THE INTERACTIONS AMONG THE SPOT, FUTURES AND OPTIONS MARKETS OF BIST-30 INDEX IN TURKEY

Öz

ABSTRACT

This study investigates short-run relationships among spot and derivatives market (including futures and options market) in Turkey. We examine the relationships among BIST-30 Index, BIST-30 Index Futures and BIST-30 Index Options by employing Granger causality and variance decomposition tests for the period from April 4, 2013 and December 31, 2015 by using daily data. Our results show that there is a two-way granger causality relationship between the spot and futures market. However, the effect from spot market to futures market is stronger than the effect from futures market to spot market indicating a weak arbitrage opportunity. On the other hand, we observe a one-way causality from options market to other two markets, which is quite weak.  

Anahtar Kelimeler

• : Futures,Options,BIST 30,VIOP

TÜRKİYE’DEKİ BIST 30 ENDEKSİNİN SPOT, VADELİ İŞLEM VE OPTİYON PİYASALARI ARASINDAKİ İLİŞKİLER

Öz

Bu çalışma Türkiye’deki spot ve türev (vadeli işlem ve opsiyon piyasalarını içeren) piyasalar arasındaki kısa dönemli ilişkileri araştırmaktadır. Çalışmada 4 Nisan 2013 ve 31 Aralık 2015 tarihleri arasındaki günlük data kullanılarak BIST 30 Endeksi, BIST 30 Endeks Vadeli İşlem ve BIST 30 Endeks Opsiyon sözleşmeleri  arasındaki ilişkiler Granger nedensellik ve varyans ayrıştırma testleri kullanılarak incelenmiştir. Sonuçlar spot ve vadeli işlem piyasaları arasında iki-yönlü granger nedensellik olduğunu göstermektedir.  Ancak spot piyasanın vadeli işlem piyasasına etkisinin, vadeli işlem piyasasının spot piyasasına olan etkisinden daha güçlü bulunmuştur. Bu durum arbitraj fırsatının zayıf olduğunu işaret etmektedir. Diğer taraftan, opsiyon piyasasından bu iki piyasaya tek yönlü ve zayıf bir nedensellik gözlemlenmiştir.

 

Anahtar Kelimeler

• Vadeli işlem,Opsiyon,BIST 30,VIOP

Kaynakça

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