 An Application of the Cusp Catastrophe Theory to the Istanbul Stock Exchange Crash of 2008Hülya Tütek and
Ünal Seven
Iktisat Isletme ve Finans, 2013, vol. 28, issue 330, 41-60 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. Keywords: Cusp Catastrophe Model; Stock Market Crashes; Istanbul Stock Exchange (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:28:y:2013:i:330:p:41-60 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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