Year 2021, Volume 29 , Issue 48, Pages 427 - 442 2021-04-28

Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul
Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz

Fatih GÜZEL [1]


USD/TRY foreign exchange rate is the dominant foreign exchange unit in the foreign trade volume of Turkey. Thisstudy examines the interaction of the USD/TRY foreign exchange rates formed in the spot and the derivatives markets. The dataset consists of daily frequency data covering January 01, 2014 - December 31, 2018. The interaction between the markets is analysed in terms of price discovery and causality. Hasbrouck (1995) Information Share, Gonzalo and Granger (1995) Component Share, and Putniņš (2013) Information Leadership Share were used as price discovery measures. Price discovery measures agree that futures foreign exchange values have a price discovery function. As a result of the study, a bidirectional causality is determined between the spot and futures foreign exchange rates. Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.
USD/TRY döviz birimi Türkiye dış ticaretine hâkim dövizdir. Bu makale spot ve türev piyasalar arasında USD/TRY döviz biriminin etkileşimini incelemektedir. Veri seti 02.01.2014 - 31.12.2018 dönemini kapsayan günlük frekanslı verilerden oluşmaktadır. Piyasalar arasındaki etkileşim hem fiyat keşfi hem de nedensellik çerçevesinde analiz edilmiştir. Fiyat keşif ölçütleri olarak Hasbrouck (1995) Bilgi Payı, Gonzalo ve Granger (1995) Bileşen Payı ve Putniņš (2013) Bilgi Liderliği Payı kullanılmıştır. Fiyat keşif ölçütleri vadeli döviz değerlerinin fiyat keşif fonksiyonuna sahip olduğu noktasında uzlaşı içerisindedir. Çalışma sonucunda, spot ve vadeli döviz değerleri arasında çift yönlü nedensellik tespit edilmiştir. Vadeli piyasadan spot piyasaya olan nedensellik, spot piyasadan vadeli piyasalara olan nedensellikten daha güçlüdür.
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Primary Language tr
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0002-4153-3933
Author: Fatih GÜZEL (Primary Author)
Institution: Kırşehir Ahi Evran Üniversitesi
Country: Turkey


Dates

Publication Date : April 28, 2021

Bibtex @research article { sosyoekonomi774335, journal = {Sosyoekonomi}, issn = {1305-5577}, address = {}, publisher = {Sosyoekonomi Society}, year = {2021}, volume = {29}, pages = {427 - 442}, doi = {10.17233/sosyoekonomi.2021.02.20}, title = {Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz}, key = {cite}, author = {Güzel, Fatih} }
APA Güzel, F . (2021). Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz . Sosyoekonomi , 29 (48) , 427-442 . DOI: 10.17233/sosyoekonomi.2021.02.20
MLA Güzel, F . "Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz" . Sosyoekonomi 29 (2021 ): 427-442 <https://dergipark.org.tr/en/pub/sosyoekonomi/issue/62051/774335>
Chicago Güzel, F . "Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz". Sosyoekonomi 29 (2021 ): 427-442
RIS TY - JOUR T1 - Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz AU - Fatih Güzel Y1 - 2021 PY - 2021 N1 - doi: 10.17233/sosyoekonomi.2021.02.20 DO - 10.17233/sosyoekonomi.2021.02.20 T2 - Sosyoekonomi JF - Journal JO - JOR SP - 427 EP - 442 VL - 29 IS - 48 SN - 1305-5577- M3 - doi: 10.17233/sosyoekonomi.2021.02.20 UR - https://doi.org/10.17233/sosyoekonomi.2021.02.20 Y2 - 2021 ER -
EndNote %0 Sosyoekonomi Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz %A Fatih Güzel %T Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz %D 2021 %J Sosyoekonomi %P 1305-5577- %V 29 %N 48 %R doi: 10.17233/sosyoekonomi.2021.02.20 %U 10.17233/sosyoekonomi.2021.02.20
ISNAD Güzel, Fatih . "Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz". Sosyoekonomi 29 / 48 (April 2021): 427-442 . https://doi.org/10.17233/sosyoekonomi.2021.02.20
AMA Güzel F . Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz. Sosyoekonomi. 2021; 29(48): 427-442.
Vancouver Güzel F . Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz. Sosyoekonomi. 2021; 29(48): 427-442.
IEEE F. Güzel , "Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz", Sosyoekonomi, vol. 29, no. 48, pp. 427-442, Apr. 2021, doi:10.17233/sosyoekonomi.2021.02.20