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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

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.

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

Öz

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

ERSAN ERSOY


ALİ BAYRAKDAROĞLU

Yayımlanma Tarihi 12 Nisan 2013
Yayınlandığı Sayı Yıl 2013, Cilt 42, Sayı 1

Kaynak Göster

Bibtex @ { iuisletme115801, journal = {İstanbul Üniversitesi İşletme Fakültesi Dergisi}, issn = {1303-1732}, address = {}, publisher = {İstanbul Üniversitesi}, year = {2013}, volume = {42}, pages = {26 - 40}, doi = {}, title = {The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts}, key = {cite}, author = {Ersoy, ERSAN and Bayrakdaroğlu, ALİ} }
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 . Retrieved from https://dergipark.org.tr/tr/pub/iuisletme/issue/9257/115801
MLA 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 42 (2013 ): 26-40 <https://dergipark.org.tr/tr/pub/iuisletme/issue/9257/115801>
Chicago 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 42 (2013 ): 26-40
RIS TY - JOUR T1 - The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts AU - ERSAN Ersoy , ALİ Bayrakdaroğlu Y1 - 2013 PY - 2013 N1 - DO - T2 - İstanbul Üniversitesi İşletme Fakültesi Dergisi JF - Journal JO - JOR SP - 26 EP - 40 VL - 42 IS - 1 SN - 1303-1732- M3 - UR - Y2 - 2022 ER -
EndNote %0 İstanbul Üniversitesi İşletme Fakültesi Dergisi The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts %A ERSAN Ersoy , ALİ Bayrakdaroğlu %T The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts %D 2013 %J İstanbul Üniversitesi İşletme Fakültesi Dergisi %P 1303-1732- %V 42 %N 1 %R %U
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 .
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. 2013; 42(1): 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.
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, sayı. 1, ss. 26-40, Nis. 2013