BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ

Doç. Dr Önder Büberkökü

doi:10.29106/fesa.645626

BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ

Abstract

Bu çalışmada BIST 30 endeksi ile Dolar-TL kuru üzerine yazılı futures kontratların sunduğu optimal hedge rasyoları ve hedging etkinliği incelenmiştir. Çalışmada, kapsamlı bir analiz sunulması amacıyla, hem DBEKK, CCC-GARCH, DCC-GARCH, GOGARCH-ML ve GOGARCH-NLS modellerinden oluşan dinamik hedging stratejilerine hem de OLS, VAR, ECM ile kısa ve uzun hafızalı GARCH modellerine (GARCH, GJR-GARCH, FIGARCH, FIEGARCH) dayalı statik hedging stratejilerine yer verilmiştir. En uygun modelin belirlenmesinde ise minumum varyans yaklaşımı ile ortalama varyans yaklaşımına dayalı fayda fonksiyonundan yararlanılmıştır.Çalışma bulguları, BIST30 endeksi için DBEKK modeli tarafından sunulan optimal hedge rasyosunun; Dolar-TL kuru içinse GOGARCH-NLS modeli tarafından sunulan optimal hedge rasyosunun hedging etkinliğinin daha iyi olduğunu göstermektedir.

Keywords

Optimal hedge rasyosu,Futures kontratlar,Çok değişkenli GARCH modelleri

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Details

Primary Language

Turkish

Subjects

Business Administration

Journal Section

Research Article

Authors

Doç. Dr Önder Büberkökü ^*
0000-0002-7140-557X
Türkiye

Publication Date

December 31, 2019

Submission Date

November 12, 2019

Acceptance Date

December 2, 2019

Published in Issue

Year 2019 Volume: 4 Number: 4

DOI

https://doi.org/10.29106/fesa.645626

IZ

https://izlik.org/JA32CC36DB

Cite

RIS / Bibtex

APA

Büberkökü, D. D. Ö. (2019). BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 4(4), 514-544. https://doi.org/10.29106/fesa.645626

AMA

1.Büberkökü DDÖ. BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2019;4(4):514-544. doi:10.29106/fesa.645626

Chicago

Büberkökü, Doç. Dr Önder. 2019. “BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ”. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi 4 (4): 514-44. https://doi.org/10.29106/fesa.645626.

EndNote

Büberkökü DDÖ (December 1, 2019) BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 4 4 514–544.

IEEE

[1]D. D. Ö. Büberkökü, “BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ”, Finans Ekonomi ve Sosyal Araştırmalar Dergisi, vol. 4, no. 4, pp. 514–544, Dec. 2019, doi: 10.29106/fesa.645626.

ISNAD

Büberkökü, Doç. Dr Önder. “BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ”. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 4/4 (December 1, 2019): 514-544. https://doi.org/10.29106/fesa.645626.

JAMA

1.Büberkökü DDÖ. BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2019;4:514–544.

MLA

Büberkökü, Doç. Dr Önder. “BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ”. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, vol. 4, no. 4, Dec. 2019, pp. 514-4, doi:10.29106/fesa.645626.

Vancouver

1.Doç. Dr Önder Büberkökü. BIST 30 ENDEKSİ VE DOLAR-TL KURU İÇİN FUTURES KONTRATLARA DAYALI OPTİMAL HEDGE RASYOLARININ VE HEDGİNG ETKİNLİĞİNİN İNCELENMESİ: KAPSAMLI BİR ANALİZ. Finans Ekonomi ve Sosyal Araştırmalar Dergisi. 2019 Dec. 1;4(4):514-4. doi:10.29106/fesa.645626

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