SPOT VE VADELİ İŞLEM FİYATLARININ VARYANSLARI ARASINDAKİ NEDENSELLİK TESTİ

Öz

Finansal piyasalarda meydana gelen dalgalanmalar yatırımcılar ve özellikle de işletmeler açısından risk yönetiminin ve vadeli işlemlerin önemini artırmaktadır. Vadeli ile spot piyasalar arasındaki etkileşim, spot ve vadeli işlemlerin fiyatının belirlenmesinde önemli bir role sahiptir. Dolayısıyla bu çalışmada VOB’ta işlem gören İMKB100 Endeksi, ABD doları ve Euro vadeli işlem (futures) fiyatlarının spot fiyatları ile nedenselliği incelenmiştir. İlişkiyi belirleyebilmek amacıyla Cheung ve Ng (1996) tarafından geliştirilen dinamik nedensellik testi uygulanmıştır. Dinamik nedensellik testinden elde edilen sonuçlara göre, İMKB100 Endeks modelinde spot vadeli işlemi etkilemekte, döviz modellerinde ise vadeli işlem fiyatların spot fiyatları etkilediği sonucuna ulaşılmıştır.

Anahtar Kelimeler

• Dinamik Nedensellik, ARMA-GARCH, Vadeli işlem-Spot ilişkisi

THE CAUSALITY TEST BETWEEN THE VARIANCES OF SPOT AND FUTURE MARKET PRICES

Öz

Volatility in financial markets urges importance of risk management with respect to investors and especially firms. Information and interaction between spot and futures markets plays an important role on formation of market prices. In this study, causality and information flows are examined on spot and futures prices of ISE 100 Index, US Dollar, and Euro which are traded at Turkish Derivatives Exchange (VOB). Dynamic causality test that is originally created by Cheung and Ng (1996) is applied. Dynamic causality test results show that in the ISE 100 Index model spot prices affect futures prices and in the exchange model futures prices affect spot prices.

Anahtar Kelimeler

• Dynamic causality, ARMA-GARCH, Correlation of spotfutures.

Kaynakça

1. ANTONIOU, A., PESCETTO, G. ve VIOLARIS, A. (2001), “Modelling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets: A Multivariate Analysis”, http://inquire.org.uk.loopiadns.com/inquirefiles/Attachments/Brighton20 01/ paper-antoniou.pdf, (08.08.2006).
2. BAKLAVACI, Hasan F. (2007), “Türkiye’de Futures İşlemlerinin Spot Piyasa Oynaklığına Etkisi Üzerine Bir Çalışma”, 11. Ulusal Finans Sempozyumu, 17–20 Ekim 2007.
3. BHAR, R. ve HAMORİ, S. (2005), “Causality in Variance and the Type of Traders in Crude Oil Futures”, Energy Economics, 27, 527-539.
4. BOLLERSLEV, T. (1986), “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31, 307-327.
5. BRYANT, H. L., BESSLER, D. A. ve HAIGH M. S. (2003), “Causality in Futures Markets”, http://www.arec.umd.edu/publications/papers/ Working-Papers-PDF-files/03-07.pdf, (08.08.2006).
6. CHEUNG, Y.W. ve NG, L.K. (1996), “A Causality-in-Variance Test and Its Applications to Financial Market Prices”, Journal of Econometrics, 72, 33–48.
7. CHEUNG, Y.W. ve FUNG H.G. (1997), “Information Flows Between Eurodollar Spot and Futures Markets”, Multinational Finance Journal, 1(4), 255–271, http://mfs.rutgers.edu/MFJ/Articles-pdf/V01N4p1.pdf, (21.09.2006).
8. COVRIG, V., DING, D. K. ve LOW, B. S. (2006), “Price Discovery in Informational-Linked Markets: A Microstructure Analysis of Nikkei 225 Futures”, (Nanyang%20Technological%20U).pdf, (08.08.2006).

9. CROVDER, J. W. ve PHENGPIS, C. (2003), “Testing Futures Market Efficiency using Adaptive Estimation”, http://economics.uta.edu/wpapers /chanwit.pdf, (08.08.2006).
10. ENGLE, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation”, Econometrica, 50, 987–1008.
11. GUJARATI N, D. (1995), Basic Econometrics International Edition, McGraw- Hill, Inc., USA.
12. HADDAD, A. M. (2003), “Futures Market Efficiency and the Federal Budget Deficit”, Journal of Academy of Business and Economics, http://www.highbeam.com/library/docFree.asp?DOCID=1G1:11356358, (08.08.2006).
13. HAUBRICH, J., HIGGINS, P. ve MILLER J. (2004), “Oil Prices: Bacward to the Future?”, Federal Reserve Bank of Clevland, http://www.clevelandfed .org/research/Com2004/Decnew.pdf, (20.06.2006).
14. KAVUSSANOS, M. G. ve NOMIKOS, N. K. (2003), “Price Discovery, Causality and Forecasting in the Freight Futures Market”, Review of Derivatives Research, 203-230, http://www.springerlink.com/content/ q172m109840381q6/fulltext.pdf, (08.08.2006).
15. KÜÇÜKKOCAOĞLU, G. (2006), “Türev Piyasaları-Vadeli İşlem Piyasaları Tanımı, Kuramsal Analizi ve Gelişimi”, http://www.baskent.edu.tr /~gurayk/ finpazpazartesi11.doc, (08.08.2006).
16. MALLIARIS, A.G. (2006), “Futures Markets: How do Prices Behave?”, http://www.sba.luc.edu/tassos/downloads/futures%20behave.pdf, (20.06.2006).
17. SARNO, L. ve VALENTE, G. (2003), “Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers”, wpaperseries /wf04-223.pdf, (08.08.2006).
18. SARTWELLE, J. D., SMITH E., KASTENS, T. ve O’BRIEN, D. (2006), “Buying Hedge With Futures, Risk Management Education”, http://trmep.tamu.edu/cg/factsheets/rm2-15.pdf, (20.06.2006).
19. TURKINGTON, J. ve WALSH, D. (1999), “Price Discovery and Causality in Australian Share Price Index Futures Market”, Australian Journal of Management, 24(2), http://www.agsm.unsw.edu.au/eajm/9912/pdf/ turkington. pdf, (08.08.2006).
20. VERBEEK, M. (2000), A Guide to Modern Econometrics, John Wiley&Sons, England. VOB Tanıtım CD’si
21. WU, T. ve McCALLUM, A. (2005), “Do Oil Futures Prices Help Predict Future Oil Prices?”, Federal Reserve Bank of San Francisco, FRBSF Economic Letter, 38, http://www.frbsf.org/publications/economics/letter/ 2005/el2005-38.pdf, (20.06.2006).
22. ZOU, L. ve PINFOLD, J. (2001), “Price Functions Between NZSE10 Index”, Index Futuresand TENZ, Department of Commerce, Massey University, Auckland, Working Paper Series, 1(10), http://commerce.massey.ac.nz/ research_outputs/2001/2001010.pdf, (08.08.2006).
23. http://www.tcmb.gov.tr, (29.09.2006).
24. http://www.vob.org.tr, (29.09.2006).