VADELİ PİYASALARDA RİSKTEN KORUNMA: VOB-İMKB 30 ENDEKS SÖZLEŞMELERİ KULLANIMINA DAYALI KORUNMA ORANI VE KORUNMA ETKİNLİĞİ

Doç.Dr.Şeref Kalaycı; Esra Zeynel

Vadeli Piyasalarda Riskten Korunma: VOB-İMKB 30 Endeks Sözleşmeleri Kullanımına Dayalı Korunma Oranı ve Korunma Etkinliği

Year 2009, Volume: 14 Issue: 3, 39 - 63, 01.09.2009

Doç.Dr.Şeref Kalaycı Esra Zeynel

Abstract

Keywords

References

1. ANTONIO A. And P. HOLMES, Futures Trading and Spot Price Volatility, 1995, Journal of Banking ANTONIO and Finance, Vol:19, pp.117-129.
2. ARSHANAPALLI, B., J.DOUKAS, The Linkages of S&P 500 Stock Index and S&P 500 Stock Index Futures Prices during October, 1987, Journal of Economics and Business , Vol:49, (1997), s.253-266.
3. BAE SUNG C., TAEK HO KWON, JONG WON PARK, Futures Trading, Spot Market Volatility and Market Efficiency: The Case of The Korean Index Futures Markets, The Journal of Futures Markets, 2004, The Journal of Futures Markets, Vol: 24, No:12, pp. 253-266.
4. BASSEMBINDER, H., Systematic Risk, Hedging Pressure and Optimum Risk Oremiums in Future Markets, Review of Financial Studies, Vol: 34, No:1, (March 1979), pp.157-170.
5. BRADFORD, C., Spot Rates, Foorward Rates and Exchange Market Efficiency, 1977, Journal of Financial Economics, August 1977, pp.55- 60.
6. BRENNER M., M. G. SUBRAHMANYAM and J.UNO, The Behavior of Price in the Nikkei Spot and Futures Markets, 1989, Journal of Finance Economics, Vol: 23, pp.363-383.
7. CEYLAN, A., T. KORKMAZ, Sermaye Piyasası ve Menkul Değer Analizi, Ekin Kitabevi, 3. Baskı, İstanbul, 2006.
8. COX, C.C., Futures Tradin and Market Information, 1976, Journal of Political Economy, Vol:84, No:1, pp.1215-1237.
9. DARRAT, A. F., S. RAHMAN and M. ZHONG, On The Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret, 2002, Journal of Financial Research, Vol: 25, No:3, pp.431-444.
10. EDERINGTON, L. H., The Hedging Performance of the New Futures Markets, The Journal of Finance, Vol. 34, No. 1 (Mar., 1979), pp. 157-170.
11. GÖKŞENLİ, E.Ş., Dövize Dayalı İşlem Yapan İşletmelerde Futures Piyasasında Döviz Kuru-İşlem Riskinden Korunma (Hedging)ve Bir Uygulama, Marmara Üniversitesi, Sosyal Bilimler Enstitüsü, Doktora Tezi, İstanbul, 2001.
12. GÜLEN, S. G., Efficiency in The Crude Oil Futures Markets, 1998, Journal of Energy, Finace & Development, Vol: 3, No:1, pp.13-21.
13. GÜRBÜZ, A., O.ERGİNCAN, Şirket Değerlemesi Klasik ve Modern Yaklaşımlar, Literatür Yayıncılık, İstanbul, 2004.
14. HOWARD, C. T., and L.J. D’ANTONIO, A Risk Return Measur of Hedging Effectiveness, 1984, Journal of Financial and Quantitative Analysis, Vol: 19, No:1, (March 1984), pp. 101-112.
15. KAWALLER I.G., P.D. KOCH, T.W. KOCH, The Relationship Between The S&P 500 Index and The S&P 500 Index Futures Prices, 1993, Federal Reserve Bank of Atlanta Economic Review, Vol: 73, No: 3, pp.2-10.
16. LAWS, J. and J.THOMPSON, Hedging Effectiveness of Stock Index Futures, Journal of Europen Operational Research, Vol. 163. (Feb., 2005), pp. 177-191.
17. MIFFRE, J., The Cross Section of Expected Futures Returns and The Keynesian Hypothesis, 2003, Applied Financial Economics, Vol: 13, pp.731-739.
18. MODEST, D. M. And M. SUNDARESAN, The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence, 1983, The Journal of Futures Markets, Vol:3, No:1, pp.15-41.
19. PERICLI, A. And G. KOUTMAS, Index Futures and Options and Stock Market Volatility, 1997, Journal of Futures Markets, Vol: 17, pp. 954-974.
20. TOMEK,W.G. and GRAY, R.W., Temporal Relationship Among Prices on Commodity Futures Markets: Their Allocative and Stabilising Roles, 1970, American Journal of Agricultural Economics,Vol:52.
21. WORKING, H., A Theory of Anticipatory Prices, 1958, American Economic Rewiew, Vol:48, pp.188-199.
22. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vobjektif, VOB Yayınları, Kasım, 2005.
23. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vobjektif, VOB Yayınları, Nisan, 2007.
24. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Türev Araçları Lisanslama Rehberi, VOB Yayınları, Güncellenmiş Baskı, İzmir, 2007
25. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vadeli İşlem ve Opsiyon Borsası Yönetmeliği, SPK Yayınları, 2007.
26. İnternet Kaynakları
27. http://www.vob.org.tr.
28. http://www.imkb.gov.tr
29. http://www.tcmb.gov.tr
30. http://www.spk.gov.tr
31. http://www.bis.org
32. http://www.isda.org
33. http://www.tspakb.org.tr
34. http://www.bddk.gov.tr

