TÜRKİYE’DE SPOT VE VADELİ İŞLEM PİYASALARI ARASINDA BİLGİ ETKİNLİĞİ VE ETKİLEŞİM: ÖNCÜL-ARDIL İLİŞKİLER VE VOLATİLİTE İLETİMİ

Year 2022, , 470 - 491, 30.06.2022

Gamze Göçmen Yağcılar

https://doi.org/10.17130/ijmeb.969177

Cited By: 1

Abstract

Çalışmanın amacı, Borsa İstanbul’da işlem gören Bist 30 endeksi ve Dolar-TL vadeli işlem sözleşmeleri ile dayandıkları spot piyasalar arasındaki ilişkileri incelemektir. 5 Ağustos 2013-28 Nisan 2021 dönemine ait günlük logaritmik getiriler kullanılarak yürütülen çalışmada spot ve vadeli işlem piyasaları arasında öncül-ardıl ilişkileri ve fiyat keşfi fonksiyonunun yanı sıra volatilite yayılımları da ortaya konulmaya çalışılmıştır. Böylece yeni bilginin hangi piyasada daha önce fiyatlandığına, dolayısıyla hangi piyasanın etkinliğinin daha yüksek olduğuna ışık tutulmak istenmiştir. VAR-BEKK-GARCH ve VAR-DCC-GARCH modellerinin çözümünden elde edilen bulgular endekste spot piyasanın liderliğini, döviz piyasasında ise çift yönlü etkileşimin varlığını ortaya koymaktadır. Analiz sonuçları piyasalar arasında dinamik koşullu korelasyonların anlamlı olduğunu ve pozitif bilginin volatilite üzerindeki etkisinin daha güçlü olduğu göstermiştir.

Keywords

Fiyat Keşfi, Volatilite yayılımı, Çok Değişkenli GARCH Modelleri, Vadeli İşlem Piyasaları

INFORMATION EFFICIENCY AND INTERACTIONS BETWEEN SPOT AND FUTURES MARKETS: LEAD-LAG RELATIONSHIP AND VOLATILITY TRANSMISSION

Abstract

The aim of the study is to examine the relations between the Bist 30 index and USD-TRY futures contracts traded in Borsa Istanbul and the underlying spot markets. In the study, which was carried out using daily logarithmic returns for the period of August 5, 2013-April 28, 2021, the lead-lag relationships between spot and futures markets and the price discovery function as well as volatility spillovers were tried to be revealed. Thus, it is aimed to shed light on which market the new information is priced in first, and therefore which market has the higher efficiency. Findings obtained from the VAR-BEKK-GARCH and VAR-DCC-GARCH models reveal the leadership of the spot market in the index and the presence of bidirectional interaction in the foreign exchange markets. Results also showes that dynamic conditional correlations between markets are significant and the effect of positive information on volatility is stronger.

Keywords

Price Discovery, Volatility Spillover, Multivariate GARCH Models, Futures Markets

