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Pay Piyasasına Dayalı Vadeli İşlem ve Spot Piyasalarının Öncü Gösterge Olma Özelliği: Borsa İstanbul Örneği

Year 2016, Volume: 10 Issue: 1, 35 - 64, 01.06.2016

Abstract

Bu çalışmanın amacı, pay piyasasına dayalı vadeli işlem ve spot piyasaların hangisinin bilgiyi daha hızlı fiyatlara yansıttığını ve diğer piyasaya öncü gösterge olma özelliği taşıdığını ortaya koymaktır. Bu amaçla, BIST 30 Vadeli İşlem endeksi ile pay piyasasından seçilmiş endekslerin, 02.07.2012 – 28.04.2017 dönemine ait günlük kapanış verilerinin büyüme oranları hesaplanarak analizlerde kullanılmıştır. Çalışmada, Granger Nedensellik testi, VAR analizi, Varyans Ayrıştırma analizi yapılmış ve etki tepki grafikleri oluşturulmuştur

References

  • A. Grünbichler, F.A. Longstaff, E.S. Schwartz (1994). “Electronic Screen Trad- ing and the Transmission of Information: An Empirical Examination”. Journal of Financial Intermediation, 3, 2, 166-187
  • A.F. Herbst, J.P. McCormack (1987). “E.N. West, Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts”. The Journal of Futures Markets, 7, 4, 373-381.
  • Akıncı, G.Y., Akınca, M. ve Yılmaz, Ö. (2014). “Finansal Gelişmişliğin Mak- roekonomik Belirleyicileri: Türkiye İçin Bir VAR Modeli”. Uluslararası Alanya İşletme Fakültesi Dergisi. Cilt: 6, Sayı:1. ss. 1-15.
  • Antonıou, A., ve Holmes, P. (1996). “Futures Market Efficiency, The Unbiasedness Hypothesis and Variance-bound Tests: The Case of the FTSE-100 Futures Contract”. Bulletin of Economic Research, 48(2): 115-128
  • Ateş, A., ve WANG, G. H. (2005). “Information Transmission in Electronic Versus Open-Outcry Trading Systems: An Analysis of U.S. Equity Index Futures Markets”. The Journal of Futures Markets, 25(7): 679-715.
  • Baillie, R. ve Myers, R. (1991). “Bivariate GARCH estimation of the optimal commodity futures hedge”. Journal of Applied Econometrics, Cilt. 6, ss. 109– 124.
  • C. Brooks, L. Garrett ve M.J. Hinich (1999). “An Alternative Approach to Investigating LeadLag Relationships between Stock and Stock Index Futures Markets”. Applied Financial Economics, 9, 6, 605-613.
  • C. Floros, D.V. Vougas (2007). “The Lead-Lag Relationship between Futures and Spot Markets in Greece: 1999-2001”. International Research Journal of Finance and Economics, 7, 168-174.
  • Chan K., Chan, K.C. ve Karolyi, G.A. (1991). “Intraday volatility in the stock index and stock index futures markets”. Review of Financial Studies, Cilt. 4, no. 4, ss. 657–684.
  • Charemza, W. W. ve Deadman, D. F. (1993). New Directions in Econometric Practice, Edward Elgar Publishing, UK.
  • CHEUNG, Y.W. and NG, L.K. (1996), “A Causality-in-Variance Test and Its Applications to Financial Market Prices”, Journal of Econometrics, 72, 33–48.
  • Çelik, İ. (2012). “Vadeli İşlem Piyasasında Fiyat Keşfi İzmir Vadeli İşlem ve Opsiyon Borsasında Ampirik Bir Uygulama”. Türkiye Bankalar Birliği. Yayın No:283. İstanbul.
  • Çevik, E. İ. ve Pekkaya, M., (2007). “Spot ve Vadeli İşlem Fiyatlarının Var- yansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İİBF Dergisi, Cilt:22, Sayı: 2. ss 49-66.
  • D.F. Kenourgios (2004). “Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market”. Economic and Business Re- view, 6, 3, 229-243
  • Demireli, E., Gülmez, E. ve Akkaya, G.C. (2010). “Vadeli ve Spot Kurlar Ar- asındaki Nedensellik İlişkisi: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. Sayı:27. ss.325- 333.
