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İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi

Year 2013, Volume: 6 Issue: 2, 138 - 149, 01.08.2013

Adalet Hazar

Abstract

If there is difference between futures prices and spot prices for a product, arbitrage transaction is made between spot and futures market.In this study, the possibility of arbitrage opportunities between traded on the ISE-30 index and TurkDEX ISE-30 index was investigated for second period of 2011. Cost of carry model was used in this study. In addition, intra-day price and index data were used as data.As a result, arbitrage opportunities between markets based on the period is seen that a small number. This situation shows that, there are significant interactions between markets and limited arbitrage opportunities.In addition, within the framework of our study, we can say that there is considerable efficiency in this market trading volume high.

Keywords

Stock index arbitrage TurkDEX ISE-30 index ISE-30 index efficient price cost of carry modelJEL Classification: G13 G15.

References

  • Abreu, D., Brunnermeier, M. K. (2002), “Synchronisation Risk And Delayed Arbitrage”, Journal of Financial Economics, vol. 60, no. 5, 2471–2511.
  • Brenner, M., Marti G. Subrahmanyam, Jun Uno, (1989), “The Behavior of Prices in the Nikkei Spot and Futures Market,”, Journal of Financial Economics, vol. 23, issue 2, pages 363-383.
  • Brooks, C., Garrett, I. (2002), “Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Indeks Futures Markets”, Journal of Applied Financial Economics, Volume: 12 Issue: 1 pp.25-31.
  • Cornell ,B., French, K.R. (1983), “The Pricing of Stock Index Futures,”, The Journal of Futures Markets, Volume 3, Issue 1, pages 1–14.
  • Chen,A., Chianglin, C.,Chung, H. (2001), “Establishing an Index Arbitrage Model by Applying Neural Networks Method- A Case Study of Nikkei 225 Index”, International Journal of Neural Systems, Vol. 11, No. 5, 489-496.
  • Chung, Y.P. (1991), “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, The Journal of Finance, Vol. 46, No. 5, 1791180
  • Daigler, R. (1990), “Intraday Stock Index Futures Arbitrage With Time Lag Effects”, Stanford University, Dwyer, G.P., Locke, P., Yu,W. (1996), “Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash”, The Review of Financial Studies Vol. 9, No. 1, 301-332.
  • Fassas, A.P. (2010), “Mispricing in Stock Index Futures Markets – The Case of Greece”, http://ssrn.com/abstract=1873949
  • Floros, C. (2009), “Price Discovery in the South African Stock Index Futures Market”, International Research Journal of Finance and Economics, Issue 34, 148-59.
  • Floros,C., Vougas, D.V. (2008), “The Efficiency of Greek Stock Index Futures Market”, Managerial Finance, Vol. 34, No.7, 498-519.
  • Floros, C. and Vougas, D.V. (2007), “Lead-Lag Relationship Between Futures and Spot Markets in Greece: 1999 – 2001”, International Research Journal of Finance and Economics, Vol. 7, 168- 174.
  • Forbush, D. (1989), “Program Trading and Price Movement: Evidence from the October 1987 Market Crash”, Financial Management,   Vol. 18, No. 3, 68-83.
  • Gardbade, K. D., and Silber, W. L. (1983), “Price Movements and Price Discovery in Futures and Cash Markets”, Review of Economics and Statistics,Vol. 65, No. 2, 289-2
  • Green, C.J., Joujon, E. (2000), “Unified Tests of Causality and Cost of Carry: the Pricing of the French Stock Index Futures Contract”, International Journal of Finance & Economics, Vol. 5, No. 2, 121-140.
  • Gül,A.B., (2009) “Finansal Sistemde Etkinliğin Arbitraj ile Test Edilmesi-İMKB ve VOB Örneği”, Doktora Tezi, T.C. Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü Bankacılık Ana Bilim Dalı, İstanbul.
  • Hasan, M. (2005), “An Alternative Approach in Investigating Lead-Lag Relationships Between Stock and Stock Index Futures Markets - A Comment”, Applied Financial Economics Letters, 1(2), 125-130.
  • Hasbrouck, J. (2003), Intraday Price Formation in U.S. Equity Index Markets, Journal of Finance 58, No.6, 2375-2400.
  • Hill ,J.M., Jones, F.J. (1988), “Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That”, Financial Analysts Journal, 29-38.
  • Hsu. H., Wang, J. ( 2004), "Price Expectation and the Pricing of Stock Index Futures," Review of Quantitative Finance and Accounting Vol. 23, No.2, 167-184.
  • Kumar, P., Seppi, D. (1994), “Information and Index Arbitrage”, Journal of Business, Vol. 67, No.4, 481-509.
  • Lee, J. H. (2005), “Index Arbitrage With the KOSPI 200 Futures”, Sungkyunkwan University.
  • MacKinlay, C., Ramaswamy, K. (1988), “Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices”, Review of Financial Studies, Vol. 1, No.2, 137-158. Maniar, H., , Maniyar, D., Bhatt, R. (2007), “Arbitrage Opportunities In Intraday Trading Between Futures, Options and Cash Markets-Case Study on NSE India”, 10th Indian Institute of Capital Markets Conference Paper.
  • Misra, D., Kannan ,R., Misra, S. (2006), “Arbitrage Opportunities in the Futures Market: A Study of NSE Nifty Futures”, 8th Global Conference of Actuaries.
  • Pizzi, M. A., Economopoulos, A. J., O'Neill, H. M. (1998), “An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach”, Journal of Futures Markets, Vol. 18, No. 3, 297-305.
  • Rainish, R.M. (1989), “Implications of Index Arbitrage Trading on Monetary Policy and Financial Valuation”, American Business Review, Vol.7, No.2, 1-5.
  • Richie, N., Daigler, R., Gleason, K.C. (2007), “Index Arbitrage Between Futures and ETFs: Evidence on the limits to arbitrage from S&P 500 Futures and SPDRs”, Florida Atlantic University.
  • Schlusche, B. (2009), “Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures”, The Journal of Derivatives, Vol. 17, No. 2, 26-40.
  • Stoll. H.R., Whaley, R.E. (1990), "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Vol. 25, No.4, 441-468. Taylor, N. (2007), “A New Econometric Model of Index Arbitrage”, European Financial Management, Vol. 13, No.1, 159-183.
  • Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index”, Journal of Futures Markets, Vol. 19, No.8, 911-930.
  • Ünal, S., Kayalı,M. (2004), “İndeks Hisseler ve İndeks Arbitrajına Etkileri”, Dumlupınar Üniversitesi, Dumlupınar Üniversitesi, Sosyal Bilimler Dergisi, sayı 10, 103-116. Wang, G., Yau, J. (2000), “Trading Volume, Bid-ask Spread and Price Volatility in Futures Markets,”Journal of Futures Markets, Vol.20, No.10, 943-970.
  • Wang, J., Hsu,H. (2005), “A Fitness Test of the Cost of Carry Model for Stock Index Futures”,The Journal of American Academy of Business, Vol.7, No.2.
  • Yadav ,P., Pope,P.,(1994), “Stock Index Futures Mispricing, Profit Opportunities, or Risk Premia ?”, Journal of Banking and Finance, Vol.18, No. 5, 921-953.
  • Yörük, N. (2000), “Finansal Varlık Fiyatlama Modelleri ve Arbitraj Fiyatlama Modelinin İMKB’de Test Edilmesi”, İMKB.
  • Zhong, M., Darrat, A.F. ,Otero,R. (2004), “Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence From Mexico” 8th Global Conference of Actuaries, Journal of Banking and Finance Vol. 28, 3037-3054.

İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi

Year 2013, Volume: 6 Issue: 2, 138 - 149, 01.08.2013

Adalet Hazar

Abstract

LEŞMELERİ ARASINDAKİ ARBİTRAJ OLANAKLARININ TAŞIMA MALİYETİ YÖNTEMİ İLE DEĞERLENDİRİLMESİ Adalet HAZAR ÖZ Spot ve vadeli piyasa arasındaki arbitraj işlemleri, spot ürüne ilişkin teorik vadeli fiyatlar ile mevcut vadeli fiyatlar arasında farklılık bulunması durumunda söz konusu olmaktadır.Bu çalışmada, 2011 yılı ikinci yarısına ait İMKB-30 endeksi ve VOB’da işlem gören İMKB-30 endeksine dayalı vadeli işlem sözleşmesi arasındaki arbitraj imkanı gün içi fiyat ve endeks verileri kullanılarak taşıma maliyeti modeli çerçevesinde incelenmiştir.Sonuç itibariyle, iki piyasa arasında arbitraj olanaklarının esas alınan dönem açısından az sayıda olduğu görülmektedir. Bu durum iki piyasa arasındaki etkileşimin önemli ölçüde var olduğunu ve arbitraj olanaklarının sınırlı olduğunu göstermektedir.Ayrıca, bu çalışmada VOB Endeks sözleşmeleri esas alınmış olup, işlem hacminin yüksek olduğu bu piyasada etkinliğin önemli ölçüde var olduğu yapılan çalışma çerçevesinde söylenilebilir.

