Endeks Futures İşlemlerin Spot Piyasa İstikrarına Etkisi: Türkiye Piyasaları Üzerine Ampirik Bir Araştırma

Öz

In this study, the spot market stability after the introduction of index futures market is investigated in terms of Turkish markets. The study is performed with BIST 30 index daily data for 2000-2012 period by using AR(1)-GARCH (1,1) model. It is concluded that after index futures trading

Anahtar Kelimeler

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ENDEKS FUTURES İŞLEMLERİN SPOT PİYASA İSTİKRARINA ETKİSİ: TÜRKİYE PİYASALARI ÜZERİNE AMPİRİK BİR ARAŞTIRMA

Öz

Bu çalışmada, endeks futures piyasaların başlangıcı sonrası spot piyasaların istikrarı, Türkiye piyasaları açısından araştırılmıştır. Çalışma, BIST 30 endeksi gün sonu verileri ile 2000-2012 dönemi için AR(1)GARCH(1,1) modeli uygulanarak yapılmıştır. Buna göre, endeks futures işlemler sonrası spot piyasanın istikrardan uzaklaşmadığı sonucuna erişilmiştir. Ayrıca, endeks futures işlemler sonrasında öncesine göre, spot piyasa volatilite kalıcılığının da azaldığı bulgularına erişilmiş, dolayısıyla endeks futures işlemler sonrası spot piyasanın bilgiyi işleme hızının arttığı sonucuna varılmıştır. Bununla beraber, spot piyasa volatilitesindeki bu değişimin endeks futures piyasa işlemleri kaynaklı olmayabileceği ihtimalinden ötürü S&P 500 endeksi getirileri de modele dahil edilerek tekrar tahmin yapılmış ve elde edilen bulgularda herhangi bir değişme gözlenmemiştir. Diğer taraftan, pay piyasasının istikrarı, 2008 global finansal kriz dönemi ile bu dönemin öncesi ve sonrası (20102012) dönemler açısından karşılaştırıldığında, son global krizin pay piyasasını istikrardan uzaklaştırıcı bir etki oluşturduğu bulgusu elde edilmiştir.

Anahtar Kelimeler

• Pay Piyasası, Pay Endeksi, Endeks Futures Piyasa, İstikrar, GARCH, Jel Sınıflaması: G10, G20, C22

Kaynakça

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