Vadeli hisse senedi işlemlerinin spot piyasa üzerine etkisi: İMKB üzerine bir uygulama

Year 2009, Volume: 38 Issue: 1, 84 - 100, 14.10.2009

İlker Gökbulut Sinem Köseoğlu Tülin Atakan

Abstract

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Keywords

Vadeli ve Spot Piyasalar, Oynaklık, İşlem Hacmi, ARCH-GARCH, İMKB

The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange

Abstract

In this study, the causality relation between ISE 100 index return and Real Sector Confidence Index are analyzed with a two-stage method developed by Cheung and Ng [1]. ISE 100 index return and confidence index are estimated with EGARCH model in the first stage. In the second stage, the standardized residuals and squares obtained from the EGARCH model are used for causality test in the mean and variance for the ISE 100 index return and confidence index. The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.

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