VADELİ PİYASALARDA RİSKTEN KORUNMA: VOB-İMKB 30 ENDEKS SÖZLEŞMELERİ KULLANIMINA DAYALI KORUNMA ORANI VE KORUNMA ETKİNLİĞİ

Year 2009, Volume: 14 Issue: 3, 39 - 63, 01.09.2009

Doç.Dr.Şeref Kalaycı Esra Zeynel

Abstract

“Vadeli işlem piyasaları” risk yönetimi ihtiyacı sonucu ortaya çıkmış piyasalardır. Çalışmada,Vadeli İşlem ve Opsiyon Borsası’nda işlem gören VOB-İMKB 30 Endeks sözleşmeleri ile fiyatların düşme riskine karşı kısa pozisyonda, dinamik korunma yapılarak, korunma etkinliği (hedging effectiveness) analiz edilmekte ve VOB-İMKB 30 Endeks sözleşmeleri ile korunma etkinliğinin sağlandığı görülmektedir

Keywords

Vadeli İşlem ve Opsiyon Borsası, Endeks Vadeli İşlem Sözleşmeleri, Korunma Etkinliği, Varyansı Minimize Eden Hedge Rasyosu

References

1. ANTONIO A. And P. HOLMES, Futures Trading and Spot Price Volatility, 1995, Journal of Banking ANTONIO and Finance, Vol:19, pp.117-129.
2. ARSHANAPALLI, B., J.DOUKAS, The Linkages of S&P 500 Stock Index and S&P 500 Stock Index Futures Prices during October, 1987, Journal of Economics and Business , Vol:49, (1997), s.253-266.
3. BAE SUNG C., TAEK HO KWON, JONG WON PARK, Futures Trading, Spot Market Volatility and Market Efficiency: The Case of The Korean Index Futures Markets, The Journal of Futures Markets, 2004, The Journal of Futures Markets, Vol: 24, No:12, pp. 253-266.
4. BASSEMBINDER, H., Systematic Risk, Hedging Pressure and Optimum Risk Oremiums in Future Markets, Review of Financial Studies, Vol: 34, No:1, (March 1979), pp.157-170.
5. BRADFORD, C., Spot Rates, Foorward Rates and Exchange Market Efficiency, 1977, Journal of Financial Economics, August 1977, pp.55- 60.
6. BRENNER M., M. G. SUBRAHMANYAM and J.UNO, The Behavior of Price in the Nikkei Spot and Futures Markets, 1989, Journal of Finance Economics, Vol: 23, pp.363-383.
7. CEYLAN, A., T. KORKMAZ, Sermaye Piyasası ve Menkul Değer Analizi, Ekin Kitabevi, 3. Baskı, İstanbul, 2006.
8. COX, C.C., Futures Tradin and Market Information, 1976, Journal of Political Economy, Vol:84, No:1, pp.1215-1237.
9. DARRAT, A. F., S. RAHMAN and M. ZHONG, On The Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret, 2002, Journal of Financial Research, Vol: 25, No:3, pp.431-444.
10. EDERINGTON, L. H., The Hedging Performance of the New Futures Markets, The Journal of Finance, Vol. 34, No. 1 (Mar., 1979), pp. 157-170.
11. GÖKŞENLİ, E.Ş., Dövize Dayalı İşlem Yapan İşletmelerde Futures Piyasasında Döviz Kuru-İşlem Riskinden Korunma (Hedging)ve Bir Uygulama, Marmara Üniversitesi, Sosyal Bilimler Enstitüsü, Doktora Tezi, İstanbul, 2001.
12. GÜLEN, S. G., Efficiency in The Crude Oil Futures Markets, 1998, Journal of Energy, Finace & Development, Vol: 3, No:1, pp.13-21.
