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

Yıl 2013, Cilt: 42 Sayı: 1, 26 - 40, 12.04.2013

ERSAN Ersoy ALİ Bayrakdaroğlu

Öz

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.

Anahtar Kelimeler

Futures Markets TurkDEX Lead-Lag Relationship Fiyat Keşfi

Yıl 2013, Cilt: 42 Sayı: 1, 26 - 40, 12.04.2013

ERSAN Ersoy ALİ Bayrakdaroğlu

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

ERSAN Ersoy

ALİ Bayrakdaroğlu

Yayımlanma Tarihi 12 Nisan 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 42 Sayı: 1

Kaynak Göster

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.
AMA 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. Nisan 2013;42(1):26-40.
Chicago Ersoy, ERSAN, ve ALİ Bayrakdaroğlu. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 42, sy. 1 (Nisan 2013): 26-40.
EndNote Ersoy E, Bayrakdaroğlu A (01 Nisan 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 E. Ersoy ve A. Bayrakdaroğlu, “The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, c. 42, sy. 1, ss. 26–40, 2013.
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 (Nisan 2013), 26-40.
JAMA 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 ve ALİ Bayrakdaroğlu. “The Lead-Lag Relationship Between ISE 30 Index and the TURKDEX-ISE 30 Index Futures Contracts”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, c. 42, sy. 1, 2013, ss. 26-40.
Vancouver 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.