BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı

Year 2014, Volume: 19 Issue: 3, 109 - 133, 01.09.2014

  Yrd.Doç.Dr.İbrahim Yaşar Gök Prof.Dr.Prof.Dr.Şeref Kalaycı

Abstract

In this study, price discovery and granger causality relationship in BIST 30 spot and futures markets and also volatility spillover between these markets are examined using intraday 1 minute data for January 2, 2010 – May18, 2012 period. According to Johansen cointegration test result it is concluded that there is a long-term relationship between index futures and spot markets and according to VECM model result the evidence is found that index futures market contributes more to price discovery and futures prices lead spot prices, and also according to VEC granger causality-block exogeneity test result although there is a two way causality between markets, the causality is much more stronger from index futures to spot market is evidenced. In the context of volatility spillover between index futures and spot markets, VECMGARCH(1,1)-BEKK model is applied, and the evidence is found that although there is a bi-directional volatility spillover between index futures and spot markets, the spillover of index futures market shocks and volatility to spot market volatility is much more pronounced. Hence, the findings for both price discovery and volatility spillover indicate that the information is primarily reflected in the futures market and index futures market is more informationally efficient than spot market

Keywords

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BIST 30 SPOT VE FUTURES PİYASALARINDA GÜNİÇİ FİYAT KEŞFİ VE VOLATİLİTE YAYILIMI

Abstract

Bu çalışmada, BIST 30 spot ve futures piyasalarında fiyat keşfi ve granger nedensellik ilişkisi ile ayrıca bu piyasalar arasındaki volatilite yayılımı, 2 Ocak 2010-18 Mayıs 2012 dönemi için gün içi 1 dakika frekanslı veriler kullanılarak incelenmiştir. Johansen eşbütünleşme testi sonucuna göre endeks futures ve spot piyasalar arasında uzun dönemli bir ilişki olduğu sonucuna erişilmiş, VECM modeli sonucuna göre ise endeks futures piyasanın fiyat keşfine daha büyük bir katkı sağladığı ve futures fiyatların spot fiyatları öncüllediği bulgusuna ulaşılmış, ayrıca VEC granger nedensellik-blok dışsallık testi sonucuna göre ise piyasalar arasında iki yönlü bir nedensellik ilişkisi olmasına rağmen endeks futures piyasadan spot piyasaya doğru olan nedenselliğin çok daha güçlü olduğu kanıtlanmıştır. Endeks futures ve spot piyasalar arasındaki volatilite yayılımı bağlamında ise VECM-GARCH(1,1)-BEKK modeli uygulanmış ve endeks futures ve spot piyasa volatiliteleri arasında iki yönlü bir yayılım olmasına rağmen endeks futures piyasa şokları ve volatilitesinin spot piyasa volatilitesi üzerine yayılımının çok daha belirgin olduğu bulgusuna erişilmiştir. Dolayısıyla, hem fiyat keşfi hem de volatilite yayılımına dair elde edilen bulgular neticesi, bilginin öncelikle futures piyasaya yansıdığı ve endeks futures piyasanın bilgisel olarak spot piyasadan daha etkin olduğu sonucuna varılmıştır

Keywords

Fiyat Keşfi, Volatilite Yayılımı, Eşbütünleşme, Vektör Hata Düzeltme Modeli, Çok Değişkenli GARCH

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