The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Volume: 42 Number: 1 April 12, 2013
İstanbul Üniversitesi İşletme Fakültesi Dergisi Cover
İstanbul Üniversitesi İşletme Fakültesi Dergisi
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The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Abstract

The aimof this study is to investigate whether there is a lead-lag relationshipbetween spot and futures markets using daily closing prices belonging to theIstanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange(TurkDEX)-ISE 30 index future contracts. For the analysis, JohansenCointegration Test, Vector Error Correction Model and Granger Causality Testsare employed. The results of these tests have been reached that spot andfutures markets are cointegrated. But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.

Keywords

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Primary Language

English

Subjects

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Journal Section

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Authors

Publication Date

April 12, 2013

Submission Date

January 23, 2015

Acceptance Date

-

Published in Issue

Year 2013 Volume: 42 Number: 1

IZ

https://izlik.org/JA42BN52UU

Cite

RIS / Bibtex
APA
Ersoy, E., & Bayrakdaroğlu, A. (2013). The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 42(1), 26-40. https://izlik.org/JA42BN52UU
AMA
1.Ersoy E, Bayrakdaroğlu A. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2013;42(1):26-40. https://izlik.org/JA42BN52UU
Chicago
Ersoy, ERSAN, and ALİ Bayrakdaroğlu. 2013. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42 (1): 26-40. https://izlik.org/JA42BN52UU.
EndNote
Ersoy E, Bayrakdaroğlu A (April 1, 2013) The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42 1 26–40.
IEEE
[1]E. Ersoy and A. Bayrakdaroğlu, “The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 42, no. 1, pp. 26–40, Apr. 2013, [Online]. Available: https://izlik.org/JA42BN52UU
ISNAD
Ersoy, ERSAN - Bayrakdaroğlu, ALİ. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42/1 (April 1, 2013): 26-40. https://izlik.org/JA42BN52UU.
JAMA
1.Ersoy E, Bayrakdaroğlu A. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2013;42:26–40.
MLA
Ersoy, ERSAN, and ALİ Bayrakdaroğlu. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 42, no. 1, Apr. 2013, pp. 26-40, https://izlik.org/JA42BN52UU.
Vancouver
1.ERSAN Ersoy, ALİ Bayrakdaroğlu. The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts. İstanbul Üniversitesi İşletme Fakültesi Dergisi [Internet]. 2013 Apr. 1;42(1):26-40. Available from: https://izlik.org/JA42BN52UU