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Vadeli hisse senedi işlemlerinin spot piyasa üzerine etkisi: İMKB üzerine bir uygulama

Year 2009, Volume: 38 Issue: 1, 84 - 100, 14.10.2009

Abstract

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References

  • http://www.tspakb.org.tr/docs /egitim_notlari/vadeli_islemler_turev.pdf Piyasası Aracı Kuruluşları Birliği,
  • (çevirimiçi), [2] Hull, J. C., Options, Futures & Other Derivatives, 6th ed., Prentice Hall, New Jersey, 2005.
  • Edwards,F.R., “Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures”, Journal of Futures Narkets, 1988, ,No.4, 421-439,
  • Harris, L., “S&P 500 Cash Stock Price Volatilities”, Journal of Finance, 1989, 44, 1155–1175.
  • Antoniou, A. and P. Holmes, “Futures Trading, Information and Spot Price Volatility: Evidence from the FTSE 100 Stock Index Futures Contract using GARCH”, Journal of Banking and Finance, 1995, 19(1): 117–29.
  • Dennis, S. A., and A. B. Sim,” Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange”, International Review of Financial Analysis, 1999, 8, 153– 163.
  • Baldauf, B. and G.J. Santoni, “Stock Price Volatility: Some Evidence from an ARCH Model”, Journal of Futures Markets, 1991, 11(2): 191–200.
  • Antoniou, A. and J.A. Foster „The Effect of Futures Trading on Spot Price Volatility: Evidence for Brent Crude Oil using GARCH‟, Journal of Business Finance and Accounting,19(4): 473–84.
  • Galloway, T. M. and J. M. Miller, “Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of MidCap 400 Index Futures”, Financial Review, 1997, 32, 845–66.
  • Rahman, S.,”The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks”, Journal of Futures Markets, 2001, 21, 633–53.
  • Ross, S. A., “Options and Efficiency”., Quarterly Journal of Economics, 1976, 90, 75- 90.
  • Hakansson, N. H., “Changes in the Financial Market: Welfare and Price Effects and The Basic Theorems of Value Conservation”, Journal of Finance, 1982, 37, 977-1004.
  • Danthine, J., “Information, Futures Prices and Stabilizing Speculation”, Journal of Economic Theory, 1978, 17(1): 79–98.
  • Fleming, J. and B. Ostdiek, “The Impact of Energy Derivatives on the Crude Oil Market”, The James A. Baker III Institute for Public Policy of Rice University, 1999, 1-32
  • Pericli, A. and G. Koutmos, “Index Futures and Options and Stock Market Volatility”, Journal of Futures Markets, 17, 1997, 957–974.
  • Min, Jae, and Naj M., “A Further Investigation on the Lead-Lag Relationship Between the Stock Indek and Futures Markets: Early Evidence from Korea”, The Journal of Futures Markets, 19, No.2, 1999, 217-232.
  • Butterworth, D., “The Impact of Futures Trading on Underlying Stock Index Volatility: The Case of the FTSE Nid250 Contract”, Applied Economics Letters, 2000, 439- 442.
  • Darrat, Ali F., S. Rahman . and Z. Maosen ., “On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?” The Journal of Financial Research, 2000, 1-23
  • Yu, Shang-Wu, “Index Futures Trading and Spot Price Volatility”, Applied Economics Letters, 2001, 183-186.
  • Pilar, Corredor and Rafael Santamari, “Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock Market”, Applied Economics Letters, , 2002, 107-110.
  • Gubta O.P. and Kumar M. “Impact of Intrduction of Index Futures on Stock Market Volatility: Indian Experience”, 6th Capital Market Conference, Uti Institute of Capital Markets, Mumbai, 2002.
  • Thenmoshi, M.,“Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract”, NSE Working Paper, 2002.
  • Ryoo, Hyung-Jung, and Smith, G., “The Impact of Stock Index Futures on the Korean Stock Market”, Applied Financial Economics,2004, 243-251.
  • Figlewski, S.,“ Futures Trading and Volatility in the GNMA Futures”., Journal of Finance, 1981, 445– 446
  • Bessembinder, H.,and Seguin, P. J. , “Futures-trading activity and stock price volatility”, 1992, Journal of Finance, 47, 2015-2034.
  • Darrat, A. F., and S. Rahman, “Has Futures Trading Activity Caused Stock Price Volatility? Journal of Futures Markets, 15, 1995, 537-557.
  • Chen, N., C.J. Cuny and R. A. Haugen , “Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts”, 1995, Journal of Finance, Vol. 50, pp. 281–300. [28] Chatrath, A., Ramchander, S., and Song, F., “Speculative Activity and Stock Market Volatility”, Journal of Economics and Business, (1998) 50, 323– 337.
  • Adrangi, B. and A. Chatrath, “Futures Commitments and Exchange Rate Volatility”, Journal of Business Finance and Accounting”, 1989, Vol. 25, pp. 501–20.
  • Guln, H. and Mayhew, S., “Stock Index Futures: Trading and Volatility in International Equity Markets”, Journal of Futures Markets, , 2001, 20, 661–85.
  • Yang, Jiab, R. B. Balyeat and D. J. Leatham, “Futures Trading Activity and Commodity Cash Price Volatility”, Journal of Business Finance&Accounting, , Jan/March 2005, 32.
  • Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometric, 1986, 307-327.
  • Engle, R. F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, No:50, 1982, 987-1008.
  • Gujarati, D.N., Temel Ekonometri, (Çevirenler: Ümit Şenesen, Gülay Günlük Şenesen) Literatür Yayınları No:33, İstanbul, 2001

