FRANZ KAFKA VE DIE VERWANDLUNG (DEĞİŞİM) İSİMLİ ESERİ

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

FRANZ KAFKA VE DIE VERWANDLUNG (DEĞİŞİM) İSİMLİ ESERİ

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

References

1. Ackert, L.F. and Tian, Y.S. (2000). ‘‘Arbitrage and valuation in the market for Standard and Poor’s depositary receipts’’, Financial Management, 29,3: 71
2. Chance, D.M. (1995). An Introduction to Derivatives, Third Edition,Dryden.
3. Chu, Q.C. and Hsieh, W.G. (2002). ‘‘Pricing Efficiency of the S&P Index
4. Market: Evidence from the Standard and Poor’s Depositary Receipts’’, Journal of Futures Markets, 22: 877-900. Fremault, A. (1991). ‘‘Stock Index Futures and Index Arbitrage in a Rational
5. Expectations Model’’, Journal of Business, 64, 4: 523-547. Grossman, S.J. (1988). ‘‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging
6. Strategies’’, Journal of Business, 61 (July): 275-298. Hill, J.M. and Jones F.J. (1988). ‘‘Equity Trading, Program Trading,
7. Portfolio Insurance, Computer Trading and All That’’ Financial Analysts Journal, (July-August): 29-38. Kumar, P. and Seppi, D.J. (1994). ‘‘Information and Index Arbitrage’’,
8. Journal of Business, 67: 481-509. Kurov, A.A. and Lasser, D.J. (2002). ‘‘The Effect of the Introduction of

9. Cubes on the Nasdaq-100 Index Spot-Futures Pricing Relationship’’, Journal of Futures Markets, 22. Neal, R. (1996). ‘‘Direct Tests of Index Arbitrage Models’’, Journal of
10. Financial and Quantitative Analysis, 31: 541-562. Stoll, H.R. and Whaley, R.E. (1987). ‘‘Program Trading and Expiration-Day
11. Effects’’, Financial Analysts Journal, 43: 16-28. Switzer, L.N., Varson, P.L. and Zghidi, S. (2000). ‘‘Standard and Poor’s
12. Depositary Receipts and the Performance of the S&P 500 Index Futures Market’’, Journal of Futures Markets, 20: 705-716. Tse, Y. and Erenburg, G. (2003) ‘‘Competition for Order Flow, Market
13. Quality, and Price Discovery in the Nasdaq 100 Index Tracking Stock’’, Journal of Financial Research, 26: 301-318. Chicago Merchantile Exchange, ‘‘Equity Index Futures & Options 2003
14. Information Guide’’, www.cme.com, (22 Eylül 2003). http://www.nasdaq.com, (19 Kasım 2002). http://www.nasdaq.com/ indexshares/index shares n100.stm, (6 Kasım 2003) http://www.nasdaq.com/econoday/reports/US/EN/NewYork/resourceshort take/year/ 2002/weekly/21/index.html, (11 Eylül 2002).