THE EFFECT OF INDIVIDUAL FUTURE CONTRACTS ON THE ABNORMAL RETURNS OF UNDERLYING STOCKS: EVIDENCE FROM BORSA ISTANBUL

Year 2022, Volume: 9 Issue: 1, 63 - 80, 23.03.2022

Göksal Selahatdin Kelten , Aslı Aybars

https://doi.org/10.30798/makuiibf.805179

Abstract

This study aims to shed light on the immediate stock price response to the introduction of individual future contracts (IFCs) in Borsa Istanbul and make a general assessment of the Turkish stock market efficiency. In this context, as of June 2020, all 37 stocks traded in the futures market are included in the study. The first trading day of each contract in the futures market is accepted as an "event" and the abnormal returns of the underlying stocks are analyzed with event study analysis. According to the empirical results, there are statistically significant positive abnormal returns especially one day before the event. It means that the introduction of IFCs has statistically significant impacts on the abnormal returns of underlying stocks traded in the spot market. The presence of statistically significant abnormal returns suggests that the Turkish stock market is not an efficient market in the semi-strong form.

Keywords

BIST, VIOP, Event Study, Efficient Market Hypothesis

VADELİ İŞLEM SÖZLEŞMELERİ'NİN HİSSE SENEDİ ANORMAL GETİRİLERİ ÜZERİNE ETKİSİ: BORSA İSTANBUL ÖRNEĞİ

Abstract

Bu çalışma, Borsa İstanbul'da hisse senedine dayalı vadeli sözleşmelerin işlem görmeye başlatılmasının dayanak hisse senedi fiyatına etkisine ışık tutmayı ve Türk hisse senedi piyasası etkinliğinin genel bir değerlendirmesini yapmayı amaçlamaktadır. Bu kapsamda 2020 Haziran ayı itibariyle vadeli işlemler piyasasında işlem gören 37 hissenin tamamı çalışmaya dahil edilmiştir. Vadeli işlem piyasasında her sözleşmenin ilk işlem günü bir "olay" olarak kabul edilmiş ve dayanak hisse senetlerinin anormal getirileri olay çalışması analiz yöntemi ile analiz edilmiştir. Ampirik sonuçlara göre, özellikle olaydan bir gün önce istatistiksel olarak anlamlı pozitif anormal getiriler bulunmaktadır. Bu durum, hisse senedine dayalı vadeli sözleşmelerin piyasaya sürülmesinin, spot piyasada işlem gören dayanak hisse senetlerinin anormal getirileri üzerinde istatistiksel olarak anlamlı etkileri olduğu anlamına gelmektedir. İstatistiksel olarak anlamlı anormal getirilerin varlığı, Türkiye hisse senedi piyasasının yarı güçlü formda etkin bir piyasa olmadığını göstermektedir.

