Limits to Arbitrage and Speculative Bubbles in Emerging Stock Markets: Evidence from Gold-Backed Certificates

This study examines the pricing efficiency of the Mint Gold Certificate (ALTINS1) traded on Borsa Istanbul and its relationship with the underlying asset (gram gold), focusing on the structural break identified in the data. Analyses conducted using Mann–Kendall trend analysis, the Pettitt structural break test, Rolling Window regression, and the Threshold Error Correction Model (Threshold ECM) reveal that certificate prices have systematically decoupled from the underlying asset, creating a persistent premium exceeding 16%. The findings indicate that the risk structure of the certificate has diverged from the underlying asset, the market has become desensitized to high premium levels (asymmetric threshold effect), and prices move independently of fundamental value through a speculative feedback loop (Granger causality). The study argues that the root cause of this anomaly lies in the “Limits to Arbitrage” problem stemming from supply constraints and short-sale bans, offering new evidence on the pricing efficiency of financial innovations in emerging markets.