HEDGING PERFORMANCE of TURKISH STOCK INDEX FUTURES

Öz

The aim of this study is to examine the hedging effectiveness of Future index contracts traded on the Istanbul Stock Exchange during the 2008 global financial crisis. Data set covers the period from February 2, 2005 to July 7, 2009. This research also provides an empirical econometric technique in the context of hedging the market risk using the ISE 30 index futures contract of the Turkish Derivatives Market. For this purpose, we have estimated optimal stock index futures hedge ratio for BIST-30 stock index using bivariate VAR (7)-MGARCH (1,1) Model. The results showed that stock index futures contracts in TURDEX are effective tool for hedging risk, which is consistent with most of the earlier studies in index futures. We also did not observe a change in the hedge ratio during the global crisis period.  Investors who are interested in the Istanbul stock market can benefit from the results of this study by developing appropriate model in order to reduce their risk more efficiently.

Anahtar Kelimeler

• Time Varying Hedge Ratio,M-GARCH,TURKDEX,ISE30

TÜRKİYE HİSSE SENEDİ VADELİ İŞLEMLERİNİN HEDGE PERFORMANSI

Öz

Çalışmanın amacı 2008 finansal krizi sırasında İstanbul Menkul Kıymetler Borsası üzerinde işlem gören vadeli endeks sözleşmelerinin hedge etkinliğini araştırmaktır.Veri seti 2 Şubat 2005 ve 7 Temmuz 2009 arası dönemi kapsamaktadır. Çalışma Türkiye Vadeli İşlemler ve Opsiyon Piyasası’nda ISE30 endeks vadeli sözleşmesini kullanarak pazar riskine karşı koruma etkinliğini ampirik bir teknik ile göstermektedir. Bu amaçla, optimum borsa endeks hedge oranını BIST- 30 hisse senedi endeksi için iki değişkenli VAR(7)-MGARCH(1,1) modeli ile tahmin edilmiştir. Sonuçlara göre, borsa endeks sözleşmeleri için yapılan ilk çalışmalara benzer olarak borsa endeks sözleşmeleri risk yönetimi için etkili bir araçtır. Kriz dönemi içinse hedge oranında bir değişim gözlemlenmemiştir. Borsa İstanbul’la ilgilenen yatırımcılar risklerini daha etkili bir şekilde yönetmek ve model geliştirmek için bu çalışmadan yararlanabilirler.

Anahtar Kelimeler

• Zamanla Değişen Hedge Oranı,M-GARCH,TURKDEX,BIST30

Kaynakça

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