Keywords

Hisse senedi endeks arbitrajı VOB İMKB-30 endeksi İMKB-30 endeksi etkin fiyat taşıma maliyeti modeliJel Sınıflandırması: G13 G15.

References

  • Abreu, D., Brunnermeier, M. K. (2002), “Synchronisation Risk And Delayed Arbitrage”, Journal of Financial Economics, vol. 60, no. 5, 2471–2511.
  • Brenner, M., Marti G. Subrahmanyam, Jun Uno, (1989), “The Behavior of Prices in the Nikkei Spot and Futures Market,”, Journal of Financial Economics, vol. 23, issue 2, pages 363-383.
  • Brooks, C., Garrett, I. (2002), “Can We Explain the Dynamics of the UK FTSE 100 Stock and Stock Indeks Futures Markets”, Journal of Applied Financial Economics, Volume: 12 Issue: 1 pp.25-31.
  • Cornell ,B., French, K.R. (1983), “The Pricing of Stock Index Futures,”, The Journal of Futures Markets, Volume 3, Issue 1, pages 1–14.
  • Chen,A., Chianglin, C.,Chung, H. (2001), “Establishing an Index Arbitrage Model by Applying Neural Networks Method- A Case Study of Nikkei 225 Index”, International Journal of Neural Systems, Vol. 11, No. 5, 489-496.
  • Chung, Y.P. (1991), “A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability”, The Journal of Finance, Vol. 46, No. 5, 1791180
  • Daigler, R. (1990), “Intraday Stock Index Futures Arbitrage With Time Lag Effects”, Stanford University, Dwyer, G.P., Locke, P., Yu,W. (1996), “Index Arbitrage and Nonlinear Dynamics Between the S&P 500 Futures and Cash”, The Review of Financial Studies Vol. 9, No. 1, 301-332.
  • Fassas, A.P. (2010), “Mispricing in Stock Index Futures Markets – The Case of Greece”, http://ssrn.com/abstract=1873949
  • Floros, C. (2009), “Price Discovery in the South African Stock Index Futures Market”, International Research Journal of Finance and Economics, Issue 34, 148-59.
  • Floros,C., Vougas, D.V. (2008), “The Efficiency of Greek Stock Index Futures Market”, Managerial Finance, Vol. 34, No.7, 498-519.
  • Floros, C. and Vougas, D.V. (2007), “Lead-Lag Relationship Between Futures and Spot Markets in Greece: 1999 – 2001”, International Research Journal of Finance and Economics, Vol. 7, 168- 174.
  • Forbush, D. (1989), “Program Trading and Price Movement: Evidence from the October 1987 Market Crash”, Financial Management,   Vol. 18, No. 3, 68-83.
  • Gardbade, K. D., and Silber, W. L. (1983), “Price Movements and Price Discovery in Futures and Cash Markets”, Review of Economics and Statistics,Vol. 65, No. 2, 289-2
  • Green, C.J., Joujon, E. (2000), “Unified Tests of Causality and Cost of Carry: the Pricing of the French Stock Index Futures Contract”, International Journal of Finance & Economics, Vol. 5, No. 2, 121-140.
  • Gül,A.B., (2009) “Finansal Sistemde Etkinliğin Arbitraj ile Test Edilmesi-İMKB ve VOB Örneği”, Doktora Tezi, T.C. Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü Bankacılık Ana Bilim Dalı, İstanbul.
  • Hasan, M. (2005), “An Alternative Approach in Investigating Lead-Lag Relationships Between Stock and Stock Index Futures Markets - A Comment”, Applied Financial Economics Letters, 1(2), 125-130.
  • Hasbrouck, J. (2003), Intraday Price Formation in U.S. Equity Index Markets, Journal of Finance 58, No.6, 2375-2400.
  • Hill ,J.M., Jones, F.J. (1988), “Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That”, Financial Analysts Journal, 29-38.
  • Hsu. H., Wang, J. ( 2004), "Price Expectation and the Pricing of Stock Index Futures," Review of Quantitative Finance and Accounting Vol. 23, No.2, 167-184.
  • Kumar, P., Seppi, D. (1994), “Information and Index Arbitrage”, Journal of Business, Vol. 67, No.4, 481-509.
  • Lee, J. H. (2005), “Index Arbitrage With the KOSPI 200 Futures”, Sungkyunkwan University.
