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

Yıl 2016, , 229 - 248, 01.01.2016
https://doi.org/10.17130/10.17130/ijmeb.2016.12.27.915

Öz

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

Kaynakça

  • Arago, V., & Fernandez, A. (2002). Expiration and maturity effect: Empirical evidence from the spanish spot and futures stock index. Applied Economics, 34(13), 1617-1626.
  • Bessembinder, H., Coughenour, J. F., Seguin, P. J., & Smoller, M. M. (1996). Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis. Journal of Derivatives, 4(2), 45-58.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • Borsa İstanbul. (2014). Erişim tarihi:22.3.2015, http://www.borsaistanbul.com/docs/default- source/yayınlar/2014-borsa-istanbul-faaliyet-raporu.pdf?sfvrsn=8
  • Chen, Y. J., Duan, J. C., & Hung, M.-W. (1999). Volatility and maturity effects in the Nikkei index futures. The Journal of Futures Markets, 19(8), 895–909.
  • Daal, E., Farhat, J., & Wei, P. P. (2006). Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts. Review of Financial Economics, 15(2), 113–128.
  • Duong, H. N., & Kalev, P. S. (2008). The samuelson hypothesis in futures markets: An analysis using intraday data. Journal of Banking & Finance, 32(4), 489–500.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
  • Galloway, T. M., & Kolb, R. W. (1996). Futures prices and the maturity effect. The Joumal of Futures Markets, 16(7), 809-828.
  • Garman, M. B., & Klass, M. J. (1980). On the estimation of security price volatilities from historical data. The Journal of Business, 53(1), 67-78.
  • Grammatikos, T., & Saunders, A. (1986). Futures price variability: A test of maturity and volume effects. The Journal of Business, 59(2), 319-330.
  • Gurrola, P., & Herrerias, R. (2011). Maturity effects in the Mexican interest rate futures market. The Journal of Futures Markets, 31(4), 371–393.
  • Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873–889.
  • Herbert, J. H. (1995). Trading volume, maturity and natural gas futures price volatility. Energy Economics, 17(4), 293-299.
  • Kalev, P. S., & Duong, H. N. (2008). A test of the Samuelson hypothesis using realized range. The Journal of Futures Markets, 28(7), 680–696.
  • Kapusuzoglu, A. (2012). Empirical testing of the Samuelson hypothesis: Application to futures market in Turkey. Actual Problems of Economics, 135(9), 321-328.
  • Kenourgios, D., & Katevatis, A. (2011). Maturity effect on stock index futures in an emerging market. Applied Economics Letters, 18(11), 1029–1033.
  • Liu, W. H. (2014). Do futures prices exhibit maturity effect? A nonparametric revisit. Applied Economics, 46(8), 813–825.
  • McMillan, D. G., & Speight, A. E. (2004). Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility. Applied Financial Economics, 14(4), 253–263.
  • Milonas, N. T. (1986). Price variability and the maturity effect in futures markets. The Journal of Futures Markets, 6(3), 443-460.
  • Molnár, P. (2012). Properties of range-based volatility estimators. International Review of Financial Analysis, 23, 20–29.
  • Moosa, I. A., & Bollen, B. (2001). Is there a maturity effect in the price of the S&P 500 futures contract? Applied Economics Letters, 8(11), 693-695.
  • Racine, J. S., & Maasoumi, E. (2007). A versatile and robust metric entropy test of time reversibility and dependence. Journal of Econometrics, 138(2), 547-567.
  • Rutledge, D. J. (1976). A note on the variability of futures prices. The Review of Economics and Statistics, 58(1), 118-120.
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49.
  • Verma, A., & Kumar, C. V. (2010). An examination of the maturity effect in the Indian commodities futures market. Agricultural Economics Research Review, 23, 335-342.
  • Walls, W. D. (1999). Volatility, volume and maturity in electricity futures. Applied Financial Economics, 9(3), 283-287.

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

Yıl 2016, , 229 - 248, 01.01.2016
https://doi.org/10.17130/10.17130/ijmeb.2016.12.27.915

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.

