BibTex RIS Kaynak Göster

BIST 30 Spot ve Futures Piyasalarında Güniçi Fiyat Keşfi ve Volatilite Yayılımı

Yıl 2014, Cilt: 19 Sayı: 3, 109 - 133, 01.09.2014

Öz

In this study, price discovery and granger causality relationship in BIST 30 spot and futures markets and also volatility spillover between these markets are examined using intraday 1 minute data for January 2, 2010 – May18, 2012 period. According to Johansen cointegration test result it is concluded that there is a long-term relationship between index futures and spot markets and according to VECM model result the evidence is found that index futures market contributes more to price discovery and futures prices lead spot prices, and also according to VEC granger causality-block exogeneity test result although there is a two way causality between markets, the causality is much more stronger from index futures to spot market is evidenced. In the context of volatility spillover between index futures and spot markets, VECMGARCH(1,1)-BEKK model is applied, and the evidence is found that although there is a bi-directional volatility spillover between index futures and spot markets, the spillover of index futures market shocks and volatility to spot market volatility is much more pronounced. Hence, the findings for both price discovery and volatility spillover indicate that the information is primarily reflected in the futures market and index futures market is more informationally efficient than spot market

Kaynakça

  • ABHYANKAR, A. H. (1995). Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets. The Journal of Futures Markets, 15(4): 457-488.
  • ABUK, N. (2011). The Intraday Lead-Lag Relationship of Spot and Futures Markets in Turkey: Co-Integration and Causality Analyses (Yüksek Lisans Tezi). ODTÜ, Ankara.
  • ANDERSEN, T. G., BOLLERSLEV, T., DIEBOLD, F. X. & Labys, P. (2003). Modelling and Forecasting Realized Volatility. Econometrica, 71(2): 579-625.
  • ANTONIOU, A., & HOLMES, P. (1996). Futures Market Efficiency, The Unbiasedness Hypothesis and Variance-bound Tests: The Case of the FTSE-100 Futures Contract. Bulletin of Economic Research, 48(2): 115-128.
  • ARSHANAPALLI, B., & DOUKAS, J. (1994). Common Volatility in S&P 500 Stock Index and S&P 500 Index Futures Prices during October 1987. The Journal of Futures Markets, 14(8): 915-925.
  • ATEŞ, A., & WANG, G. H. (2005). Information Transmission in Electronic Versus Open‐Outcry Trading Systems: An Analysis of U.S. Equity Index Futures Markets. The Journal of Futures Markets, 25(7): 679-715.
  • BAUWENS, L., LAURENT, S., & ROMBOUTS, J. V. (2006). Multivariate GARCH Models: A Survey. Journal of Applied Econometrics, 21(1): 79–109.
  • BHAR, R. (2001). Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH‐X Framework. Journal of Futures Markets, 21(9): 833 - 850.
  • BOHL, M. T., SALM, C. A., & WILFLING, B. (2011). Do Individual Index Futures Investors Destabilize the Underlying Spot Market? Journal of Futures Markets, 31(1): 81-101.
  • BOLLERSLEV, T., ENGLE, R. F., & WOOLDRIDGE, J. M. (1988). A Capital Asset Pricing Model with Time-Varying Covariances. Journal of Political Economy, 96(1): 116-131.
  • BOOTH, G. G., & SO, R. W. (2003). Intraday Volatility Spillovers in the German Equity Index Derivatives Markets. Applied Financial Economics, 13(7): 487–494.
  • BORSA İSTANBUL. (2014). http://www.borsaistanbul.com/veriler/verileralt/vadeli-islem- ve-opsiyon-piyasasi-verileri, (Erişim: 28.08.2014).
  • BOSE, S. (2007). Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market. ICRA Bulletin on Money & Finance, September: 139-162.