The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange

Year 2009, Volume: 38 Issue: 1, 84 - 100, 14.10.2009

Abstract

In this study, the causality relation between ISE 100 index return and Real Sector Confidence Index are analyzed with a two-stage method developed by Cheung and Ng [1]. ISE 100 index return and confidence index are estimated with EGARCH model in the first stage. In the second stage, the standardized residuals and squares obtained from the EGARCH model are used for causality test in the mean and variance for the ISE 100 index return and confidence index. The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.

References

  • http://www.tspakb.org.tr/docs /egitim_notlari/vadeli_islemler_turev.pdf Piyasası Aracı Kuruluşları Birliği,
  • (çevirimiçi), [2] Hull, J. C., Options, Futures & Other Derivatives, 6th ed., Prentice Hall, New Jersey, 2005.
  • Edwards,F.R., “Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures”, Journal of Futures Narkets, 1988, ,No.4, 421-439,
  • Harris, L., “S&P 500 Cash Stock Price Volatilities”, Journal of Finance, 1989, 44, 1155–1175.
  • Antoniou, A. and P. Holmes, “Futures Trading, Information and Spot Price Volatility: Evidence from the FTSE 100 Stock Index Futures Contract using GARCH”, Journal of Banking and Finance, 1995, 19(1): 117–29.
  • Dennis, S. A., and A. B. Sim,” Share Price Volatility with the Introduction of Individual Share Futures on the Sydney Futures Exchange”, International Review of Financial Analysis, 1999, 8, 153– 163.
  • Baldauf, B. and G.J. Santoni, “Stock Price Volatility: Some Evidence from an ARCH Model”, Journal of Futures Markets, 1991, 11(2): 191–200.
  • Antoniou, A. and J.A. Foster „The Effect of Futures Trading on Spot Price Volatility: Evidence for Brent Crude Oil using GARCH‟, Journal of Business Finance and Accounting,19(4): 473–84.
  • Galloway, T. M. and J. M. Miller, “Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of MidCap 400 Index Futures”, Financial Review, 1997, 32, 845–66.
  • Rahman, S.,”The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks”, Journal of Futures Markets, 2001, 21, 633–53.
  • Ross, S. A., “Options and Efficiency”., Quarterly Journal of Economics, 1976, 90, 75- 90.
  • Hakansson, N. H., “Changes in the Financial Market: Welfare and Price Effects and The Basic Theorems of Value Conservation”, Journal of Finance, 1982, 37, 977-1004.
  • Danthine, J., “Information, Futures Prices and Stabilizing Speculation”, Journal of Economic Theory, 1978, 17(1): 79–98.
  • Fleming, J. and B. Ostdiek, “The Impact of Energy Derivatives on the Crude Oil Market”, The James A. Baker III Institute for Public Policy of Rice University, 1999, 1-32
  • Pericli, A. and G. Koutmos, “Index Futures and Options and Stock Market Volatility”, Journal of Futures Markets, 17, 1997, 957–974.
  • Min, Jae, and Naj M., “A Further Investigation on the Lead-Lag Relationship Between the Stock Indek and Futures Markets: Early Evidence from Korea”, The Journal of Futures Markets, 19, No.2, 1999, 217-232.
  • Butterworth, D., “The Impact of Futures Trading on Underlying Stock Index Volatility: The Case of the FTSE Nid250 Contract”, Applied Economics Letters, 2000, 439- 442.
  • Darrat, Ali F., S. Rahman . and Z. Maosen ., “On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?” The Journal of Financial Research, 2000, 1-23
  • Yu, Shang-Wu, “Index Futures Trading and Spot Price Volatility”, Applied Economics Letters, 2001, 183-186.
  • Pilar, Corredor and Rafael Santamari, “Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock Market”, Applied Economics Letters, , 2002, 107-110.
