TESTING SAMUELSON HYPOTHESIS ON BORSA ISTANBUL INDEX FUTURES MARKET: AN ANALYSIS IN THE CONTEXT OF VOLUME AND OPEN INTEREST

Abstract

In this study, the hypothesis of Samuelson 1965 which is as futures contract nears maturity the contract price volatility increases, is tested on Borsa Istanbul 30 index futures contracts for the period of 2005-2012. The examinations are conducted seperately on the basis of contract and over the entire period. Least squares regression and GARCH models are applied and in addition to time to maturity effect the effects of volume and open interest on return volatility are investigated. According to examination on the basis of contract, partially existence of inverse time to maturity effect is reached. On the other hand, it is reached that there is significant inverse time to maturity effect in all of the period. In this context, it is concluded that the Samuelson hypothesis is not valid in BIST 30 index futures contracts

Keywords

• Time to Maturity Effect,Price Volatility,Index Futures Market,Volume,Open Interest

SAMUELSON HİPOTEZİNİN BORSA İSTANBUL ENDEKS FUTURES PİYASASI ÜZERİNDE TEST EDİLMESİ: İŞLEM HACMİ VE AÇIK POZİSYON BAĞLAMINDA BİR ANALİZ

Öz

Bu çalışmada, Samuelson 1965 ’un futures kontratlar vadeye yaklaştıkça kontrat fiyat volatilitesinin arttığına dair hipotezi, Borsa İstanbul 30 endeks futures kontratlarında, 2005-2012 dönemi için sınanmıştır. Kontrat bazında ve dönemin tamamı üzerinde ayrı incelemeler yapılmıştır. En küçük kareler regresyon ve GARCH modelleri uygulanmış, vadeye kalan zaman etkisinin yanı sıra işlem hacmi ve açık pozisyonun getiri volatilitesi üzerine etkileri de araştırılmıştır. Kontrat bazında incelemelere göre, tersine vadeye kalan zaman etkisinin kısmen var olduğuna erişilmiştir. Diğer taraftan, dönemin tamamında anlamlı bir tersine vadeye kalan zaman etkisine ulaşılmıştır. Bu bağlamda, BIST 30 endeks futures kontratlarda Samuelson hipotezinin geçerli olmadığı sonucuna varılmıştır.

Anahtar Kelimeler

• Vadeye Kalan Zaman Etkisi,Fiyat Volatilitesi,Endeks Futures Piyasa, İşlem Hacmi, Açık Pozisyon

Kaynakça

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