  • BROOKS, C., REW, A. G., & RITSON, S. (2001). A Trading Strategy Based on the Lead- Lag Relationship between the Spot Index and Futures Contract for the FTSE 100. International Journal of Forecasting, 17(1): 31-44.
  • CHAN, K., CHAN, K. C., & KAROLYI, G. A. (1991). Intraday Volatility in the Stock Index and Stock Index Futures Markets. The Review of Financial Studies, 4(4): 657-684.
  • CHATRATH, A., CHRISTIE-DAVİD, R., DHANDA, K. K., & KOCH, T. W. (2002). Index Futures Leadership, Basis Behavior, and Trader Selectivity. The Journal of Futures Markets, 22(7): 649–677.
  • CHEUNG, Y.-W., & NG, L. K. (1990). The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities. Review of Futures Markets, 9(2): 458–486.
  • ENGLE, R. F., & KRONER, K. F. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11(1): 122-150.
  • ENGLE, R., & GRANGER, C. (1987). Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2): 251–276.
  • ENGLE, R. F., & KOZICKI, S. (1993). Testing for Common Features. Journal of Business & Economic Statistics, 11(4): 369-380.
  • ERGÜN, A. T. (2009). NYSE Rule 80A Restrictions on Index Arbitrage and Market Linkage. Applied Financial Economics, 19(20): 1675–1685.
  • GRANGER, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3): 424-438.
  • GRANGER, C. W. (1981). Some Properties of Time Series Data and Their Use in Econometric Model Specification. Journal of Econometrics, 16(1), 121-130.
  • HASBROUCK, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. Journal of Finance, 50(4): 1175–1199.
  • HEIJ, C., BOER, P. d., FRANSES, P. H., KLOEK, T., & DIJK, H. K. (2004). Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • IIHARA, Y., KATO, K., & TOKUNAGA, T. (1996). Intraday Return Dynamics between the Cash and the Futures Markets in Japan. The Journal of Futures Markets, 16(2): 147-162.
  • JOHANSEN, S. (1988). Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12(2-3): 231–254.
  • JOHANSEN, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6): 1551 - 1580.
  • JOHANSEN, S., & JUSELIUS, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration: With Application to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2): 169 - 210.
  • KALAYCI, Ş., & GÖK, İ. Y. (2013). Endeks Futures ve Spot Piyasalarda Fiyat Keşfi: 1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi, 5(2): 37-50.
  • KARMAKAR, M. (2009). Price Discoveries and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty. Vikalpa: The Journal for Decision Makers, 34(2): 41-56.
  • 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.
  • KAWALLER, I. G., KOCH, P. D., & KOCH, T. W. (1987). The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. The Journal of Finance, 42(5): 1309-1329.
  • KAWALLER, I. G., KOCH, P. D., & KOCH, T. W. (1990). Intraday Relationships between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index. Journal of Banking & Finance, 14(2-3): 373–397.
  • KAYALI, M. M., & ÇELİK, S. (2010). Price Discovery in Turkish Index Markets: Empirical Evidence from ISE-30 Index. International Research Journal of Finance and Economics, (57): 226-237.
  • KOUTMOS, G., & TUCKER, M. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. The Journal of Futures Markets, 16(1): 55-69.
  • KUO, W.-H., HSU, H., & CHIANG, M.-H. (2008). Foreign Investment, Regulation, Volatility Spillovers between the Futures and Spot Markets: Evidence from Taiwan. Applied Financial Economics, 18(5): 421–430.
  • LAATSCH, F. E., & SCHWARZ, T. V. (1988). Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets. Review of Futures Markets, 7(2): 272-289.