References

• Alemany, N., Arago, V. & Salvador, E. (2020). Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models. International Review of Economics and Finance, 68, 269-280. https://doi.org/10.1016/j.iref.2020.03.009
• Alphonse, P. (2000). Efficient price discovery in stock index cash and futures markets. Annales d'Économie et de Statistique, Financial Market Microstructure (Oct. - Dec., 2000), 60, 177- 188. https://www.jstor.org/stable/20076259
• Ausloos, M., Zhang, Y. & Dhesi, G. (2020). Stock index futures trading impact on spot price volatility. The CSI 300 studied with TGARCH model. Expert Systems with Applications, 160, 113688.
• Baba,Y., Engle, R. F., Kraft, D. F. & Kroner, K. F. (1990). Multivariate simultaneous generalized ARCH. MIMEO, Department of Economics, University of California, San Diego.
• Balcılar, M., Güngör, H. & Hammoudeh, S. (2015). The time-varying causality between spot and futures crude oil prices: A regime switching approach. International Review of Economics and Finance, 40, 51-71. http://dx.doi.org/10.1016/j.iref.2015.02.008
• Beirne, J., Caporale, G. M., Schulze-Ghattas, M. & Spagnolo, N. (2013). Volatility spillovers and contagion from mature to emerging stock markets. Review of International Economics, 21, 1060-1975. https://doi.org/10.1111/roie.12091
• Brooks, C., Rew, A. G. & Ritson, S. (2001). A trading strategy based on the lead-lag relationship between spot index and futures contract for the FTSE 100. International Journal of Forecasting, 17, 31-44.
• Brorsen, B. W., Bailey, D. V. & Richardson, J. W. (1984). Investigation of price discovery and efficiency for cash and futures cotton prices. Western Journal of Agricultural Economics, 9(1), 170-176.
• Chakravarty, S., Gülen, H. & Mahyew, S. (2004). Informed trading in stock and option markets. The Journal of Finance, 59(3), 1235-1257.
• Chance, D. M. (2017). Chapter I: Derivative Markets and Instruments, in Derivatives, ed. Pirie, W. L., CFA Institute Investment Series, John Wiley&Sons Inc., New Jersey, pp. 1-53.
• Chen, H., Liu, Z., Zhang, Y. & Wu, Y. (2020). The linkages of carbon spot-futures: evidence from EU-ETS in the third phase. MDPI Sustainability, 12, 2517. doi:10.3390/su12062517
• Cheung, Y.-W. & Fung, H.-G. (1997). Information flows between eurodollar spot and futures markets. Multinational Finance Journal, 1(4), 255-271. Retrieved from https://ideas.repec.org/
• Chiang, R. & Fong, W.-M. (2001). Relative informational efficiency of cash, futures, and options markets: The case of an emerging market. Journal of Banking and Finance, 25, 355-375.
• Çelik, İ. (2012). Vadeli işlem piyasasında fiyat keşfi: İzmir Vadeli İşlem ve Opsiyon Borsasında Ampirik bir Uygulama. Türkiye Bankalar Birliği, Yayın No. 283, İstanbul, 2012.
• Çevik, E. İ. & Pekkaya, M. (2007). Spot ve vadeli işlem fiyatlarının varyansları arasındaki nedensellik testi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), 49-66.
• Demireli, E. & Torun, E. (2019). Sürekli dalgacık dönüşümlü Granger nedensellik analizi ile BİST-30 endeksi ve endeks vadeli işlem sözleşmesi üzerine bir araştırma. Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 42, 191-199.
• Demireli, E., Gülmez, E. & Akkaya, G. C. (2010). Vadeli ve spot kurlar arasındaki nedensellik ilişkisi: İzmir Vadeli İşlem ve Opsiyon Borsası üzerine bir uygulama. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 27. Retrieved from https://dergipark.org.tr/en/pub/dpusbe/issue/4769/65619
• Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. Journal of Business and Economic Statistics, 20(3), 339-350.
• Engle, R. F., & Kroner, F. K. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122-150.
• Ersoy, E. & Bayrakdaroğlu, A. (2013). İMKB-30 endeksi ile VOB-İMKB 30 endeks vadeli işlem sözleşmeleri arasındaki öncül-ardıl ilişkisi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 42(1), 26-40.
• Feng, J. & Jiang, Y. (2013). Volatility spillovers between the stock index futures and its underlying spot market in China. 20. International Conference on Management Science & Engineering, Harbin, China, July 17-19, 2013.
• Garbade, K. D. & Silber, W. L. (1983). Price movements and price discovery in futures and cash markets. The Review of Economics and Statistics, May-1983, 65(2), 289-297. Retrieved from https://www.jstor.org/
• Gkillas, K., Konstantatos, C., Floros, C. & Tsagkanos, A. (2021). Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. International Review of Financial Analysis, 74, 101706.