  • Dıckey, D. A. ve Fuller, W. A. (1979). “Distribution of the Estimators for Autoregressive Series with a Unit Root”, Journal of the American Statistical Association, Cilt: 74(366): 427-431. Dıckey, D. A. ve Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time series with a Unit Root”. Econometrica, Cilt: 49(4): 1057-1072.
  • Ersoy, E. ve Bayrakdaroğlu, A. (2013). “İMKB 30 Endeksi ile VOB-İMKB 30 Endeks Vadeli İşlem Sözleşmeleri Arasındaki Öncül-Ardıl İlişkisi”. İstanbul Üniversitesi İşletme Fakültesi Dergisi. Cilt: 42, Sayı:1. ss. 26-40.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Rewiew of Theory and Emprical Work”, Journal of Finance, Vol. 25, No:2.
  • G.W. Kutner, R.J. Sweeney (1991). “Causality Tests between the S&P 500 Cash and Futures Markets”. Quarterly Journal of Business and Economics, 30, 2, 51-74
  • Garbade, K.D. ve Silber, W.L. (1982). “Price movement and price discovery in the futures and cash markets”. Review of Economics and Statistics, Cilt. 64, ss. 289–297. Ghosh, A. (1993). “Cointegration and error correction models: Intertemporal causality between index and futures prices”, Journal of Futures Markets, Cilt. 13, ss. 193–198.
  • Gök, İ.Y. ve Kalaycı, Ş. (2014). “BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı”. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. Cilt: 19, Sayı:3. ss. 109-133.
  • Granger, C.W.J. (1969). “Investigating Causal Relations by Econometric Mod- els ve Cross-Spectral Methods”. Econometrica. Cilt:37, No:3, 424-438.
  • Gujarati, D. N. (1999). Temel Ekonometri (Çev. Ümit Şenesen, Gülay G. Şen- esen), Literatür Yayıncılık.
  • Güngör, B. ve Yılmaz, Ö. (2008). “Finansal Piyasalardaki Gelişmelerin İktisadi Büyüme Üzerine Etkileri: Türkiye İçin Bir VAR Modeli”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 22(1): 173-193.
  • Hasbrouck, J. (1995). “One Security, Many Markets: Determining the Contri- butions to Price Discovery”. Journal of Finance, 50(4): 1175–1199.
  • Hazar, A. (2013). “ İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi ile Değerlendirilm- esi”. Niğde Üniversitesi İİBF Dergisi. Cilt:6, Sayı:2. ss. 138-149.
  • I.G. Kawaller, P.D. Koch, T.W. Koch (1987). “The Temporal Price Relationship between S&P 500 Futures and S&P 500 Index”. The Journal of Finance, 42, 5, 1309-1329.
  • İşeri, M. ve Kaçmazer, M. (2016). “2005-2015 Yılları Arasında BIST30 Endeksi ve BIST30 Endeks Vadeli İşlem Sözleşmeleri Arasındaki Nedensellik (Öncül-Ar- dıl) İlişkisinin İrdelenmesi”. Finans Politik & Ekonomik Yorumlar Dergisi. Cilt: 53, Sayı: 615. ss. 9-22.
  • J. Fleming, B. Ostdiek, R.E. Whaley (1996). “Trading Costs and the Relative Rates of Price Discovery in Stock, Futures and Option Markets”. Journal of Futures Markets, 16, 4, 353-387
  • J. Kang, C.J. Lee, S. Lee (2006). “An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations”. Journal of Emerging Market Fi- nance, 5, 3, 235-261.
  • J.H. Min, M. Najand (1999). “A Further Investigation of the Lead-Lag Rela- tionship between the Spot Market and Stock Index Futures: Early Evidence from Korea”. The Journal of Futures Markets, 19, 2, 217-232.
  • Joseph, A., Sisodia, G. ve Tiwari, A.K. (2014). “A Frequency Domain Causality Investigation between Futures and Spot Prices of Indian Commodity Mar- kets”. Economic Modelling. Cilt: 40, ss. 250-258.
  • Kadılar, C. (2000), Uygulamalı Çok Değişkenli Zaman Serileri Analizi, Ankara: Bizim Büro Basımevi.
  • Kayalıdere, K., Aracı, H. ve Aktaş, H. (2012). “Türev ve Spot Piyasalar Ar- asındaki Etkileşim: VOB Üzerine Bir İnceleme”. Muhasebe ve Finansman Der- gisi. Sayı: 56, ss. 137-154.