  • LAFUENTE, J. A. (2002). Intraday Return and Volatility Relationships between the Ibex 35 Spot and Futures Markets. Spanish Economic Review, 4(3): 201 - 220.
  • LAFUENTE-LUENGO, J. A. (2009). Intraday Realised Volatility Relationships between the S&P 500 Spot and Futures Market. Journal of Derivatives & Hedge Funds, 15(2): 116–121.
  • LI, M.-Y. L. (2009). The Dynamics of the Relationship between Spot and Futures Markets Under High and Low Variance Regimes. Applied Stochastic Models In Business and Industry, 25(6): 696–718.
  • LIEN, D., & SHRESTHA, K. (2009). A New Information Share Measure. The Journal of Futures Markets, 29(4): 377–395.
  • LIN, C.-C., CHEN, S.-Y., HWANG, D.-Y., & LIN, C.-F. (2002). Does Index Futures Dominate Index Spot? Evidence from Taiwan Market. Review of Pacific Basin Financial Markets and Policies, 5(2): 255-275.
  • MIN, J. H., & NAJAND, M. (1999). A Further Investigation of the Lead–Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence From Korea. The Journal of Futures Markets, 19(2): 217–232.
  • NG, N. (1987). Detecting Spot Price Forecasts in Futures Prices Using Causality Tests. Review of Futures Markets, 6(2): 250-267.
  • PATI, P. C., & RAJIB, P. (2011). Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters, 18(6): 567–574.
  • SCHWARZ, T. V., & SZAKMARY, A. C. (1994). Price Discovery in Petroleum Markets: Arbitrage, Cointegration, and the Time Interval of Analysis. The Journal of Futures Markets, 14(2): 147-167.
  • SO, R. W., & TSE, Y. (2004). Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund. The Journal of Futures Markets, 24(9): 887–907.
  • STOLL, H. R., & WHALEY, R. E. (1990). The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis, 25(4): 441-468.
  • TAYLOR, N. (2011). Time-Varying Price Discovery in Fragmented Markets. Applied Financial Economics, 21(10): 717–734.
  • TOKAT, E., & TOKAT, H. A. (2010). Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets. Emerging Markets Finance & Trade, 46(4): 92–104.
  • TSE, Y. (1999). Price Discovery and Volatility Spillovers in The DJIA Index and Futures Markets. The Journal of Futures Markets, 19(8): 911–930.
  • TSE, Y., BANDYOPADHYAY, P., & SHEN, Y.-P. (2006). Intraday Price Discovery in the DJIA Index Markets. Journal of Business Finance & Accounting, 33(9-10): 1572–1585.
  • TSE, Y.-K., & CHAN, W.-S. (2010). The Lead–Lag Relation between the S&P 500 Spot and Futures Markets: An Intraday-Data Analysis Using a Threshold Regression Model. The Japanese Economic Review, 61(1): 133-144. VADELİ İŞLEM VE OPSİYON BORSASI (VOB). (2013). http://www.vob.org.tr/VOBPortalTur/detailsPage.aspx?tabid=552, (Erişim: 25/1/2013).
  • WANG, K.-L., & CHEN, M.-L. (2007). The Dynamics in the Spot, Futures, and Call Options with Basis Asymmetries: An Intraday Analysis in a Generalized Multivariate GARCH-M MSKST Framework. Review of Quantitative Finance and Accounting, 29(4): 371–394.
  • WANG, Y.-C., & HO, W.-R. (2010). The Relationship of Price Volatility between TSE and TAIFEX Stock Indices Futures with Different Maturities. African Journal of Business Management, 4(17): 3785-3792.
  • YANG, J., YANG, Z., & ZHOU, Y. (2012). Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China. The Journal of Futures Markets, 32(2): 99–121.
  • ZECKHAUSER, R., & NIEDERHOFFER, V. (1983). The Performance of Market Index Futures Contract. Financial Analysts Journal, 39(1): 59-65.
  • ZHONG, M., DARRAT, A. F., & OTERO, R. (2004). Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico. Journal of Banking & Finance, 28(12): 3037-3054.

