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Endeks Futures Kontratların Vade Günü Etkileri: Türkiye Piyasası Üzerine Bir Araştırma

Year 2015, , 117 - 134, 01.07.2015
https://doi.org/10.25095/mufad.396583

Abstract

Bu çalışmada, Borsa İstanbul 30 endeks futures kontratların dayanak pay piyasası üzerindeki vade günü etkileri araştırılmıştır. 2006 - 2012 dönemi için futures vade ve karşılaştırma günlerinde dayanak piyasanın incelenmesiyle, bazı vade günlerinde dayanak piyasada yüksek işlem hacmi gözlense de bu işlem hacmi artışının istatistiksel olarak anlamlı olmadığına erişilmiştir. Ayrıca, dönemin tamamında vade günleri boyunca pozitif bir fiyat etkisi olduğu, fakat bu fiyat etkilerinin istatistiksel olarak anlamlı olmadığı bulgusu elde edilmiştir. Futures vade günlerine bağlı olarak dayanak endekste anlamlı fiyat tersine dönüşleri de olmamaktadır. Bununla birlikte, vade günlerinde getiri volatilitesi az da olsa anlamlı bir şekilde artmaktadır. Bu bulgular, İsveç, İspanya ve Hong Kong piyasalarına dair elde edilen bulgularla uyumludur ki bu piyasalarda da vade sonu uzlaşma prosedürü olarak vade günü ortalama fiyatları kullanılmaktadır. Vade günlerinin bu zayıf etkileri ayrıca Borsa İstanbul 30 endeks futures piyasasının bireysel yatırımcılarca domine edilmesine de atfedilebilir ki bunların arbitraj aktiviteleri kurumsal yatırımcılarla karşılaştırıldığında sınırlıdır.

Expiration Day Effects Of Index Futures: An Investigation On Turkish Market

Year 2015, , 117 - 134, 01.07.2015
https://doi.org/10.25095/mufad.396583

Abstract

In this study, Borsa İstanbul 30 index futures expiration-day effects on underlying stock market is investigated. By examining the underlying market through futures expiration and comparison days for 2006 – 2012 period, although higher trading volume of underlying market is observed in some expiration days, it is reached that this increased volume is not statistically significant. Also, there is positive price effects during expiration days for whole period, but the finding is found that this price effect is not statistically significant. There is also no significant price reversals of underlying index associated to futures expiration day. However, the return volatility increases slightly but significantly in expiration days. These findings are consistent with the findings of Sweden, Spain, and Hong Kong markets which are also using expiration day average prices for final settlement procedures. This weak effect of expiration days can also be attributable that the Borsa İstanbul 30 futures market is dominated by individual traders whose arbitrage activities are limited comparing to institutional investors.

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Details

Other ID JA62DH54VN
Journal Section Research Article
Authors

İbrahim Yaşar Gök This is me

Publication Date July 1, 2015
Submission Date July 1, 2015
Published in Issue Year 2015

Cite

APA Gök, İ. Y. (2015). Expiration Day Effects Of Index Futures: An Investigation On Turkish Market. The Journal of Accounting and Finance(67), 117-134. https://doi.org/10.25095/mufad.396583
AMA Gök İY. Expiration Day Effects Of Index Futures: An Investigation On Turkish Market. The Journal of Accounting and Finance. July 2015;(67):117-134. doi:10.25095/mufad.396583
Chicago Gök, İbrahim Yaşar. “Expiration Day Effects Of Index Futures: An Investigation On Turkish Market”. The Journal of Accounting and Finance, no. 67 (July 2015): 117-34. https://doi.org/10.25095/mufad.396583.
EndNote Gök İY (July 1, 2015) Expiration Day Effects Of Index Futures: An Investigation On Turkish Market. The Journal of Accounting and Finance 67 117–134.
IEEE İ. Y. Gök, “Expiration Day Effects Of Index Futures: An Investigation On Turkish Market”, The Journal of Accounting and Finance, no. 67, pp. 117–134, July 2015, doi: 10.25095/mufad.396583.
ISNAD Gök, İbrahim Yaşar. “Expiration Day Effects Of Index Futures: An Investigation On Turkish Market”. The Journal of Accounting and Finance 67 (July 2015), 117-134. https://doi.org/10.25095/mufad.396583.
JAMA Gök İY. Expiration Day Effects Of Index Futures: An Investigation On Turkish Market. The Journal of Accounting and Finance. 2015;:117–134.
MLA Gök, İbrahim Yaşar. “Expiration Day Effects Of Index Futures: An Investigation On Turkish Market”. The Journal of Accounting and Finance, no. 67, 2015, pp. 117-34, doi:10.25095/mufad.396583.
Vancouver Gök İY. Expiration Day Effects Of Index Futures: An Investigation On Turkish Market. The Journal of Accounting and Finance. 2015(67):117-34.