  • Laatsch, F. E., ve Schwarz, T. V. (1988). “Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets”. Review of Futures Markets, 7(2): 272-289.
  • Lıen, D., ve Shrestha, K. (2009). “A New Information Share Measure”. The Journal of Futures Markets, 29(4): 377–395
  • M. Karmakar (2009).,”Price Discovery and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty”. Vikalpa Journal for Decision Makers, 34, 2, 41-56
  • Ng, N. (1987). “Detecting Spot Price Forecasts in Futures Prices Using Causal- ity Tests”. Review of Futures Markets, 6(2): 250-267.
  • Özdemir, L. (2011). Vadeli İşlem Piyasası ile Spot Piyasa Oynaklığı Arasındaki İlişki: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama. Afyon Ko- catepe Üniversitesi, Sosyal Bilimler Enstitüsü. Yayınlanmamış Doktora Tezi.
  • Özer, A. ve Çömlekçi, İ. (2015). “Vadeli ve Spot Piyasalar Arasındaki Et- kileşim: VOB Üzerine Bir Uygulama”. Bartın Üniversitesi, İ.İ.B.F. Dergisi. Cilt: 6, Sayı:12. ss. 385-401.
  • P. Alphonse (2000). “Efficient Price Discovery in Stock Index Cash and Fu- tures Markets”. Annales D’economie et de Statistique, 60, 177-188.
  • R. Chen, Z.L. Zheng, (2008). “Unbiased Estimation, Price Discovery, and Mar- ket Efficiency: Futures Prices and Spot Prices”. Systems Engineering-Theo- ry&Practice, 28, 8, 2-11.
  • S.O. Nam, Y.O. Seung, H.K. Kim, B.C. Kim (2006). “An Empirical Analysis of the Price Discovery and the Pricing Bias in the KOSPI 200 Stock Index Deriva- tives Markets”. International Review of Financial Analysis, 15, 4-5, 398-414.
  • Songyoo, K. (2012). “Optimal Pasitioning in Thailand’s Spot and Future Mar- ket”. Procedia, Social and Behavioral Sciences. Cilt: 40. ss. 741-745.
  • Stoll, H.R. ve Whaley, R.E. (1990). “The dynamics of stock index and stock index futures returns’”. Journal of Financial and Quantitative Analysis, Cilt. 25. ss. 441–468.
  • Tang, G.N. Mak, S.C ve Choi, D.F.S. (1992). “The causal relationship between stock index futures and cash index prices in Hong Kong”, Applied Financial Economics, Cilt. 2, ss. 187–190.
  • Taylor, N. (2011). “Time-Varying Price Discovery in Fragmented Markets”. Applied Financial Economics, 21(10): 717–734.
  • Turkıngton, J. ve Walsh, D. (1999). “Price Discovery and Causality in Austral- ian Share Price Index Futures Market”. Australian Journal of Management. Cilt: 24(2). ss.97-113.
  • Wahab, M. ve Lashgari, M. (1993). “Price dynamic and error correction in stock index and stock index futures: A cointegration approach”. Journal of Futures Markets, Cilt. 13, ss.711–742.
  • Y. Tse (1999). “Price Discovery and Volatility Spillovers in the DJIA Index. Journal of Futures Markets, 19, 8, 911-930.
  • Y.K. Tse (1995). “Lead-Lag Relationship between Spot Index and Futures Pric- es of the Nikkei Stock Average”. Journal of Forecasting, 14, 553-563.
  • Y.W. Cheung, K.N. Lilian (1990). “The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities”. Review of Futures Markets, 9, 2, 458- 486. G.W. Kutner, R.J. Sweeney (1991). “Causality Tests between the S&P 500 Cash and Futures Markets”. Quarterly Journal of Business and Econom- ics, 30, 2, 51-74.
  • Yılmaz, Ö. ve Akıncı, M. (2011). “İktisadi Büyüme İle Cari İşlemler Bilanço- su Arasındaki İlişki: Türkiye Örneği”, Atatürk Üniversitesi Sosyal Bilimler En- stitüsü Dergisi, Cilt: 15(2): 363-377.
  • Zeckhauser, R., ve Nıederhoffer, V. (1983). “The Performance of Market Index Futures Contract”. Financial Analysts Journal, 39(1): 59-65.