• Gong, C.-C., Ji, S.-D., Su, L.-L., Li, S.-P. & Ren, F. (2016). The lead-lag relationship between stock index and stock index futures: A thermal optimal path method. Physica A, 444, 63-72. http://dx.doi.org/10.1016/j.physa.2015.10.028
• Gök, İ. Y. & Kalaycı, Ş. (2014). BİST 30 spot ve futures piyasalarında güniçi fiyat keşfi ve volatilite yayılımı. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(3), 109-133.
• Gürbüz, S. & Şahbaz, S. (2021). Investigating the volatlity spillover effect between derivative markets and spot markets via wavelets: The case of Borsa İstanbul. Borsa İstanbul Review. https://doi.org/10.1016/j.bir.2021.05.006
• He, F., Liu-Chen, B., Meng, X., Xiong, X. & Zhang, W. (2020). Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction. Quantitative Finance, 20(12), 2067-2083. https://doi.org/10.1080/14697688.2020.1814037
• Hou, Y. (G.) & Li, S. (2020). Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. International Review of Economics and Finance, 66, 166-188. https://doi.org/10.1016/j.iref.2019.11.003
• Huo, R. & Ahmed, A. D. (2018). Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme. Research in International Business and Finance, 44, 135-152. http://dx.doi.org/10.1016/j.ribaf.2017.07.049
• İşeri, M. & Kaçmazer, M. (2016). 2005-2015 yılları arasında BİST 30 endeksi ve BİST 30 endeks vadeli işlem sözleşmeleri arasındaki nedensellik (öncül-ardıl) ilişkisinin irdelenmesi. Finans Politik & Ekonomik Yorumlar, 53(615), 9-21.
• Jena, S. K., Tiwari, A. K. & Roubaud, D. (2018). Comovement of gold futures markets and the spot market: A wavelet analysis. Finance Research Letters, 24, 19-24. http://dx.doi.org/10.1016/j.frl.2017.05.006
• Jiang, T., Bao, S. and Li, L. (2019). The linear and nonlinear lead-lag relationship among three SSE 50 index markets: The index futures, 50ETF spot and options markets. Physica A, 525, 878-893. https://doi.org/10.1016/j.physa.2019.04.056
• Judge, A. & Reancharoen, T. (2014). An empirical examination of the lead-lag relationship between spot and futures markets: Evidence from Thailand. Pacific-Basin Finance Journal, 29, 335-358. http://dx.doi.org/10.1016/j.pacfin.2014.05.003
• Kang, S. H., Cheong, C. & Yoon, S.-M. (2013). Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market. Physica A, 392, 1795-1802. doi:10.1016/j.physa.2013.01.017
• Karabıyık, H., Narayan, P. K., Phan, D. H. B. & Westerlund, J. (2018). Islamic spot and index futures markets: Where is the price discovery? Pacific-Basin Finance Journal, 52, 123-133. http://dx.doi.org/10.1016/j.pacfin.2017.04.003
• Kasman, A. & Kasman, S. (2008). The impact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A, 387, 2837-2845. doi:10.1016/j.physa.2008.01.084
• Kawaller, I. G., Koch, P. D. & Koch, T. W. (1987). The temporal price relationship between S&P 500 futures and the S&P 500 index. The Journal of Finance, 42(5), 1309-1329.
• Kaya, A. (2016). Pay piyasasına dayalı vadeli işlem ve spot piyasalarının öncü gösterge olma özelliği: Borsa İstanbul örneği. BDDK Bankacılık ve Finansal Piyasalar, 10(1), 35-64.
• Kayalıdere, K., Aracı, H. & Aktaş, H. (2012). Türev ve spot piyasalar arasındaki etkileşim: VOB üzerine bir inceleme. Muhasebe ve Finansman Dergisi, Ekim/2012, 137-154.
• Kim, K. & Lim, S. (2019). Price discovery and volatilty spillover in spot and futures markets: evidences from steel-related commodities in China. Applied Economic Letters, 26(5), 351-357. DOI: 10.1080/13504851.2018.1478385
• Koy, A. (2017). Spot ve vadeli piyasa ilişkilerine Markov rejim değişim modelleri yaklaşımı. Bankacılar Dergisi, 101, 70-87.
• Kumar, M. A. & Shollapur, M. R. (2015). Price discovery and volatility spillover in the agricultural commodity futures market in India. The IUP Journal of Applied Finance, 21(1), 54-70.
• Li, S. (2015). Volatility spillovers in the CSI300 futures and spot markets in China: Empirical study based on discrete wavelet transform and VAR-BEKK-bivariate GARCH model. Information Technology and Quantitative management 2015, Procedia Computer Science, 55, 380-387. doi: 10.1016/j.procs.2015.07.085
• Manogna, R. L. & Mishra, A. K. (2020). Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India. Journal of Agribusiness in Developing and Emerging Economies, 10(4), 447-473. DOI 10.1108/JADEE-10-2019-0175
• Özdemir Höl, A. & Akkuş, T. (2021). Volatilite Modelleri, Finansal Zaman Serisi Analizi, Finansçılar için Temel Yaklaşımlar içinde, ed. Çelik, İ. ve Bozkuş Kahyaoğlu, S., Gazi Kitabevi, Ankara, 299-412.