  • MacKinlay, C., Ramaswamy, K. (1988), “Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices”, Review of Financial Studies, Vol. 1, No.2, 137-158. Maniar, H., , Maniyar, D., Bhatt, R. (2007), “Arbitrage Opportunities In Intraday Trading Between Futures, Options and Cash Markets-Case Study on NSE India”, 10th Indian Institute of Capital Markets Conference Paper.
  • Misra, D., Kannan ,R., Misra, S. (2006), “Arbitrage Opportunities in the Futures Market: A Study of NSE Nifty Futures”, 8th Global Conference of Actuaries.
  • Pizzi, M. A., Economopoulos, A. J., O'Neill, H. M. (1998), “An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach”, Journal of Futures Markets, Vol. 18, No. 3, 297-305.
  • Rainish, R.M. (1989), “Implications of Index Arbitrage Trading on Monetary Policy and Financial Valuation”, American Business Review, Vol.7, No.2, 1-5.
  • Richie, N., Daigler, R., Gleason, K.C. (2007), “Index Arbitrage Between Futures and ETFs: Evidence on the limits to arbitrage from S&P 500 Futures and SPDRs”, Florida Atlantic University.
  • Schlusche, B. (2009), “Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures”, The Journal of Derivatives, Vol. 17, No. 2, 26-40.
  • Stoll. H.R., Whaley, R.E. (1990), "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Vol. 25, No.4, 441-468. Taylor, N. (2007), “A New Econometric Model of Index Arbitrage”, European Financial Management, Vol. 13, No.1, 159-183.
  • Tse, Y. (1999), “Price Discovery and Volatility Spillovers in the DJIA Index”, Journal of Futures Markets, Vol. 19, No.8, 911-930.
  • Ünal, S., Kayalı,M. (2004), “İndeks Hisseler ve İndeks Arbitrajına Etkileri”, Dumlupınar Üniversitesi, Dumlupınar Üniversitesi, Sosyal Bilimler Dergisi, sayı 10, 103-116. Wang, G., Yau, J. (2000), “Trading Volume, Bid-ask Spread and Price Volatility in Futures Markets,”Journal of Futures Markets, Vol.20, No.10, 943-970.
  • Wang, J., Hsu,H. (2005), “A Fitness Test of the Cost of Carry Model for Stock Index Futures”,The Journal of American Academy of Business, Vol.7, No.2.
  • Yadav ,P., Pope,P.,(1994), “Stock Index Futures Mispricing, Profit Opportunities, or Risk Premia ?”, Journal of Banking and Finance, Vol.18, No. 5, 921-953.
  • Yörük, N. (2000), “Finansal Varlık Fiyatlama Modelleri ve Arbitraj Fiyatlama Modelinin İMKB’de Test Edilmesi”, İMKB.
  • Zhong, M., Darrat, A.F. ,Otero,R. (2004), “Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence From Mexico” 8th Global Conference of Actuaries, Journal of Banking and Finance Vol. 28, 3037-3054.
There are 34 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Adalet Hazar This is me

Publication Date August 1, 2013
Published in Issue Year 2013 Volume: 6 Issue: 2

Cite

APA Hazar, A. (2013). İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 6(2), 138-149.
AMA Hazar A. İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. August 2013;6(2):138-149.
Chicago Hazar, Adalet. “İMKB-30 Endeksi Ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi”. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 6, no. 2 (August 2013): 138-49.
EndNote Hazar A (August 1, 2013) İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 6 2 138–149.
IEEE A. Hazar, “İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi”, Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 6, no. 2, pp. 138–149, 2013.
ISNAD Hazar, Adalet. “İMKB-30 Endeksi Ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi”. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 6/2 (August 2013), 138-149.
JAMA Hazar A. İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2013;6:138–149.
MLA Hazar, Adalet. “İMKB-30 Endeksi Ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi”. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 6, no. 2, 2013, pp. 138-49.
Vancouver Hazar A. İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2013;6(2):138-49.