The Feature of Being Leading Indicator of Futures and Spot Markets That Based on Share Market: Evidence From Istanbul Stock Exchange

Year 2016, Volume: 10 Issue: 1, 35 - 64, 01.06.2016

Abstract

The aim of this study is to demonstrate that the share market based futures and spot markets reflect the information at faster prices and are the leading indicators to other markets. For this purpose, the BIST 30 Futures Index and the indexes selected from the share market were used in the analyzes by calculating the growth rates of the daily closing data for the period of 02.07.2012 - 28.04.2017. In the study, Granger causality test, VAR analysis, Variance decomposition analysis were made and effect response graphs were created

References

  • A. Grünbichler, F.A. Longstaff, E.S. Schwartz (1994). “Electronic Screen Trad- ing and the Transmission of Information: An Empirical Examination”. Journal of Financial Intermediation, 3, 2, 166-187
  • A.F. Herbst, J.P. McCormack (1987). “E.N. West, Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts”. The Journal of Futures Markets, 7, 4, 373-381.
  • Akıncı, G.Y., Akınca, M. ve Yılmaz, Ö. (2014). “Finansal Gelişmişliğin Mak- roekonomik Belirleyicileri: Türkiye İçin Bir VAR Modeli”. Uluslararası Alanya İşletme Fakültesi Dergisi. Cilt: 6, Sayı:1. ss. 1-15.
  • Antonıou, A., ve Holmes, P. (1996). “Futures Market Efficiency, The Unbiasedness Hypothesis and Variance-bound Tests: The Case of the FTSE-100 Futures Contract”. Bulletin of Economic Research, 48(2): 115-128
  • Ateş, A., ve WANG, G. H. (2005). “Information Transmission in Electronic Versus Open-Outcry Trading Systems: An Analysis of U.S. Equity Index Futures Markets”. The Journal of Futures Markets, 25(7): 679-715.
  • Baillie, R. ve Myers, R. (1991). “Bivariate GARCH estimation of the optimal commodity futures hedge”. Journal of Applied Econometrics, Cilt. 6, ss. 109– 124.
  • C. Brooks, L. Garrett ve M.J. Hinich (1999). “An Alternative Approach to Investigating LeadLag Relationships between Stock and Stock Index Futures Markets”. Applied Financial Economics, 9, 6, 605-613.
  • C. Floros, D.V. Vougas (2007). “The Lead-Lag Relationship between Futures and Spot Markets in Greece: 1999-2001”. International Research Journal of Finance and Economics, 7, 168-174.
  • Chan K., Chan, K.C. ve Karolyi, G.A. (1991). “Intraday volatility in the stock index and stock index futures markets”. Review of Financial Studies, Cilt. 4, no. 4, ss. 657–684.
  • Charemza, W. W. ve Deadman, D. F. (1993). New Directions in Econometric Practice, Edward Elgar Publishing, UK.
  • CHEUNG, Y.W. and NG, L.K. (1996), “A Causality-in-Variance Test and Its Applications to Financial Market Prices”, Journal of Econometrics, 72, 33–48.
  • Çelik, İ. (2012). “Vadeli İşlem Piyasasında Fiyat Keşfi İzmir Vadeli İşlem ve Opsiyon Borsasında Ampirik Bir Uygulama”. Türkiye Bankalar Birliği. Yayın No:283. İstanbul.
  • Çevik, E. İ. ve Pekkaya, M., (2007). “Spot ve Vadeli İşlem Fiyatlarının Var- yansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İİBF Dergisi, Cilt:22, Sayı: 2. ss 49-66.
  • D.F. Kenourgios (2004). “Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market”. Economic and Business Re- view, 6, 3, 229-243
  • Demireli, E., Gülmez, E. ve Akkaya, G.C. (2010). “Vadeli ve Spot Kurlar Ar- asındaki Nedensellik İlişkisi: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. Sayı:27. ss.325- 333.
  • Dıckey, D. A. ve Fuller, W. A. (1979). “Distribution of the Estimators for Autoregressive Series with a Unit Root”, Journal of the American Statistical Association, Cilt: 74(366): 427-431. Dıckey, D. A. ve Fuller, W. A. (1981). “Likelihood Ratio Statistics for Autoregressive Time series with a Unit Root”. Econometrica, Cilt: 49(4): 1057-1072.
