Research Article
BibTex RIS Cite

Vadeli Pamuk Emtiasında Kontrat Pozisyonlarının ve Pamuk Reel Piyasa Dinamiklerinin Vadeli Pamuk Emtiası Getirisi Üzerine Etkileri

Year 2020, Issue: 113, 301 - 326, 23.04.2020
https://doi.org/10.33203/mfy.628547

Abstract

Emtia vadeli işlem piyasaları hem
koruma hem de portföy çeşitlemesi sağladığı için yakın tarihimizde piyasa katılımcılarının
ciddi ilgi kaynağı olmuştur. Fakat bu ilginin büyüklüğü, spekülatif
hareketlerin fiyatlara etkisinin olabileceği endişesini doğurmuştur. Bu
çalışmada, 2009-2018 yılları arası vadeli pamuk emtiası getirilerinin,
spekülatörlerin ellerinde tuttuğu uzun ve kısa kontrat pozisyonları ve
piyasanın reel üretim, tüketim, stok gibi miktar verileri ile nasıl etkilendiği
anlaşılmaya çalışılmıştır. Koşullu değişen varyans modeli EGARCH(1,1)
kullanılarak oluşturulan ortalama ve varyans denkleminde, spekülatörlerin
pozisyonlarının ve stok/kullanım oranlarının getiri ile etkileşimde olduğu
görülmüştür. Bir reel piyasa miktar verisi olan stok/kullanım oranının, kontrat
pozisyon verisi olan spekülatör pozisyonlarından getiri üzerinde daha etkin
olduğu anlaşılmıştır.

References

  • Apperson, G. P. (2017). Agricultural Commodity Futures Price Volatility: A Market Regulatory Policy.
  • Brooks, C. (2008). Introductory Econemetrics for Finance. Cambridge.
  • Brunetti, C., Büyükşahin, B., & Harris, J. H. (2011). Speculators, Prices and Market Volatility.
  • CFTC. (2018). Agency Financial Report.
  • CFTC. (2018a). Commitments of Traders Report.
  • Chua, H. W., & Tomek, W. G. (2010). On the Relationship of Expected Supply and Demand to Futures Prices. Proceedings of the NCCC-134 Conference on Applied
  • Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis.
  • Clarke, R. G., Silva, H. d., & Thorley, S. (2013). Fundamentals of Futures and Options. CFA Institute.
  • Daley, C. E. (2013). Investigation Of Crude Oil Speculation And Subsequent Economic Implications.
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish
  • Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Granger , C. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
  • Guilleminot, B., Ohana, J.-J., & Ohana, S. (2013). The Interaction of Speculators and Index Investors in a Agricultural Derivatives Markets.
  • Hair, J. F., Anderson, R. E., Tatham, R. L., & Black, W. C. (1995). Multivariate Data Analysis, 3. baskı. New York: Macmillan Publishing Company.
  • Hull, J. (2012). Options, Futures and Other Derivatives. Peardon.
  • Irwin, S. H., & Sanders, D. R. (2012a). Testing the Masters Hypothesis in Commodity Futures Markets. Energy Economics, 34, 256-269.
  • Irwin, S. H., & Sanders, D. R. (2012b). Financialization and Structural Change in Commodity Futures Markets. Journal of Agricultural and Applied Economics, 44, 371-396.
  • Jacks, D. S., & Stuermer, M. (2016). What Drives Commodity Price Booms and Busts? Federal Reserve Bank of Dallas Research Department.
  • James, A. T. (2015). An Investigation of Commodity Spot and Futures Prices.
  • Janzen, J. P. (2013). Three Essays on Price Discovery in the Cotton Futures Market.
  • Keynes, J. (1930). A Treatise on Money. Harcourt.
  • Lehecka, G. V. (2013). Hedging and Speculative Pressures: An Investigation of the Relationships among Trading Positions and Prices in Commodity Futures Markets.
  • Macdonald, S. (2009). U.S. Cotton prices and the world cotton market: Forecasting and structural change. USDA Economic Research Report Number 80.
  • Manera, M., Nicolini, M., & Vignati, I. (2013). Futures price volatility in commodities markets: The role of short term vs long term speculation. USAEE Working Paper No. 13, 128.
  • Masters, M. W., & White, A. K. (2008). How Institutional Investors Are Driving Up Food And Energy Prices (Special Report).
  • Nelson, D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59(2), 347-70.
  • Özaydın, O. (2019). Vadeli Pamuk Emtiası Getirilerinin Piyasa Oyuncuları ve Reel Piyasa Dinamikleri ile Etkileşimi. İstanbul.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 339-350.
  • Sevütekin, M., & Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi. Ankara: Nobel.
Year 2020, Issue: 113, 301 - 326, 23.04.2020
https://doi.org/10.33203/mfy.628547