  • Gubta O.P. and Kumar M. “Impact of Intrduction of Index Futures on Stock Market Volatility: Indian Experience”, 6th Capital Market Conference, Uti Institute of Capital Markets, Mumbai, 2002.
  • Thenmoshi, M.,“Futures Trading, Information and Spot Price Volatility of NSE-50 Index Futures Contract”, NSE Working Paper, 2002.
  • Ryoo, Hyung-Jung, and Smith, G., “The Impact of Stock Index Futures on the Korean Stock Market”, Applied Financial Economics,2004, 243-251.
  • Figlewski, S.,“ Futures Trading and Volatility in the GNMA Futures”., Journal of Finance, 1981, 445– 446
  • Bessembinder, H.,and Seguin, P. J. , “Futures-trading activity and stock price volatility”, 1992, Journal of Finance, 47, 2015-2034.
  • Darrat, A. F., and S. Rahman, “Has Futures Trading Activity Caused Stock Price Volatility? Journal of Futures Markets, 15, 1995, 537-557.
  • Chen, N., C.J. Cuny and R. A. Haugen , “Stock Volatility and the Levels of the Basis and Open Interest in Futures Contracts”, 1995, Journal of Finance, Vol. 50, pp. 281–300. [28] Chatrath, A., Ramchander, S., and Song, F., “Speculative Activity and Stock Market Volatility”, Journal of Economics and Business, (1998) 50, 323– 337.
  • Adrangi, B. and A. Chatrath, “Futures Commitments and Exchange Rate Volatility”, Journal of Business Finance and Accounting”, 1989, Vol. 25, pp. 501–20.
  • Guln, H. and Mayhew, S., “Stock Index Futures: Trading and Volatility in International Equity Markets”, Journal of Futures Markets, , 2001, 20, 661–85.
  • Yang, Jiab, R. B. Balyeat and D. J. Leatham, “Futures Trading Activity and Commodity Cash Price Volatility”, Journal of Business Finance&Accounting, , Jan/March 2005, 32.
  • Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometric, 1986, 307-327.
  • Engle, R. F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, No:50, 1982, 987-1008.
  • Gujarati, D.N., Temel Ekonometri, (Çevirenler: Ümit Şenesen, Gülay Günlük Şenesen) Literatür Yayınları No:33, İstanbul, 2001
There are 33 citations in total.

Details

Primary Language English
Journal Section Finance
Authors

İlker Gökbulut This is me

Sinem Köseoğlu This is me

Tülin Atakan

Publication Date October 14, 2009
Published in Issue Year 2009 Volume: 38 Issue: 1

Cite

APA Gökbulut, İ., Köseoğlu, S., & Atakan, T. (2009). The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 84-100.
AMA Gökbulut İ, Köseoğlu S, Atakan T. The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi. October 2009;38(1):84-100.
Chicago Gökbulut, İlker, Sinem Köseoğlu, and Tülin Atakan. “The Effects of the Stock Index Futures to the Spot Stock Market: A Study for the Istanbul Stock Exchange”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38, no. 1 (October 2009): 84-100.
EndNote Gökbulut İ, Köseoğlu S, Atakan T (October 1, 2009) The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38 1 84–100.
IEEE İ. Gökbulut, S. Köseoğlu, and T. Atakan, “The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, pp. 84–100, 2009.
ISNAD Gökbulut, İlker et al. “The Effects of the Stock Index Futures to the Spot Stock Market: A Study for the Istanbul Stock Exchange”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 38/1 (October 2009), 84-100.
JAMA Gökbulut İ, Köseoğlu S, Atakan T. The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38:84–100.
MLA Gökbulut, İlker et al. “The Effects of the Stock Index Futures to the Spot Stock Market: A Study for the Istanbul Stock Exchange”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 38, no. 1, 2009, pp. 84-100.
Vancouver Gökbulut İ, Köseoğlu S, Atakan T. The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;38(1):84-100.