BIST 30 SPOT VE FUTURES PİYASALARINDA GÜNİÇİ FİYAT KEŞFİ VE VOLATİLİTE YAYILIMI

Yıl 2014, Cilt: 19 Sayı: 3, 109 - 133, 01.09.2014

Öz

Bu çalışmada, BIST 30 spot ve futures piyasalarında fiyat keşfi ve granger nedensellik ilişkisi ile ayrıca bu piyasalar arasındaki volatilite yayılımı, 2 Ocak 2010-18 Mayıs 2012 dönemi için gün içi 1 dakika frekanslı veriler kullanılarak incelenmiştir. Johansen eşbütünleşme testi sonucuna göre endeks futures ve spot piyasalar arasında uzun dönemli bir ilişki olduğu sonucuna erişilmiş, VECM modeli sonucuna göre ise endeks futures piyasanın fiyat keşfine daha büyük bir katkı sağladığı ve futures fiyatların spot fiyatları öncüllediği bulgusuna ulaşılmış, ayrıca VEC granger nedensellik-blok dışsallık testi sonucuna göre ise piyasalar arasında iki yönlü bir nedensellik ilişkisi olmasına rağmen endeks futures piyasadan spot piyasaya doğru olan nedenselliğin çok daha güçlü olduğu kanıtlanmıştır. Endeks futures ve spot piyasalar arasındaki volatilite yayılımı bağlamında ise VECM-GARCH(1,1)-BEKK modeli uygulanmış ve endeks futures ve spot piyasa volatiliteleri arasında iki yönlü bir yayılım olmasına rağmen endeks futures piyasa şokları ve volatilitesinin spot piyasa volatilitesi üzerine yayılımının çok daha belirgin olduğu bulgusuna erişilmiştir. Dolayısıyla, hem fiyat keşfi hem de volatilite yayılımına dair elde edilen bulgular neticesi, bilginin öncelikle futures piyasaya yansıdığı ve endeks futures piyasanın bilgisel olarak spot piyasadan daha etkin olduğu sonucuna varılmıştır

