU50 | -0.221** | -0.087 | -0.596 | -0.071 | ||
| BIST XU30 | -0.046 | -0.047 | 0.189 | -0.003 | ||
| BIST Financial | -0.098 | -0.140 | 0.126 | 0.035 | ||
| BIST Banks | 0.012 | 0.024 | 0.017 | -0.005 | ||
| BIST Holding | -0.040 | -0.068 | -0.047 | 0.024 | ||
| BIST Leasing | -0.0416 | -0.010 | 0.043 | -0.310*** | ||
| BIST Insurance | -0.205* | -0.279* | 0.676 | -0.229* | ||
| BIST Real Est. | -0.158** | -0.207** | -0.268 | 0.105** | ||
| BIST Industrial | -0.675 | -0.088 | -0.913* | 0.079 | ||
| BIST Food Bev. | -0.008 | -0.488*** | 0.070 | 0.149* | ||
| BIST Wood Paper | 0.033 | 0.062 | 0.187 | -0.116* | ||
| BIST Metal Prod. | -0.038 | -0.163 | 0.027 | -0.151 | ||
| BIST Chemical | -0.143 | -0.167 | 0.717 | -0.292*** | ||
| BIST Basic Metal | 0.178 | 0.042 | 0.621 | -0.405*** | ||
| BIST Textile Le. | -0.015 | -0.530*** | 0.252 | 0.020 | ||
| BIST Non-Metal | -0.401*** | -0.495*** | 0.365 | 0.026 | ||
| BIST Services | -0.151 | -0.141*** | -0.593 | 0.047 | ||
| BIST Telecom. | 0.025 | -0.028 | -0.239 | 0.033 | ||
| BIST Trade | -0.431*** | -1.046*** | 0.006 | 0.213* | ||
| BIST Transport. | 0.481*** | -0.411*** | 3.050*** | 0.017 | ||
| BIST Tourism | 0.165* | -0.101 | -0.207 | -0.063 | ||
| BIST Inf. Tech. | 0.169 | -0.161* | 0.126 | 0.121 | ||
Notes: ***, **, and * denote significance levels at 1 per cent, 5 per cent and 10 per cent, respectively.
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