GOLD SPOT AND DERIVATIVES MARKETS INTERACTION IN TURKISH FINANCIAL MARKETS

Öz

This study explores the impact of gold derivatives market on the market efficiency of the Turkish financial markets over 2011-2018 period. The study uses price series of USD/Ons spot and futures contracts traded in Borsa Istanbul and US Commodity Exchange as reference indicators and employs the Vector Error Correction Model. The study results reveal that there is a significant unilateral relationship between the gold spot and derivatives markets, the spot market prices leading the derivative market both in the long and short run. The findings also show that there is a persistent influence of volatility in the gold market.

Anahtar Kelimeler

• Gold Futures
• Hedging
• Price Discovery

TÜRKİYE’DE ALTIN SPOT VE VADELİ PİYASALARIN ETKİLEŞİMİ

Öz

Bu çalışma, Borsa İstanbul ve ABD Ticaret Borsası'nda işlem gören USD/Ons vadeli işlem sözleşmelerini referans gösterge olarak kullanarak altın spot ve türev piyasasının Türk sermaye piyasalarına katkısını 2011-2018 yılları arasındaki dönem için araştırmaktadır. Bu kapsamda çalışmada, Hata Düzeltme Modeli kullanılarak altın vadeli işlem piyasasının devreye alınmasının piyasa verimliliğini ne yönde etkilediği ele alınmaktadır. Elde edilen sonuçlar, Borsa İstanbul’a işlem gören altın spot fiyatları ile vadeli işlem fiyatları arasında hem uzun hem de kısa vadede tek taraflı ve anlamlı bir ilişki olduğunu, spot piyasanın vadeli işlemler piyasasına önderlik ettiği ortaya koymaktadır. Ayrıca bulgular, altın piyasasında volatilitenin kalıcı bir etkisi olduğunu göstermektedir.

Anahtar Kelimeler

• Altın Vadeli İşlemler
• Riskten Korunma
• Fiyat Keşfi

Kaynakça

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