Kaynakça

  • ABHYANKAR, A. H. (1995). Return and Volatility Dynamics in the FT-SE 100 Stock Index and Stock Index Futures Markets. The Journal of Futures Markets, 15(4): 457-488.
  • ABUK, N. (2011). The Intraday Lead-Lag Relationship of Spot and Futures Markets in Turkey: Co-Integration and Causality Analyses (Yüksek Lisans Tezi). ODTÜ, Ankara.
  • ANDERSEN, T. G., BOLLERSLEV, T., DIEBOLD, F. X. & Labys, P. (2003). Modelling and Forecasting Realized Volatility. Econometrica, 71(2): 579-625.
  • ANTONIOU, A., & HOLMES, P. (1996). Futures Market Efficiency, The Unbiasedness Hypothesis and Variance-bound Tests: The Case of the FTSE-100 Futures Contract. Bulletin of Economic Research, 48(2): 115-128.
  • ARSHANAPALLI, B., & DOUKAS, J. (1994). Common Volatility in S&P 500 Stock Index and S&P 500 Index Futures Prices during October 1987. The Journal of Futures Markets, 14(8): 915-925.
  • ATEŞ, A., & WANG, G. H. (2005). Information Transmission in Electronic Versus Open‐Outcry Trading Systems: An Analysis of U.S. Equity Index Futures Markets. The Journal of Futures Markets, 25(7): 679-715.
  • BAUWENS, L., LAURENT, S., & ROMBOUTS, J. V. (2006). Multivariate GARCH Models: A Survey. Journal of Applied Econometrics, 21(1): 79–109.
  • BHAR, R. (2001). Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH‐X Framework. Journal of Futures Markets, 21(9): 833 - 850.
  • BOHL, M. T., SALM, C. A., & WILFLING, B. (2011). Do Individual Index Futures Investors Destabilize the Underlying Spot Market? Journal of Futures Markets, 31(1): 81-101.
  • BOLLERSLEV, T., ENGLE, R. F., & WOOLDRIDGE, J. M. (1988). A Capital Asset Pricing Model with Time-Varying Covariances. Journal of Political Economy, 96(1): 116-131.
  • BOOTH, G. G., & SO, R. W. (2003). Intraday Volatility Spillovers in the German Equity Index Derivatives Markets. Applied Financial Economics, 13(7): 487–494.
  • BORSA İSTANBUL. (2014). http://www.borsaistanbul.com/veriler/verileralt/vadeli-islem- ve-opsiyon-piyasasi-verileri, (Erişim: 28.08.2014).
  • BOSE, S. (2007). Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market. ICRA Bulletin on Money & Finance, September: 139-162.
  • BROOKS, C., REW, A. G., & RITSON, S. (2001). A Trading Strategy Based on the Lead- Lag Relationship between the Spot Index and Futures Contract for the FTSE 100. International Journal of Forecasting, 17(1): 31-44.
  • CHAN, K., CHAN, K. C., & KAROLYI, G. A. (1991). Intraday Volatility in the Stock Index and Stock Index Futures Markets. The Review of Financial Studies, 4(4): 657-684.
  • CHATRATH, A., CHRISTIE-DAVİD, R., DHANDA, K. K., & KOCH, T. W. (2002). Index Futures Leadership, Basis Behavior, and Trader Selectivity. The Journal of Futures Markets, 22(7): 649–677.
  • CHEUNG, Y.-W., & NG, L. K. (1990). The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities. Review of Futures Markets, 9(2): 458–486.
  • ENGLE, R. F., & KRONER, K. F. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11(1): 122-150.
  • ENGLE, R., & GRANGER, C. (1987). Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2): 251–276.
  • ENGLE, R. F., & KOZICKI, S. (1993). Testing for Common Features. Journal of Business & Economic Statistics, 11(4): 369-380.
  • ERGÜN, A. T. (2009). NYSE Rule 80A Restrictions on Index Arbitrage and Market Linkage. Applied Financial Economics, 19(20): 1675–1685.
  • GRANGER, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3): 424-438.
  • GRANGER, C. W. (1981). Some Properties of Time Series Data and Their Use in Econometric Model Specification. Journal of Econometrics, 16(1), 121-130.
  • HASBROUCK, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. Journal of Finance, 50(4): 1175–1199.
  • HEIJ, C., BOER, P. d., FRANSES, P. H., KLOEK, T., & DIJK, H. K. (2004). Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • IIHARA, Y., KATO, K., & TOKUNAGA, T. (1996). Intraday Return Dynamics between the Cash and the Futures Markets in Japan. The Journal of Futures Markets, 16(2): 147-162.
  • JOHANSEN, S. (1988). Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12(2-3): 231–254.
  • JOHANSEN, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6): 1551 - 1580.
  • JOHANSEN, S., & JUSELIUS, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration: With Application to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2): 169 - 210.
  • KALAYCI, Ş., & GÖK, İ. Y. (2013). Endeks Futures ve Spot Piyasalarda Fiyat Keşfi: 1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi, 5(2): 37-50.
  • KARMAKAR, M. (2009). Price Discoveries and Volatility Spillovers in S&P CNX Nifty Future and its Underlying Index CNX Nifty. Vikalpa: The Journal for Decision Makers, 34(2): 41-56.
  • 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.
  • KAWALLER, I. G., KOCH, P. D., & KOCH, T. W. (1987). The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index. The Journal of Finance, 42(5): 1309-1329.