Keywords

BIST, VIOP, Olay Çalışması, Etkin Piyasa Hipotezi

References

• Avci, E., Cinko, M., & Cinko, L. (2009). Hisse senedi portföylerinde riskten korunma. Maliye ve Finans Yazıları, 1(85), 27-37. Retrieved from: http://www.finanskulup.org.tr/wp-content/uploads/2018/06/Sayfa_27-37.pdf
• Baklaci, H., & Tutek, H. (2006). The impact of the futures market on spot volatility: An analysis in Turkish derivatives markets. WIT Transactions on Modelling and Simulation, 43, 237-246. https://doi.org/10.2495/CF060231
• Ball, C., & Torous, W. N. (1988). Investigating security price performance in the presence of event-date uncertainty. Journal of Financial Economics, 22(1), 123-153. https://doi.org/10.1016/0304-405X(88)90025-6
• Bartholdy, J., Olson, D. & Peare, P. (2007). Conducting event studies on a small stock exchange. European Journal of Finance, 13(3), 227-252. https://doi.org/10.1080/13518470600880176
• Basdas, U. (2009). Lead-lag relationship between the spot index and futures price for the Turkish Derivatives Exchange. Available at SSRN 1493147. https://doi.org/10.2139/ssrn.1493147
• Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167-188. https://doi.org/10.1016/j.bir.2014.03.003
• Bekgoz, S. (2006). Derivatives market in Turkey and its interaction with the IMKB equity market, Doctoral dissertation, Marmara University, İstanbul, Turkey. Retrieved from: https://tez.yok.gov.tr
• Benninga, S. (2014). Financial Modeling. Londra, MIT Press Books.
• Bollen, N. P., & Whaley, R. E. (1999). Do expirations of Hang Seng Index derivatives affect stock market volatility?. Pacific-Basin Finance Journal, 7(5), 453-470. https://doi.org/10.1016/S0927-538X(99)00022-0
• Borsa Istanbul Inc. (2020). Derivatives market underlying assets. Retrieved from: https://www.borsaistanbul.com/en/products-and-markets/markets/derivatives-market-viop/underlying-assets
• Brown, S. J., & Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205-258. https://doi.org/10.1016/0304-405X(80)90002-1
• Caglayan, E. (2011). The impact of stock index futures on the Turkish spot market. Journal of Emerging Market Finance, 10(1), 73-91. https://doi.org/10.1177/097265271101000103
• Cevik, E., & Pekkaya, M. (2007). Spot ve vadeli işlem fiyatlarının varyansları arasındaki nedensellik testi. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 22(1), 49-66. Retrieved from: https://dergipark.org.tr/tr/pub/deuiibfd/issue/22747/242820
• Chaney, P. K., Devinney, T. M., & Winer, R. S. (1991). The impact of new product introductions on the market value of firms. The Journal of Business, 64(4), 573-610. Retrieved from: https://www.jstor.org/stable/2353294
• Cimen, A. (2018). The impact of derivatives on the volatility of Turkish stock market. International Journal of Economic and Administrative Studies, 17. UIK Special Issue. https://doi.org/10.18092/ulikidince.430301
• Conrad, J. (1989). The price effect of option introduction. The Journal of Finance, 44(2), 487-498. https://doi.org/10.1111/j.1540-6261.1989.tb05068.x
• Corredor, P., Lechon, P., & Santamaria, R. (2001). Option‐expiration effects in small markets: The Spanish Stock Exchange. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(10), 905-928. https://doi.org/10.1002/fut.2002
• Day, T. E., & Lewis, C. M. (1988). The behavior of the volatility implicit in the prices of stock index options. Journal of Financial Economics, 22(1), 103-122. https://doi.org/10.1016/0304-405X(88)90024-4
• DeFusco, R. A., Johnson, R. R., & Zorn, T. S. (1990). The effect of executive stock option plans on stockholders and bondholders. The Journal of Finance, 45(2), 617-627. https://doi.org/10.1111/j.1540-6261.1990.tb03707.x
• Demireli, E., Gulmez, E., & Akkaya, G. (2010). Vadeli ve spot kurlar arasındaki nedensellik ilişkisi: İzmir vadeli işlem ve opsiyon borsası üzerine bir uygulama. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (27), Retrieved from: https://dergipark.org.tr/tr/pub/dpusbe/issue/4769/65619
• Dennis, S. A., & Sim, A. B. (1999). Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange. International Review of Financial Analysis, 8(2), 153-163. https://doi.org/10.1016/S1057-5219(99)00013-7
