TÜRKİYE’DE SPOT VE VADELİ İŞLEM PİYASALARI ARASINDA BİLGİ ETKİNLİĞİ VE ETKİLEŞİM: ÖNCÜL-ARDIL İLİŞKİLER VE VOLATİLİTE İLETİMİ

Öz

Çalışmanın amacı, Borsa İstanbul’da işlem gören Bist 30 endeksi ve Dolar-TL vadeli işlem sözleşmeleri ile dayandıkları spot piyasalar arasındaki ilişkileri incelemektir. 5 Ağustos 2013-28 Nisan 2021 dönemine ait günlük logaritmik getiriler kullanılarak yürütülen çalışmada spot ve vadeli işlem piyasaları arasında öncül-ardıl ilişkileri ve fiyat keşfi fonksiyonunun yanı sıra volatilite yayılımları da ortaya konulmaya çalışılmıştır. Böylece yeni bilginin hangi piyasada daha önce fiyatlandığına, dolayısıyla hangi piyasanın etkinliğinin daha yüksek olduğuna ışık tutulmak istenmiştir. VAR-BEKK-GARCH ve VAR-DCC-GARCH modellerinin çözümünden elde edilen bulgular endekste spot piyasanın liderliğini, döviz piyasasında ise çift yönlü etkileşimin varlığını ortaya koymaktadır. Analiz sonuçları piyasalar arasında dinamik koşullu korelasyonların anlamlı olduğunu ve pozitif bilginin volatilite üzerindeki etkisinin daha güçlü olduğu göstermiştir.

Anahtar Kelimeler

• Fiyat Keşfi
• Volatilite yayılımı
• Çok Değişkenli GARCH Modelleri
• Vadeli İşlem Piyasaları

INFORMATION EFFICIENCY AND INTERACTIONS BETWEEN SPOT AND FUTURES MARKETS: LEAD-LAG RELATIONSHIP AND VOLATILITY TRANSMISSION

Abstract

The aim of the study is to examine the relations between the Bist 30 index and USD-TRY futures contracts traded in Borsa Istanbul and the underlying spot markets. In the study, which was carried out using daily logarithmic returns for the period of August 5, 2013-April 28, 2021, the lead-lag relationships between spot and futures markets and the price discovery function as well as volatility spillovers were tried to be revealed. Thus, it is aimed to shed light on which market the new information is priced in first, and therefore which market has the higher efficiency. Findings obtained from the VAR-BEKK-GARCH and VAR-DCC-GARCH models reveal the leadership of the spot market in the index and the presence of bidirectional interaction in the foreign exchange markets. Results also showes that dynamic conditional correlations between markets are significant and the effect of positive information on volatility is stronger.

Keywords

• Price Discovery
• Volatility Spillover
• Multivariate GARCH Models
• Futures Markets

Kaynakça

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