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Türev Ve Spot Piyasalar Arasındaki Etkileşim: VOB Üzerine Bir İnceleme

Year 2012, Issue: 56, 137 - 154, 01.10.2012

Abstract

Bu çalışmada VOB-İMKB 30, VOB-TL/Dolar Vadeli İşlem Sözleşmeleri verileri kullanılarak, spot ve türev piyasalar arasındaki etkileşimlerin analiz edilmesi amaçlanmıştır. Piyasa fiyatları arasındaki kısa ve uzun dönemli dinamikler VAR (Vector Autoregressive Regression) Modeli ile araştırılmıştır. 02.01.2006 – 30.12.2011 dönemini kapsayan araştırmanın genel bulgularına göre kısa dönemli ilişkiler her iki değişken grubu açısından değerlendirildiğinde; İMKB 30 endeksinde tek yönlü, ABD dolarında ise çift yönlü nedenselliğe yönelik bulgulara rastlanmıştır. İncelenen zaman dilimi alt dönemlere ayrılarak analiz edildiğinde; son yılları kapsayan alt dönemde vadeli piyasalardan spot piyasalara doğru bir etki gözlemlenmekte iken, ilk yılları kapsayan birinci alt dönemde ise spot piyasalardan vadeli piyasalara doğru bir etkileşim gözlenmiştir.

Interaction Between Derivatives and Spot Markets: An Analysis on VOB

Year 2012, Issue: 56, 137 - 154, 01.10.2012

Abstract

With this study, it is aimed to analyze the interaction between derivatives and spot markets using VOB- IMKB 30, VOB-TL/Dollar Futures Contracts data. Short and long term dynamics between market prices have been researched by the VAR (Vector Autoregressive Regression) Model. According to the general findings of research, including the period of 02.01.2006 – 30.12.2011, causality is unidirectional for IMKB 30 index and bidirectional for USD dollars when short term relations are considered for both variable groups. When the analysis has been done by dividing the analyzed period to sub-periods, it has been observed that there is an effect from derivatives market to spot market for the latest years while there is an interaction from spot market towards derivatives market for the early years.

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Details

Other ID JA59DU75KN
Journal Section Research Article
Authors

Koray Kayalıdere This is me

Hakan Aracı This is me

Hüseyin Aktaş This is me

Publication Date October 1, 2012
Submission Date October 1, 2012
Published in Issue Year 2012 Issue: 56

Cite

APA Kayalıdere, K., Aracı, H., & Aktaş, H. (2012). Interaction Between Derivatives and Spot Markets: An Analysis on VOB. The Journal of Accounting and Finance(56), 137-154.
AMA Kayalıdere K, Aracı H, Aktaş H. Interaction Between Derivatives and Spot Markets: An Analysis on VOB. The Journal of Accounting and Finance. October 2012;(56):137-154.
Chicago Kayalıdere, Koray, Hakan Aracı, and Hüseyin Aktaş. “Interaction Between Derivatives and Spot Markets: An Analysis on VOB”. The Journal of Accounting and Finance, no. 56 (October 2012): 137-54.
EndNote Kayalıdere K, Aracı H, Aktaş H (October 1, 2012) Interaction Between Derivatives and Spot Markets: An Analysis on VOB. The Journal of Accounting and Finance 56 137–154.
IEEE K. Kayalıdere, H. Aracı, and H. Aktaş, “Interaction Between Derivatives and Spot Markets: An Analysis on VOB”, The Journal of Accounting and Finance, no. 56, pp. 137–154, October 2012.
ISNAD Kayalıdere, Koray et al. “Interaction Between Derivatives and Spot Markets: An Analysis on VOB”. The Journal of Accounting and Finance 56 (October 2012), 137-154.
JAMA Kayalıdere K, Aracı H, Aktaş H. Interaction Between Derivatives and Spot Markets: An Analysis on VOB. The Journal of Accounting and Finance. 2012;:137–154.
MLA Kayalıdere, Koray et al. “Interaction Between Derivatives and Spot Markets: An Analysis on VOB”. The Journal of Accounting and Finance, no. 56, 2012, pp. 137-54.
Vancouver Kayalıdere K, Aracı H, Aktaş H. Interaction Between Derivatives and Spot Markets: An Analysis on VOB. The Journal of Accounting and Finance. 2012(56):137-54.