• Detemple, J., & Jorion, P. (1990). Option listing and stock returns: An empirical analysis. Journal of Banking & Finance, 14(4), 781-801. https://doi.org/10.1016/0378-4266(90)90076-E
• Dikmen, A. (2008). Türkiye’de vadeli işlemler piyasasının gelişimi perspektifinde hisse senedi endeks vadeli işlem sözleşmelerinin gelişimi ve spot piyasa ile etkileşimi. Ankara, Turkey. Capital Markets Board of Turkey. Retrieved from: https://www.spk.gov.tr/SiteApps/Yayin/YeterlikEtutleri
• Doganay, M. M., Ceylan, N. B., Tokat, E., & Aktaş, R. (2013). A re-examination of return and volatility dynamics in the ISE 30 cash and futures markets. Journal of Emerging Issues in Economics, Finance and Banking, 2(1), 599-615. Retrieved from: http://globalbizresearch.org/economics/journel_issues.php?journelId=8
• Dolley, J. C. (1933). Common stock split-ups motives and effects. Harvard Business Review, 12(1), 70-81.
• Dutta, A. (2014). Parametric and nonparametric event study tests: A review. International Business Research, 7(12), 136-142. http://dx.doi.org/10.5539/ibr.v7n12p136
• Er, H., Al-Masri, W., & Adalessossi, K. (2015). The impact of equity index futures trading on the underlyıng index volatility: Evidence for the ISE-30 Stock Index Futures Contract. Journal of Economics Finance and Accounting, 2(2), 266-276. https://doi.org/10.17261/Pressacademia.2015211517
• Erken, C. (2016). The effect of margin changes on futures market volume and trading, Master thesis, Middle East Technical University. Ankara, Turkey. Retrieved from: http://etd.lib.metu.edu.tr/upload/12619944/index.pdf
• Ersoy, E., & Bayrakdaroglu, 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
• Ersoy, E., & Citak, L. (2015). Intraday lead-lag relationship between stock index and stock index futures markets: evidence from Turkey. Business and Economics Research Journal, 6(3), 1-18. Retrieved from: https://www.berjournal.com/tr/intraday-lead-lag-relationship-between-stock-index-and-stock-index-futures-markets-evidence-from-turkey
• Fama, E. F. (1965). The Behavior of Stock-Market Prices. The Journal of Business, 38(1), 34-105. Retrieved from: https://www.jstor.org/stable/2350752
• Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21. https://doi:10.2307/2525569
• Fama, F. E. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
• Fama, F. E. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
• Gok, I. (2015). Expiration day effects of index futures: an investigation on Turkish market. The Journal of Accounting and Finance, (67), 117-134. https://doi.org/10.25095/mufad.396583
• Gok, I., & Kalayci, S. (2013). The impact of index futures trading on spot market stability: an empirical examination on Turkish markets. Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences, 18(2), 399-422. Retrieved from: https://dergipark.org.tr/tr/pub/sduiibfd/issue/20818/222777
• Gokbulut, I., Koseoglu, S., & Atakan, T. (2009). The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 38(1), 84-100. Retrieved from: https://dergipark.org.tr/tr/pub/iuisletme/issue/9247/115692
• Hull, J. C. (2003). Options futures and other derivatives. India, Pearson Education.
• Incorporation of Istanbul Settlement and Custody Bank Inc.-Takasbank. (2020). Retrieved from: https://www.takasbank.com.tr/en/services/markets-to-which-services-are-provided/futures-and-options-market/general-letters
• Iseri, M., & Kacmazer, M. (2017). Examining volatility relationship between BIST30 index and BIST30 equity index futures in the period of 2011-2015. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 39(1), 171-194. https://doi.org/10.14780/muiibd.329920
• Kalayci, S., Gok, I., & Yagcilar, G. (2010). The interaction between return volatility, market depth and trading volume in futures markets: an examination on Turkish Derivatives Exchange. The Journal of Accounting and Finance, (48), 32-48. Retrieved from: https://dergipark.org.tr/tr/pub/mufad/issue/35627/395998
• Kandir, S. Y. (2013). Kurumsal yönetim derecelendirme notu açıklamalarının hisse senedi getirileri üzerindeki etkisinin incelenmesi. Bankacılar Dergisi, 24(85), 21-31. Retrieved from: https://www.tbb.org.tr/tr/arastirma-ve-yayinlar/bankacilar-dergisi/detay/59
