Optimal Hedge Ratio and Hedging Effectiveness in Turkish Stock Index Futures Market

Öz

In this study, optimum hedge ratio and hedging effectiveness of Turkish index futures market are investigated and five different hedging horizons including daily hedging and one, two, three, and four weeks hedging are examined. In the study, six different models including ordinary least squares (OLS), error correction model (ECM), generalized autoregressive conditional heteroskedasticity (GARCH) model, ECM-GARCH model and from multivariate GARCH models diag VECH-GARCH and diag BEKK-GARCH models are applied and daily spot and futures data of BIST 30 index in the period of November 1, 1995 and October 30, 2014 is used. While the best hedge ratio for daily hedging is provided by ECM-GARCH model, for the other hedge horizons the best hedge ratios are provided by multivarite GARCH models. In the view of riskreturn hedging performance, although OLS model has the best performance in two and four week hedging horizons, for the other hedging horizons the best model differentiates. Also, hedging performance increases with extending the hedging horizon. In the perspective of these findings, it is concluded that though the performances of the models are close to each other and it is not reached one best model, BIST 30 index contracts are effective hedging instruments. In the view of riskreturn trade off, investors can benefit with the best performance by the proper model for the preferred hedging horizon

Anahtar Kelimeler

• Hedge Ratio, Hedging Effectiveness, Hedge Horizon, Futures Contract

Türkiye Pay Endeks Futures Piyasasında Optimum Korunma Oranı ve Korunma Etkililiği

Öz

Bu çalışmada Türkiye endeks futures piyasasında optimal korunma oranı ve korunma performansı araştırılmış, günlük korunma ile bir, iki, üç ve dört haftalık korunma olmak üzere beş farklı korunma zamanı incelenmiştir. Çalışmada, en küçük kareler (OLS), hata düzeltme modeli (ECM), genelleştirilmiş otoregresif koşullu değişen varyans (GARCH) modeli, ECM-GARCH modeli ve çok değişkenli GARCH modellerinden diyagonal VECH-GARCH ve diyagonal BEKK-GARCH modelleri olmak üzere altı farklı model uygulanmış ve 1 Kasım 2005 ve 30 Ekim 2015 arası dönemde BIST 30 endeksi spot ve futures piyasalarına ait gün sonu veriler kullanılmıştır. Günlük korunmada en iyi korunma oranını ECMGARCH modeli sağlarken, diğer korunma zamanları için çok değişkenli GARCH modelleri en iyi korunma oranlarını sağlamaktadır. Risk-getiri korunma performansı açısından ise her ne kadar iki ve dört haftalık korunma zamanlarında en iyi performansa klasik OLS modeli sahip olsa da, diğer korunma zamanlarında en iyi model farklılaşmaktadır. Ayrıca, korunma zamanı uzadıkça korunma performansı da artmaktadır. Bu bulgular perspektifinde, modellerin performansları birbirine yakın olup, tüm korunma zamanları için tek bir en iyi modele erişilemese de, BIST 30 endeks futures kontratların etkin korunma araçları olduğuna ulaşılmıştır. Risk-getiri dengelemesi açısından, tercih edilen korunma zamanı için uygun olan modelle, yatırımcılar en iyi performansı elde edebileceklerdir

Anahtar Kelimeler

• Korunma Oranı, Korunma Etkililiği, Korunma Zamanı, Futures Kontrat

Kaynakça

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