İNDEKS HİSSELER VE İDEKS ARBİTRAJINA ETKİLERİ

Abstract

While the logic behind arbitrage is to buy cheap and sell for more, it indeed is an important trading mechanism contributing to the innovation of true or fair asset value in the markets. Thus, by eliminating price differentiation and mispricing among the markets, arbitrage helps to achieve an efficiently and evenly distribution of resources which benefit the economy as a whole. An arbitrage position can be created on almost any transferrable assets. Since arbitrage is widely used in financial markets, it has been subject to various studies. Developments and product innovations in these markets provide new dimensions to arbitrage transactions. As a new investment instrument, index shares have been traded in financial markets only for a decade and are expected to contribute to arbitrage transactions. In this context, this paper examines the impact of index shares’ inception on the arbitrage relationship between the spot index and the index futures markets

Keywords

• arbitrage, program trading, index shares, index futures

İNDEKS HİSSELER VE İDEKS ARBİTRAJINA ETKİLERİ

Abstract

Ucuz alıp pahalı satmak mantığıyla gerçekleştirilen arbitraj işlemleri, aslında piyasalarda gerçek veya adil fiyatın oluşumuna büyük katkı sağlayan önemli bir piyasa mekanizmasıdır. Böylelikle, piyasalar arasındaki dengesizlikleri ve yanlış fiyatlamaları gidererek, bütün bir ekonominin yararına olan etkin ve dengeli kaynak dağılımının gerçekleşmesine yardım etmiş olur. Arbitraj işlemi, transferi mümkün olan her varlık için gerçekleştirilebilir. Finansal piyasalarda da oldukça geniş bir uygulama alanına sahip olup, pek çok araştırmaya konu olmaktadır. Piyasalarda ortaya çıkan gelişmeler ve yaratılan yatırım araçları arbitraj işlemlerine yeni boyutlar kazandırmaktadır. İndeks hisseler henüz on yıldır finansal piyasalarda işlem görmekte olup, yeni bir yatırım enstrümanı olarak arbitraj işlemlerine katkı sağlaması düşünülen bir araçtır. Bu çalışmada, indeks hisselerin piyasaya çıkışının, spot indeks ve indeks futures piyasaları arasındaki arbitraj ilişkisine olan etkisi incelenmektedir

Keywords

• arbitraj, program işlemler, indeks hisse, indeks futures

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