Abstract

References

  • Apperson, G. P. (2017). Agricultural Commodity Futures Price Volatility: A Market Regulatory Policy.
  • Brooks, C. (2008). Introductory Econemetrics for Finance. Cambridge.
  • Brunetti, C., Büyükşahin, B., & Harris, J. H. (2011). Speculators, Prices and Market Volatility.
  • CFTC. (2018). Agency Financial Report.
  • CFTC. (2018a). Commitments of Traders Report.
  • Chua, H. W., & Tomek, W. G. (2010). On the Relationship of Expected Supply and Demand to Futures Prices. Proceedings of the NCCC-134 Conference on Applied
  • Commodity Price Analysis, Forecasting, and Market Risk Management. St. Louis.
  • Clarke, R. G., Silva, H. d., & Thorley, S. (2013). Fundamentals of Futures and Options. CFA Institute.
  • Daley, C. E. (2013). Investigation Of Crude Oil Speculation And Subsequent Economic Implications.
  • Gökbulut, R. İ., & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish
  • Financial Markets. International Journal of Economics and Finance; Vol. 6, No. 4;.
  • Granger , C. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
  • Guilleminot, B., Ohana, J.-J., & Ohana, S. (2013). The Interaction of Speculators and Index Investors in a Agricultural Derivatives Markets.
  • Hair, J. F., Anderson, R. E., Tatham, R. L., & Black, W. C. (1995). Multivariate Data Analysis, 3. baskı. New York: Macmillan Publishing Company.
  • Hull, J. (2012). Options, Futures and Other Derivatives. Peardon.
  • Irwin, S. H., & Sanders, D. R. (2012a). Testing the Masters Hypothesis in Commodity Futures Markets. Energy Economics, 34, 256-269.
  • Irwin, S. H., & Sanders, D. R. (2012b). Financialization and Structural Change in Commodity Futures Markets. Journal of Agricultural and Applied Economics, 44, 371-396.
  • Jacks, D. S., & Stuermer, M. (2016). What Drives Commodity Price Booms and Busts? Federal Reserve Bank of Dallas Research Department.
  • James, A. T. (2015). An Investigation of Commodity Spot and Futures Prices.
  • Janzen, J. P. (2013). Three Essays on Price Discovery in the Cotton Futures Market.
  • Keynes, J. (1930). A Treatise on Money. Harcourt.
  • Lehecka, G. V. (2013). Hedging and Speculative Pressures: An Investigation of the Relationships among Trading Positions and Prices in Commodity Futures Markets.
  • Macdonald, S. (2009). U.S. Cotton prices and the world cotton market: Forecasting and structural change. USDA Economic Research Report Number 80.
  • Manera, M., Nicolini, M., & Vignati, I. (2013). Futures price volatility in commodities markets: The role of short term vs long term speculation. USAEE Working Paper No. 13, 128.
  • Masters, M. W., & White, A. K. (2008). How Institutional Investors Are Driving Up Food And Energy Prices (Special Report).
  • Nelson, D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59(2), 347-70.
  • Özaydın, O. (2019). Vadeli Pamuk Emtiası Getirilerinin Piyasa Oyuncuları ve Reel Piyasa Dinamikleri ile Etkileşimi. İstanbul.
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 339-350.
  • Sevütekin, M., & Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi. Ankara: Nobel.
There are 29 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Orhan Özaydın 0000-0003-2585-1437

Publication Date April 23, 2020
Submission Date October 2, 2019
Published in Issue Year 2020 Issue: 113

Cite

APA Özaydın, O. (2020). Vadeli Pamuk Emtiasında Kontrat Pozisyonlarının ve Pamuk Reel Piyasa Dinamiklerinin Vadeli Pamuk Emtiası Getirisi Üzerine Etkileri. Maliye Ve Finans Yazıları(113), 301-326. https://doi.org/10.33203/mfy.628547
  • The journal specializes in especially in all the fields of finance and banking.