  • KAWALLER, I. G., KOCH, P. D., & KOCH, T. W. (1990). Intraday Relationships between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index. Journal of Banking & Finance, 14(2-3): 373–397.
  • KAYALI, M. M., & ÇELİK, S. (2010). Price Discovery in Turkish Index Markets: Empirical Evidence from ISE-30 Index. International Research Journal of Finance and Economics, (57): 226-237.
  • KOUTMOS, G., & TUCKER, M. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. The Journal of Futures Markets, 16(1): 55-69.
  • KUO, W.-H., HSU, H., & CHIANG, M.-H. (2008). Foreign Investment, Regulation, Volatility Spillovers between the Futures and Spot Markets: Evidence from Taiwan. Applied Financial Economics, 18(5): 421–430.
  • LAATSCH, F. E., & SCHWARZ, T. V. (1988). Price Discovery and Risk Transfer in Stock Index Cash and Futures Markets. Review of Futures Markets, 7(2): 272-289.
  • LAFUENTE, J. A. (2002). Intraday Return and Volatility Relationships between the Ibex 35 Spot and Futures Markets. Spanish Economic Review, 4(3): 201 - 220.
  • LAFUENTE-LUENGO, J. A. (2009). Intraday Realised Volatility Relationships between the S&P 500 Spot and Futures Market. Journal of Derivatives & Hedge Funds, 15(2): 116–121.
  • LI, M.-Y. L. (2009). The Dynamics of the Relationship between Spot and Futures Markets Under High and Low Variance Regimes. Applied Stochastic Models In Business and Industry, 25(6): 696–718.
  • LIEN, D., & SHRESTHA, K. (2009). A New Information Share Measure. The Journal of Futures Markets, 29(4): 377–395.
  • LIN, C.-C., CHEN, S.-Y., HWANG, D.-Y., & LIN, C.-F. (2002). Does Index Futures Dominate Index Spot? Evidence from Taiwan Market. Review of Pacific Basin Financial Markets and Policies, 5(2): 255-275.
  • MIN, J. H., & NAJAND, M. (1999). A Further Investigation of the Lead–Lag Relationship between the Spot Market and Stock Index Futures: Early Evidence From Korea. The Journal of Futures Markets, 19(2): 217–232.
  • NG, N. (1987). Detecting Spot Price Forecasts in Futures Prices Using Causality Tests. Review of Futures Markets, 6(2): 250-267.
  • PATI, P. C., & RAJIB, P. (2011). Intraday Return Dynamics and Volatility Spillovers between NSE S&P CNX Nifty Stock Index and Stock Index Futures. Applied Economics Letters, 18(6): 567–574.
  • SCHWARZ, T. V., & SZAKMARY, A. C. (1994). Price Discovery in Petroleum Markets: Arbitrage, Cointegration, and the Time Interval of Analysis. The Journal of Futures Markets, 14(2): 147-167.
  • SO, R. W., & TSE, Y. (2004). Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund. The Journal of Futures Markets, 24(9): 887–907.
  • STOLL, H. R., & WHALEY, R. E. (1990). The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis, 25(4): 441-468.
  • TAYLOR, N. (2011). Time-Varying Price Discovery in Fragmented Markets. Applied Financial Economics, 21(10): 717–734.
  • TOKAT, E., & TOKAT, H. A. (2010). Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets. Emerging Markets Finance & Trade, 46(4): 92–104.
  • TSE, Y. (1999). Price Discovery and Volatility Spillovers in The DJIA Index and Futures Markets. The Journal of Futures Markets, 19(8): 911–930.
  • TSE, Y., BANDYOPADHYAY, P., & SHEN, Y.-P. (2006). Intraday Price Discovery in the DJIA Index Markets. Journal of Business Finance & Accounting, 33(9-10): 1572–1585.
  • TSE, Y.-K., & CHAN, W.-S. (2010). The Lead–Lag Relation between the S&P 500 Spot and Futures Markets: An Intraday-Data Analysis Using a Threshold Regression Model. The Japanese Economic Review, 61(1): 133-144. VADELİ İŞLEM VE OPSİYON BORSASI (VOB). (2013). http://www.vob.org.tr/VOBPortalTur/detailsPage.aspx?tabid=552, (Erişim: 25/1/2013).
  • WANG, K.-L., & CHEN, M.-L. (2007). The Dynamics in the Spot, Futures, and Call Options with Basis Asymmetries: An Intraday Analysis in a Generalized Multivariate GARCH-M MSKST Framework. Review of Quantitative Finance and Accounting, 29(4): 371–394.
  • WANG, Y.-C., & HO, W.-R. (2010). The Relationship of Price Volatility between TSE and TAIFEX Stock Indices Futures with Different Maturities. African Journal of Business Management, 4(17): 3785-3792.
  • YANG, J., YANG, Z., & ZHOU, Y. (2012). Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China. The Journal of Futures Markets, 32(2): 99–121.
  • ZECKHAUSER, R., & NIEDERHOFFER, V. (1983). The Performance of Market Index Futures Contract. Financial Analysts Journal, 39(1): 59-65.
  • ZHONG, M., DARRAT, A. F., & OTERO, R. (2004). Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico. Journal of Banking & Finance, 28(12): 3037-3054.
Toplam 59 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

  Yrd.Doç.Dr.İbrahim Yaşar Gök Bu kişi benim

Prof.Dr.Prof.Dr.Şeref Kalaycı Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 19 Sayı: 3

Kaynak Göster

APA Gök, .Y., & Kalaycı, P. (2014). BIST 30 SPOT VE FUTURES PİYASALARINDA GÜNİÇİ FİYAT KEŞFİ VE VOLATİLİTE YAYILIMI. Süleyman Demirel Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 19(3), 109-133.