Kaynakça

  • Arago, V., & Fernandez, A. (2002). Expiration and maturity effect: Empirical evidence from the spanish spot and futures stock index. Applied Economics, 34(13), 1617-1626.
  • Bessembinder, H., Coughenour, J. F., Seguin, P. J., & Smoller, M. M. (1996). Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis. Journal of Derivatives, 4(2), 45-58.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • Borsa İstanbul. (2014). Erişim tarihi:22.3.2015, http://www.borsaistanbul.com/docs/default- source/yayınlar/2014-borsa-istanbul-faaliyet-raporu.pdf?sfvrsn=8
  • Chen, Y. J., Duan, J. C., & Hung, M.-W. (1999). Volatility and maturity effects in the Nikkei index futures. The Journal of Futures Markets, 19(8), 895–909.
  • Daal, E., Farhat, J., & Wei, P. P. (2006). Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts. Review of Financial Economics, 15(2), 113–128.
  • Duong, H. N., & Kalev, P. S. (2008). The samuelson hypothesis in futures markets: An analysis using intraday data. Journal of Banking & Finance, 32(4), 489–500.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
  • Galloway, T. M., & Kolb, R. W. (1996). Futures prices and the maturity effect. The Joumal of Futures Markets, 16(7), 809-828.
  • Garman, M. B., & Klass, M. J. (1980). On the estimation of security price volatilities from historical data. The Journal of Business, 53(1), 67-78.
  • Grammatikos, T., & Saunders, A. (1986). Futures price variability: A test of maturity and volume effects. The Journal of Business, 59(2), 319-330.
  • Gurrola, P., & Herrerias, R. (2011). Maturity effects in the Mexican interest rate futures market. The Journal of Futures Markets, 31(4), 371–393.
  • Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873–889.
  • Herbert, J. H. (1995). Trading volume, maturity and natural gas futures price volatility. Energy Economics, 17(4), 293-299.
  • Kalev, P. S., & Duong, H. N. (2008). A test of the Samuelson hypothesis using realized range. The Journal of Futures Markets, 28(7), 680–696.
  • Kapusuzoglu, A. (2012). Empirical testing of the Samuelson hypothesis: Application to futures market in Turkey. Actual Problems of Economics, 135(9), 321-328.
  • Kenourgios, D., & Katevatis, A. (2011). Maturity effect on stock index futures in an emerging market. Applied Economics Letters, 18(11), 1029–1033.
  • Liu, W. H. (2014). Do futures prices exhibit maturity effect? A nonparametric revisit. Applied Economics, 46(8), 813–825.
  • McMillan, D. G., & Speight, A. E. (2004). Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility. Applied Financial Economics, 14(4), 253–263.
  • Milonas, N. T. (1986). Price variability and the maturity effect in futures markets. The Journal of Futures Markets, 6(3), 443-460.
  • Molnár, P. (2012). Properties of range-based volatility estimators. International Review of Financial Analysis, 23, 20–29.
  • Moosa, I. A., & Bollen, B. (2001). Is there a maturity effect in the price of the S&P 500 futures contract? Applied Economics Letters, 8(11), 693-695.
  • Racine, J. S., & Maasoumi, E. (2007). A versatile and robust metric entropy test of time reversibility and dependence. Journal of Econometrics, 138(2), 547-567.
  • Rutledge, D. J. (1976). A note on the variability of futures prices. The Review of Economics and Statistics, 58(1), 118-120.
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49.
  • Verma, A., & Kumar, C. V. (2010). An examination of the maturity effect in the Indian commodities futures market. Agricultural Economics Research Review, 23, 335-342.
  • Walls, W. D. (1999). Volatility, volume and maturity in electricity futures. Applied Financial Economics, 9(3), 283-287.
Toplam 27 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

İbrahim Yaşar Gök Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2016
Yayımlandığı Sayı Yıl 2016

Kaynak Göster

APA Gök, İ. Y. (2016). SAMUELSON HİPOTEZİNİN BORSA İSTANBUL ENDEKS FUTURES PİYASASI ÜZERİNDE TEST EDİLMESİ: İŞLEM HACMİ VE AÇIK POZİSYON BAĞLAMINDA BİR ANALİZ. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 12(27), 229-248. https://doi.org/10.17130/10.17130/ijmeb.2016.12.27.915