  • Ersoy, E. ve Bayrakdaroğlu, A. (2013). “İMKB 30 Endeksi ile VOB-İMKB 30 Endeks Vadeli İşlem Sözleşmeleri Arasındaki Öncül-Ardıl İlişkisi”. İstanbul Üniversitesi İşletme Fakültesi Dergisi. Cilt: 42, Sayı:1. ss. 26-40.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Rewiew of Theory and Emprical Work”, Journal of Finance, Vol. 25, No:2.
  • G.W. Kutner, R.J. Sweeney (1991). “Causality Tests between the S&P 500 Cash and Futures Markets”. Quarterly Journal of Business and Economics, 30, 2, 51-74
  • Garbade, K.D. ve Silber, W.L. (1982). “Price movement and price discovery in the futures and cash markets”. Review of Economics and Statistics, Cilt. 64, ss. 289–297. Ghosh, A. (1993). “Cointegration and error correction models: Intertemporal causality between index and futures prices”, Journal of Futures Markets, Cilt. 13, ss. 193–198.
  • Gök, İ.Y. ve Kalaycı, Ş. (2014). “BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı”. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. Cilt: 19, Sayı:3. ss. 109-133.
  • Granger, C.W.J. (1969). “Investigating Causal Relations by Econometric Mod- els ve Cross-Spectral Methods”. Econometrica. Cilt:37, No:3, 424-438.
  • Gujarati, D. N. (1999). Temel Ekonometri (Çev. Ümit Şenesen, Gülay G. Şen- esen), Literatür Yayıncılık.
  • Güngör, B. ve Yılmaz, Ö. (2008). “Finansal Piyasalardaki Gelişmelerin İktisadi Büyüme Üzerine Etkileri: Türkiye İçin Bir VAR Modeli”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 22(1): 173-193.
  • Hasbrouck, J. (1995). “One Security, Many Markets: Determining the Contri- butions to Price Discovery”. Journal of Finance, 50(4): 1175–1199.
  • Hazar, A. (2013). “ İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi ile Değerlendirilm- esi”. Niğde Üniversitesi İİBF Dergisi. Cilt:6, Sayı:2. ss. 138-149.
  • I.G. Kawaller, P.D. Koch, T.W. Koch (1987). “The Temporal Price Relationship between S&P 500 Futures and S&P 500 Index”. The Journal of Finance, 42, 5, 1309-1329.
  • İşeri, M. ve Kaçmazer, M. (2016). “2005-2015 Yılları Arasında BIST30 Endeksi ve BIST30 Endeks Vadeli İşlem Sözleşmeleri Arasındaki Nedensellik (Öncül-Ar- dıl) İlişkisinin İrdelenmesi”. Finans Politik & Ekonomik Yorumlar Dergisi. Cilt: 53, Sayı: 615. ss. 9-22.
  • J. Fleming, B. Ostdiek, R.E. Whaley (1996). “Trading Costs and the Relative Rates of Price Discovery in Stock, Futures and Option Markets”. Journal of Futures Markets, 16, 4, 353-387
  • J. Kang, C.J. Lee, S. Lee (2006). “An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations”. Journal of Emerging Market Fi- nance, 5, 3, 235-261.
  • J.H. Min, M. Najand (1999). “A Further Investigation of the Lead-Lag Rela- tionship between the Spot Market and Stock Index Futures: Early Evidence from Korea”. The Journal of Futures Markets, 19, 2, 217-232.
  • Joseph, A., Sisodia, G. ve Tiwari, A.K. (2014). “A Frequency Domain Causality Investigation between Futures and Spot Prices of Indian Commodity Mar- kets”. Economic Modelling. Cilt: 40, ss. 250-258.
  • Kadılar, C. (2000), Uygulamalı Çok Değişkenli Zaman Serileri Analizi, Ankara: Bizim Büro Basımevi.
  • Kayalıdere, K., Aracı, H. ve Aktaş, H. (2012). “Türev ve Spot Piyasalar Ar- asındaki Etkileşim: VOB Üzerine Bir İnceleme”. Muhasebe ve Finansman Der- gisi. Sayı: 56, ss. 137-154.
  • Laatsch, F. E., ve Schwarz, T. V. (1988). “Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets”. Review of Futures Markets, 7(2): 272-289.
  • Lıen, D., ve Shrestha, K. (2009). “A New Information Share Measure”. The Journal of Futures Markets, 29(4): 377–395