• Kasman, A., & Kasman, S. (2008). The impact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A: Statistical Mechanics and its Applications, 387(12), 2837-2845. https://doi.org/10.1016/j.physa.2008.01.084
• Kayali, M., & Celik, S. (2010). Price discovery in Turkish index markets: empirical evidence from Ise-30 index. International Research Journal of Finance and Economics, (57), 226-237. Retrieved from: https://www.researchgate.net/publication/286375689
• Kayalidere, K., Araci, H., Aktaş, H., (2012). Interaction between derivatives and spot markets: an analysis on VOB. The Journal of Accounting and Finance, (56), 137-154. Retrieved from: https://dergipark.org.tr/tr/pub/mufad/issue/35675/396851
• Kelten, G., & Saritas, H. (2020). The effect of annual independent audit reports on stock market performance: evidence from Turkey and Germany. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 15(2), 389-410. https://doi.org/10.17153/oguiibf.528777
• Kendall, M. G. (1953). The analysis of economic time-series-part I: Prices. Journal of the Royal Statistical Society Series A (General), 116(1), 11-34. https://doi.org/10.2307/2980947
• Korkmaz, T., Cevi̇k, E., & Uygurturk, H. (2017). Causal relationships between spot and futures markets in risk situations. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(2), 737-756. https://doi.org/10.17218/hititsosbil.305741
• Kumar, R., Sarin, A., & Shastri, K. (1998). The impact of options trading on the market quality of the underlying security: An empirical analysis. The Journal of Finance, 53(2), 717-732. https://doi.org/10.1111/0022-1082.285595
• MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. Retrieved from: www.jstor.org/stable/2729691
• Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82. https://doi.org/10.1257/089533003321164958
• Mazouz, K., & Bowe, M. (2006). The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE. International Review of Financial Analysis, 15(1), 1-20. https://doi.org/10.1016/j.irfa.2005.07.001
• McKenzie, M. D., Brailsford, T. J., & Faff, R. W. (2001). New insights into the impact of the introduction of futures trading on stock price volatility. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 237-255. https://doi.org/10.1002/1096-9934(200103)21:3<237::AID-FUT3>3.0.CO;2-0
• McWilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. Academy of Management Journal, 40(3), 626-657. https://doi.org/10.5465/257056
• Ozdemir, L. (2017). Vadeli işlem piyasası ile hisse senedi piyasa oynaklığı arasındaki ilişki: İzmir vadeli işlem ve opsiyon borsası üzerine bir uygulama. Akademik Sosyal Araştırmalar Dergisi, (44), 171-189. Retrieved from: https://www.researchgate.net/publication/316358822
• Ozturk, B. (2008). İMKB ve VOB arasındaki etkileşimin İMKB-30 ve İMKB-100 bağlamında irdelenmesi ve elde edilen sonuçların VOB bünyesinde gerçekleştirilen işlemlerin gözetimi-denetimi acısından değerlendirilmesi. İstanbul, Turkey. Capital Markets Board of Turkey. Retrieved from: https://www.spk.gov.tr/SiteApps/Yayin/YeterlikEtutleri
• Peat, M., & McCorry, M. (1997). Individual share futures contracts: the economic impact of their introduction on the underlying equity market. University of Technology, Sydney, School of Finance and Economics. Retrieved from: http://www.finance.uts.edu.au/research/wpapers/wp74.pdf
• Ryngaert, M., & Netter, J. (1990). Shareholder wealth effects of the 1986 Ohio antitakeover law revisited: its real effects. Journal of Law, Economics, & Organization, 6(1), 253-262. Retrieved from: www.jstor.org/stable/764800
• Tokat, E., & Tokat, H. A. (2010). Shock and volatility transmission in the futures and spot markets: evidence from Turkish markets. Emerging Markets Finance and Trade, 46(4), 92-104. https://doi.org/10.2753/REE1540-496X460406
• Yen, G., & Lee, C. F. (2008). Efficient market hypothesis (EMH): past, present and future. Review of Pacific Basin Financial Markets and Policies, 11(2), 305-329. https://doi.org/10.1142/S0219091508001362