Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982'den Günümüze Bir Literatür Araştırması

Şeref Kalaycı; İbrahim Yaşar Gök

Araştırma Makalesi

Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982'den Günümüze Bir Literatür Araştırması

Yıl 2013, Cilt: 5 Sayı: 2, 37 - 50, 01.06.2013

Şeref Kalaycı İbrahim Yaşar Gök

Öz

The purpose of this study is to introduce the literature of the price discovery in index futures and spot markets from 1982 to date and also to explain the factors affecting markets’ price discovery role. In this respect, the subject is handled in terms of developed and developing country markets. In addition to index futures and spot markets, the contributions of ETF and options markets to price discovery are examined and then the price discovery role of satellite markets are investigated

Anahtar Kelimeler

Kaynakça

ABHYANKAR, A. (1998). "Linear and Nonlinear Granger Causality: Evidence from the U.K. Stock Index Futures Market". The Journal of Futures Markets, 18(5), 519–540.
ALPHONSE, P. (2000). "Efficient Price Discovery in Stock Index Cash and Futures Markets". Annals of Economics and Statistics(60), 177-188.
ANTONIOU, A. ve 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.
ATEŞ, A. ve 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 Marke, 25(7), 679-715.
BLOOMBERG. http://www.bloomberg.com/quote/SPY:US/, (04.05.2013)
BOHL, M.T., SALM, C.A. ve SCHUPPLI, M. (2011). "Price Discovery and Investor Structure in Stock Index Futures". The Journal of Futures Markets, 31(3), 282–306.
BOOTH, G.G., SO, R.W. ve TSE, Y. (1999). "Price Discovery in the German Equity Index Derivatives Markets". The Journal of Futures Markets, 19(6), 619–643.
BROOKS, C., GARRETT, I. ve HINICH, M.J. (1999). "An Alternative Approach to Investigating Lead-Lag Relationships between Stock and Stock Index Futures Markets". Applied Financial Economics, 9(6), 605-613.
BROOKS, C., REW, A.G. ve 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.
BROUSSARD, J.P., BOOTH, G.G. ve LOISTL, O. (1998). "Price Discovery in German Stock and Futures Markets". Managerial Finance, 24(4), 3-18.
CHAN, K. (1992). "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market". The Review of Financial Studies, 5(1), 123-152.
CHATRATH, A., CHRISTIE-DAVID, R., DHANDA, K.K. ve KOCH, T.W. (2002). "Index Futures Leadership, Basis Behavior, and Trader Selectivity". The Journal of Futures Markets, 22(7), 649–677.
CHEN, S.Y., LIN, C.C., CHOU, P.H. ve HWANG, D.Y. (2002). "A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures". Review of Pacific Basin Financial Markets and Policies, 5(2), 277-300.
CHEN, Y.L. ve GAU, Y.F. (2009). "Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange". The Journal of Futures Markets, 29(1), 74–93.
CHIANG, M.H. ve KUO, W.H. (2004). "Impact of Opening Up of the Taiwan Futures Market to Foreign Investors: Price Effects of Foreign Investment Liberalization: Empirical Analysis". Journal of Financial Management and Analysis, 17(2), 1-11.
CHIANG, R. ve FONG, W.M. (2001). "Relative Informational Efficiency of Cash, Futures, and Options Markets: The Case of an Emerging Market". Journal of Banking & Finance, 25(2), 355-375.
CHOY, S.K. ve ZHANG, H. (2010). "Trading Costs and Price Discovery". Review of Quantitative Finance and Accounting, 34(1), 37- 57.
CHU, Q.C., HSIEH, W.L.G. ve TSE, Y. (1999). "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs". International Review of Financial Analysis, 8(1), 21-34.
COVRIG, V., DING, D.K. ve LOW, B.S. (2004). "The Contribution of a Satellite Market to Price Discovery: Evidence from The Singapore Exchange". The Journal of Futures Markets, 24(10), 981–1004.
DEBASISH, S.S. (2009). "An Econometric Analysis of the Lead-Lag Relationship between India's NSE Nifty and its Derivative Contracts". The Journal of Risk Finance, 10(4), 350-364.
ERGÜN, A.T. (2009). "Nyse Rule 80A Restrictions on Index Arbitrage and Market Linkage". Applied Financial Economics, 19(20), 1675–1685.
FINNERTY, J.E. ve PARK, H.Y. (1987). "Stock Index Futures: Does the Tail Wag the Dog?" Financial Analysts Journal, 43(2), 57-61.