  • M. Karmakar (2009).,”Price Discovery and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty”. Vikalpa Journal for Decision Makers, 34, 2, 41-56
  • Ng, N. (1987). “Detecting Spot Price Forecasts in Futures Prices Using Causal- ity Tests”. Review of Futures Markets, 6(2): 250-267.
  • Özdemir, L. (2011). Vadeli İşlem Piyasası ile Spot Piyasa Oynaklığı Arasındaki İlişki: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama. Afyon Ko- catepe Üniversitesi, Sosyal Bilimler Enstitüsü. Yayınlanmamış Doktora Tezi.
  • Özer, A. ve Çömlekçi, İ. (2015). “Vadeli ve Spot Piyasalar Arasındaki Et- kileşim: VOB Üzerine Bir Uygulama”. Bartın Üniversitesi, İ.İ.B.F. Dergisi. Cilt: 6, Sayı:12. ss. 385-401.
  • P. Alphonse (2000). “Efficient Price Discovery in Stock Index Cash and Fu- tures Markets”. Annales D’economie et de Statistique, 60, 177-188.
  • R. Chen, Z.L. Zheng, (2008). “Unbiased Estimation, Price Discovery, and Mar- ket Efficiency: Futures Prices and Spot Prices”. Systems Engineering-Theo- ry&Practice, 28, 8, 2-11.
  • S.O. Nam, Y.O. Seung, H.K. Kim, B.C. Kim (2006). “An Empirical Analysis of the Price Discovery and the Pricing Bias in the KOSPI 200 Stock Index Deriva- tives Markets”. International Review of Financial Analysis, 15, 4-5, 398-414.
  • Songyoo, K. (2012). “Optimal Pasitioning in Thailand’s Spot and Future Mar- ket”. Procedia, Social and Behavioral Sciences. Cilt: 40. ss. 741-745.
  • Stoll, H.R. ve Whaley, R.E. (1990). “The dynamics of stock index and stock index futures returns’”. Journal of Financial and Quantitative Analysis, Cilt. 25. ss. 441–468.
  • Tang, G.N. Mak, S.C ve Choi, D.F.S. (1992). “The causal relationship between stock index futures and cash index prices in Hong Kong”, Applied Financial Economics, Cilt. 2, ss. 187–190.
  • Taylor, N. (2011). “Time-Varying Price Discovery in Fragmented Markets”. Applied Financial Economics, 21(10): 717–734.
  • Turkıngton, J. ve Walsh, D. (1999). “Price Discovery and Causality in Austral- ian Share Price Index Futures Market”. Australian Journal of Management. Cilt: 24(2). ss.97-113.
  • Wahab, M. ve Lashgari, M. (1993). “Price dynamic and error correction in stock index and stock index futures: A cointegration approach”. Journal of Futures Markets, Cilt. 13, ss.711–742.
  • Y. Tse (1999). “Price Discovery and Volatility Spillovers in the DJIA Index. Journal of Futures Markets, 19, 8, 911-930.
  • Y.K. Tse (1995). “Lead-Lag Relationship between Spot Index and Futures Pric- es of the Nikkei Stock Average”. Journal of Forecasting, 14, 553-563.
  • Y.W. Cheung, K.N. Lilian (1990). “The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities”. Review of Futures Markets, 9, 2, 458- 486. G.W. Kutner, R.J. Sweeney (1991). “Causality Tests between the S&P 500 Cash and Futures Markets”. Quarterly Journal of Business and Econom- ics, 30, 2, 51-74.
  • Yılmaz, Ö. ve Akıncı, M. (2011). “İktisadi Büyüme İle Cari İşlemler Bilanço- su Arasındaki İlişki: Türkiye Örneği”, Atatürk Üniversitesi Sosyal Bilimler En- stitüsü Dergisi, Cilt: 15(2): 363-377.
  • Zeckhauser, R., ve Nıederhoffer, V. (1983). “The Performance of Market Index Futures Contract”. Financial Analysts Journal, 39(1): 59-65.
There are 54 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Abdulkadir Kaya This is me

Publication Date June 1, 2016
Published in Issue Year 2016 Volume: 10 Issue: 1

Cite

APA Kaya, A. (2016). Pay Piyasasına Dayalı Vadeli İşlem ve Spot Piyasalarının Öncü Gösterge Olma Özelliği: Borsa İstanbul Örneği. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 10(1), 35-64.