13. GÜRBÜZ, A., O.ERGİNCAN, Şirket Değerlemesi Klasik ve Modern Yaklaşımlar, Literatür Yayıncılık, İstanbul, 2004.
14. HOWARD, C. T., and L.J. D’ANTONIO, A Risk Return Measur of Hedging Effectiveness, 1984, Journal of Financial and Quantitative Analysis, Vol: 19, No:1, (March 1984), pp. 101-112.
15. KAWALLER I.G., P.D. KOCH, T.W. KOCH, The Relationship Between The S&P 500 Index and The S&P 500 Index Futures Prices, 1993, Federal Reserve Bank of Atlanta Economic Review, Vol: 73, No: 3, pp.2-10.
16. LAWS, J. and J.THOMPSON, Hedging Effectiveness of Stock Index Futures, Journal of Europen Operational Research, Vol. 163. (Feb., 2005), pp. 177-191.
17. MIFFRE, J., The Cross Section of Expected Futures Returns and The Keynesian Hypothesis, 2003, Applied Financial Economics, Vol: 13, pp.731-739.
18. MODEST, D. M. And M. SUNDARESAN, The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence, 1983, The Journal of Futures Markets, Vol:3, No:1, pp.15-41.
19. PERICLI, A. And G. KOUTMAS, Index Futures and Options and Stock Market Volatility, 1997, Journal of Futures Markets, Vol: 17, pp. 954-974.
20. TOMEK,W.G. and GRAY, R.W., Temporal Relationship Among Prices on Commodity Futures Markets: Their Allocative and Stabilising Roles, 1970, American Journal of Agricultural Economics,Vol:52.
21. WORKING, H., A Theory of Anticipatory Prices, 1958, American Economic Rewiew, Vol:48, pp.188-199.
22. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vobjektif, VOB Yayınları, Kasım, 2005.
23. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vobjektif, VOB Yayınları, Nisan, 2007.
24. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Türev Araçları Lisanslama Rehberi, VOB Yayınları, Güncellenmiş Baskı, İzmir, 2007
25. VADELİ İŞLEM VE OPSİYON BORSASI A.Ş., Vadeli İşlem ve Opsiyon Borsası Yönetmeliği, SPK Yayınları, 2007.
26. İnternet Kaynakları
27. http://www.vob.org.tr.
28. http://www.imkb.gov.tr
29. http://www.tcmb.gov.tr
30. http://www.spk.gov.tr
31. http://www.bis.org
32. http://www.isda.org
33. http://www.tspakb.org.tr
34. http://www.bddk.gov.tr

There are 34 citations in total.

Details

Primary Language	Turkish
Journal Section	Articles
Authors	Doç.Dr.Şeref Kalaycı This is me Esra Zeynel This is me
Publication Date	September 1, 2009
Published in Issue	Year 2009 Volume: 14 Issue: 3

Cite

APA	Kalaycı, .D., & Zeynel, E. (2009). VADELİ PİYASALARDA RİSKTEN KORUNMA: VOB-İMKB 30 ENDEKS SÖZLEŞMELERİ KULLANIMINA DAYALI KORUNMA ORANI VE KORUNMA ETKİNLİĞİ. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 14(3), 39-63.

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