TY  - JOUR
TT  - The Causality Relationship in Foreign Shares between Return Rates : Futures  Markets Applications
AU  - Durmuşkaya, Sedat
AU  - Mayıl, Gökhan
PY  - 2014
DA  - October
DO  - 10.25095/mufad.396495
JF  - Muhasebe ve Finansman Dergisi
PB  - Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği
WT  - DergiPark
SN  - 2146-3042
SP  - 151
EP  - 162
IS  - 64
KW  - Nedensellik
KW  - Toda-Yamamoto
KW  - Yabancı payları
KW  - Vadeli işlem Borsaları.
N2  - In the study; the effect of the foreign investor on derivative markets is aimed to be analyzed so that 97 monthly return data of Turkish Derivatives Exchange Index 30 (VOB 30 Index) from February 2005 and June 2013 also monthly trading volume data belonged to the foreign investor traded in the mentioned Exchange are examined. Afterwards; monthly trading volume of the foreign investor traded in Istanbul Stock Exchange and the return of the VOB 30 Index contracts are analyzed. Granger and Toda-Yamamoto methods are benefited in the study aiming to find out the causality relationship between the series. The findings acquired indicate that any relationship does not exist between the foreign investor traded in Turkish Derivatives Exchange and the return data of VOB 30 Index contracts. However; bidirectional causality relationship between the shares of foreign investor traded in Istanbul Stock Exchange and the return of VOB 30 Index contracts. Finally; a statistically significant relationship from return rates towards foreign investor shares is proved.
UR  - https://doi.org/10.25095/mufad.396495
L1  - https://dergipark.org.tr/en/download/article-file/427558
ER  -