• Özdemir, L. (2017). Vadeli işlem piyasası ile hisse senedi piyasa oynaklığı arasındaki ilişki: İzmir vadeli işlem ve opsiyon borsası üzerine bir uygulama. Akademik Sosyal Araştırmalar Dergisi, 5(44), 171-189.
• Özdemir, L. & Kula, V. (2017). Döviz piyasa oynaklığı ile vadeli işlem piyasası arasındaki nedensellik ilişkisi. İşletme Araştırmaları Dergisi, 9(3), 618-636. DOI: 10.20491/isarder.2017.315
• Parhi, M. & Liu, S. (2020). The intraday dynamic relationship between stock index spot and futures market in China. Journal of International Money, Banking and Finance, 1(1), 3-29.
• Ping, L., Ziyi, Z., Tianna, Y. & Qingchao, Z. (2018). The relationship among Cihna’s fuel oil spot, futures and stock markets. Finance Research Letters, 24, 151-162. http://dx.doi.org/10.1016/j.frl.2017.09.001
• Polat, M., Kanmaz, D. & Vergi, H. (2019). Vadeli ve Spot Piyasalar Arasında Nedensellik İlişkisi: Borsa İstanbul Örneği, Bitlis Eren Üniversitesi Akademik İzdüşüm Dergisi, 4(1), 84-96. Retreived from https://dergipark.org.tr/
• Pradhan, R.P., Hall, J. H. & du Toit, E. (2021). The lead-lag relationship between spot and futures prices: Empirical evidence from the Indian comodity market. Recources Policy, 70, 101934. https://doi.org/10.1016/j.resourpol.2020.101934
• Rastogi, S. & Agarwal, A. (2020). Volatility spillover effects in spot, futures and option markets. TEST Engineering & Management, 83, May-June 2020, 10114-10127.
• Sehgal, S., Ahmad, W. & Deisting, F. (2015). An investigation of price discovery and volatility spillovers in India’s foreign exchange market. The Journal of Economic Studies, 42(2), 261-284. DOI 10.1108/JES-11-2012-0157
• Shao, Y.-H., Yang, Y.-H., Shao, H.-L. & Stanley, H. E. (2019). Time-varying lead-lag structure between the crude oil spot and futures markets. Physica A, 523, 723-733. https://doi.org/10.1016/j.physa.2019.03.002
• Siddiqui, S. & Roy, P. (2020). Asymmetric information linkages across select futures and spot indices-Evidence using wavelet-based GARCH model. Journal of Advances in Management Research, 17(3), 397-419. DOI 10.1108/JAMR-10-2019-0197
• Stoll, H. R. & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. The Journal of Financial and Qantitative Analysis, 25(4), 441-468. Retreieved from https://www.jstor.org/
• Tang, D., Yang, Y. & Yu, Y. (2018). Price discoverey and volatility spillover effect in treasury bond futures and spot markets: Evidence from China. IOP conference Series: Material Science and Engineering, 439, 032056. doi:10.1088/1757-899X/439/3/032056
• Tokat, E. & Tokat, H. A. (2010). Shock and volatility transmission in the futures and spot markets: Evidence from Turkish markets. Emerging Markets Finance & Trade, July-August 2010, 46(4), 92-104. D0I 10.2753/REE1540-496X460406
• Tsuji, C. (2018). Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. Economic Modelling, 74, 167-185. https://doi.org/10.1016/j.econmod.2018.05.007
• Yang, Y.-H. & Shao, Y.-H. (2020). Time-dependent lead-lag relationships between the VIX and VIX futures markets. North American Journal of Economics and Finance, 53, 101196. https://doi.org/10.1016/j.najef.2020.101196
• Yang, Z. & Song, F.-T. (2017). The volatility spillover effect between the T-Note spot and futures markets-Evidence from China, Germany and United States. 3rd International Conference on Management Science and Engineering (MSE 2017), Advances in Economics, Business and Management Research, 50, Atlantis Press, 186-190.
• Yousaf, I., Ali, S. & Wong, W.-K. (2020). Return and volatility transmission between World-leading and Latin American stock markets: potrfolio implications. Journal of Risk and Financial Management, 13(148). doi:10.3390/jrfm13070148
• Yousaf, I. & Ali, S. (2020). The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach. Borsa İstanbul Reivew, 20(S1), 1-10. https://doi.org/10.1016/j.bir.2020.10.003
• Yu, L., Zha, R., Stafylas, D., He, K. & Liu, J. (2020). Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models. International Review of Financial Analysis, 68, 101280. https://doi.org/10.1016/j.irfa.2018.11.007
• Zhang, Y. & Liu, L. (2018). The lead-lag relationship between spot and futures prices of natural gas. Physica A, 490, 203-211. http://dx.doi.org/10.1016/j.physa.2017.08.018
• Zhao, X., Zhang, W.-G. & Liu, Y.-J. (2020). Volatility spillovers and risk contagion paths with capital flows across multiple financial markets in China. Emerging Markets Finance and Trade, 56(4), 731-749. DOI: 10.1080/1540496X.2018.1472080