FLEMING, J., OSTDIEK, B. ve WHALEY, R.E. (1996). "Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets". The Journal of Futures Markets, 16(4), 353-387.
FLOROS, C. ve VOUGAS, D.V. (2008). "The Efficiency of Greek Stock Index Futures Market". Managerial Finance, 34(7), 498-519.
FRINO, A. ve WEST, A. (1999). "The Lead–Lag Relationship between Stock Indices and Stock Index Futures Contracts: Further Australian Evidence". Abacus, 35(3), 333-341.
FRINO, A. ve WEST, A. (2003). "The Impact of Transaction Costs on Price Discovery: Evidence from Cross-listed Stock Index Futures Contracts". Pacific-Basin Finance Journal, 11(2), 139-151.
FRINO, A., WALTER, T. ve WEST, A. (2000). "The Lead–Lag Relationship between Equities and Stock Index Futures Markets around Information Releases". The Journal of Futures Markets, 20(5), 467–487.
FUNG, J.K. ve JIANG, L. (1999). "Restrictions on Short-Selling and Spot-Futures Dynamics". Journal of Business Finance & Accounting, 26(1-2), 227-248.
GHOSH, A. (1993). "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices". The Journal of Futures Markets, 13(2), 193-198.
GRÜNBICHLER, A., LONGSTAFF, F.A. ve SCHWARTZ, E.S. (1994). "Electronic Screen Trading and the Transmission of Information: An Empirical Examination". Journal of Financial Intermediation, 3(2), 166-187.
HAN, L.M. ve MISRA, L. (1994). "The Impact of Trading Restrictions on the Informational Relationships between Cash, Futures, And Options Markets". International Review of Economics and Finance, 3(4), 429-442.
HASBROUCK, J. (2003). "Intraday Price Formation in U.S. Equity Index Markets". The Journal of Finance, 58(6), 2375-2399.
HERBST, A.F., MCCORMACK, J.P. ve WEST, E.N. (1987). "Investigation of a Lead-Lag Relationship between Spot Stock Indices and their Futures Contracts". The Journal of Futures Markets, 7(4), 373-381.
LIHARA, Y., KATO, K. ve TOKUNAGA, T. (1996). "Intraday Return Dynamics between the Cash and the Futures Markets in Japan". The Journal of Futures Markets, 16(2), 147-162.
IST 30 ETF. http://www.ist30.com/Content/downloads/TRIST30201303.pdf/, (04.05.2013)
JIANG, L., FUNG, J.K. ve CHENG, L.T. (2001). "The Lead-Lag Relation between Spot and Futures Markets Under Different Short- Selling Regimes". The Financial Review, 36(3), 63-88.
JIANG, S.J., CHANG, M. C. ve CHIANG, I.-c. (2011). "Price Discovery in Stock Index: An ARDL-ECM Approach in Taiwan Case". Quality & Quantity, 1-12. doi:10.1007/s11135-011-9433-1
JONG, F.D. ve DONDERS, M.W. (1998). "Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market". European Finance Review, 1(3), 337–359.
JONG, F.D. ve NIJMAN, T. (1997). "High Frequency Analysis of Lead-Lag Relationships between Financial Markets". Journal of Empirical Finance, 4(2-3), 259-277.
KANG, J., LEE, C.J. ve LEE, S. (2006). "An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations". Journal of Emerging Market Finance, 5(3), 235-261.
KASMAN, A. ve 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. ve 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. ve KOCH, T.W. (1993). "Intraday Market Behavior and the Extent of Feedback between S&P 500 Futures Prices and the S&P 500 Index". The Journal of Financial Research, 16(2), 107-121.
KAYALI, M.M. ve 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.
KENOURGIOS, D.F. (2004). "Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market". Economic and Business Review, 6(3), 229-243.
KIM, M., SZAKMARY, A.C. ve SCHWARZ, T.V. (1999). "Trading Costs and Price Discovery across Stock Index Futures and Cash Markets". The Journal of Futures Markets, 19(4), 475–498.
KUTNER, G.W. ve SWEENEY, R.J. (1991). "Causality Tests Between the S&P 500 Cash and Futures Markets". Quarterly Journal of Business and Economics, 30(2), 51-74.
LAATSCH, F.E. ve 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.
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. ve SHRESTHA, K. (2009). "A New Information Share Measure". The Journal of Futures Markets, 29(4), 377–395.
