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The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Year 2013, Volume: 42 Issue: 1, 26 - 40, 12.04.2013

ERSAN Ersoy ALİ Bayrakdaroğlu

Abstract

The aimof this study is to investigate whether there is a lead-lag relationshipbetween spot and futures markets using daily closing prices belonging to theIstanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange(TurkDEX)-ISE 30 index future contracts. For the analysis, JohansenCointegration Test, Vector Error Correction Model and Granger Causality Testsare employed. The results of these tests have been reached that spot andfutures markets are cointegrated. But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.

Keywords

Futures Markets TurkDEX Lead-Lag Relationship Fiyat Keşfi

Year 2013, Volume: 42 Issue: 1, 26 - 40, 12.04.2013

ERSAN Ersoy ALİ Bayrakdaroğlu

Abstract

There are 0 citations in total.

Details

Primary Language English
Journal Section Finance
Authors

ERSAN Ersoy

ALİ Bayrakdaroğlu

Publication Date April 12, 2013
Published in Issue Year 2013 Volume: 42 Issue: 1

Cite

APA Ersoy, E., & Bayrakdaroğlu, A. (2013). The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 42(1), 26-40.
AMA Ersoy E, Bayrakdaroğlu A. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi. April 2013;42(1):26-40.
Chicago Ersoy, ERSAN, and ALİ Bayrakdaroğlu. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42, no. 1 (April 2013): 26-40.
EndNote Ersoy E, Bayrakdaroğlu A (April 1, 2013) The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42 1 26–40.
IEEE E. Ersoy and A. Bayrakdaroğlu, “The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 42, no. 1, pp. 26–40, 2013.
ISNAD Ersoy, ERSAN - Bayrakdaroğlu, ALİ. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42/1 (April 2013), 26-40.
JAMA Ersoy E, Bayrakdaroğlu A. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2013;42:26–40.
MLA Ersoy, ERSAN and ALİ Bayrakdaroğlu. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 42, no. 1, 2013, pp. 26-40.
Vancouver Ersoy E, Bayrakdaroğlu A. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2013;42(1):26-40.