LIEN, D., TSE, Y.K. ve ZHANG, X. (2003). "Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach". Quantitative Finance, 3(2), 136–144.
LIN, C.C., CHEN, S.Y., HWANG, D.Y. ve 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.
MARTIKAINEN, T. ve PUTTONEN, V. (1994). "International Price Discovery in Finnish Stock Index Futures and Cash Markets". Journal of Banking & Finance, 18(5), 809-822.
MIN, J. H. ve 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.
NAM, S.O., OH, S.Y., KIM, H.K. ve KIM, B.C. (2006). "An Empirical Analysis of the Price Discovery and the Pricing Bias in the KOSPI 200 Stock Index Derivatives Markets". International Review of Financial Analysis, 15(4-5), 398-414.
NG, N. (1987). "Detecting Spot Price Forecasts in Futures Prices Using Causality Tests". Review of Futures Markets, 6(2), 250-267.
PATI, P. C. ve PADHAN, P.C. (2009, Eylül-Aralık). "Information, Price Discovery and Causality in the Indian Stock Index Futures Market". The IUP Journal of Financial Risk Management, 6, 7-21.
PIZZI, M.A., ECONOMOPOULOS, A.J. ve O’NEILL, H.M. (1998). "An Examination of the Relationship between Stock Index Cash and Futures Markets: A Cointegration Approach". The Journal of Futures Markets, 18(3), 297–305.
RAMASAMY, S. ve SHANMUGAM, B. (2004). "A Study of the Index-Futures Price Relationship within the Malaysian Stock Index Futures Market". Derivatives Use, Trading & Regulation, 10(2), 156– 181.
RIORDAN, R. ve STORKENMAIER, A. (2012). "Latency, Liquidity and Price Discovery". Journal of Financial Markets, 15(4), 416– 437.
ROOPE, M. ve ZURBRUEGG, R. (2002). "The Intra-Day Price Discovery Process between the Singapore Exchange and Taiwan Futures Exchange". The Journal of Futures Markets, 22(3), 219-240.
RYOO, H.J. ve SMITH, G. (2004). "The Impact of Stock Index Futures on the Korean Stock Market". Applied Financial Economics, 14(4), 243–251.
SCHLUSCHE, B. (2009). "Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures". The Journal of Derivatives, 17(2), 26-40.
SCHWARZ, T.V. ve LAATSCH, F.E. (1991). "Dynamic Efficiency and Price Leadership in Stock Index Cash and Futures Markets". The Journal of Futures Markets, 11(6), 669-683.
SHYY, G., VIJAYRAGHAVAN, V. ve SCOTT-QUINN, B. (1996). "A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/Ask Quotes: The Case of France". The Journal of Futures Markets, 16(4), 405-420.
SO, R.W. ve 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. ve WHALEY, R.E. (1990). "The Dynamics of Stock Index and Stock Index Futures Returns". Journal of Financial and Quantitative Analysis, 25(4), 441-468.
TAO, L. ve SONG, F.M. (2010). "Do Small Traders Contribute to Price Discovery? Evidence from the Hong Kong Hang Seng Index Markets". The Journal of Futures Markets, 30(2), 156–174.
TAYLOR, N. (2011). "Time-Varying Price Discovery in Fragmented Markets". Applied Financial Economics, 21(10), 717–734.
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. ve 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. ve CHAN, W.S. (2010). "The Lead–Lag Relation between the S&P500 Spot and Futures Markets: An Intraday-Data Analysis Using a Threshold Regression Model". The Japanese Economic Review, 61(1), 133-144.
TSWEI, K. ve LAI, J.Y. (2009). "Information Contents Misjudged: Digressive Convergence to Equilibrium in Cointegrated Prices". Review of Financial Economics, 18(4), 183-189.
TURKINGTON, J. ve WALSH, D. (1999). "Price Discovery and Causality in the Australian Share Price Index Futures Market". Australian Journal of Management, 24(2), 97-113.
WAHAB, M. ve LASHGARI, M. (1993). "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach". The Journal of Futures Markets, 13(7), 711-742.
WFE (Dünya Borsalar Federasyonu). http://world-exchanges.org/statistics/derivatives/, (24.01.2013)
YANG, J., YANG, Z. ve 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. ve NIEDERHOFFER, V. (1983). "The Performance of Market Index Futures Contract". Financial Analysts Journal, 39(1), 59-65.
ZHONG, M., DARRAT, A.F. ve OTERO, R. (2004). "Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico". Journal of Banking & Finance, 28(12), 3037-3054.

Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982'den Günümüze Bir Literatür Araştırması

Yıl 2013, Cilt: 5 Sayı: 2, 37 - 50, 01.06.2013

Şeref Kalaycı İbrahim Yaşar Gök

Öz

Bu çalışmanın amacı, endeks futures ve spot piyasalarda fiyat keşfi ile ilgili olarak 1982’den günümüze oluşturulan literatürü sunmak ve piyasaların fiyat keşfi rollerine etki eden faktörleri açıklamaktır. Bu bağlamda konu, gelişmiş ve gelişmekte olan ülke piyasaları açısından ele alınmıştır. Ayrıca endeks futures ve spot piyasalar yanında ETF ve opsiyon piyasalarının fiyat keşfi rolleri de incelenmiş, sonrasında uydu piyasaların fiyat keşfi rolleri araştırılmıştır.

Anahtar Kelimeler

Fiyat Keşfi, Hisse Senedi Endeksi, Endeks Futures Piyasalar, ETF Piyasaları, Opsiyon Piyasaları

Kaynakça

ABHYANKAR, A. (1998). "Linear and Nonlinear Granger Causality: Evidence from the U.K. Stock Index Futures Market". The Journal of Futures Markets, 18(5), 519–540.
ALPHONSE, P. (2000). "Efficient Price Discovery in Stock Index Cash and Futures Markets". Annals of Economics and Statistics(60), 177-188.
ANTONIOU, A. ve 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.
ATEŞ, A. ve 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 Marke, 25(7), 679-715.
BLOOMBERG. http://www.bloomberg.com/quote/SPY:US/, (04.05.2013)
BOHL, M.T., SALM, C.A. ve SCHUPPLI, M. (2011). "Price Discovery and Investor Structure in Stock Index Futures". The Journal of Futures Markets, 31(3), 282–306.
BOOTH, G.G., SO, R.W. ve TSE, Y. (1999). "Price Discovery in the German Equity Index Derivatives Markets". The Journal of Futures Markets, 19(6), 619–643.
BROOKS, C., GARRETT, I. ve HINICH, M.J. (1999). "An Alternative Approach to Investigating Lead-Lag Relationships between Stock and Stock Index Futures Markets". Applied Financial Economics, 9(6), 605-613.
BROOKS, C., REW, A.G. ve 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.
BROUSSARD, J.P., BOOTH, G.G. ve LOISTL, O. (1998). "Price Discovery in German Stock and Futures Markets". Managerial Finance, 24(4), 3-18.
CHAN, K. (1992). "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market". The Review of Financial Studies, 5(1), 123-152.
CHATRATH, A., CHRISTIE-DAVID, R., DHANDA, K.K. ve KOCH, T.W. (2002). "Index Futures Leadership, Basis Behavior, and Trader Selectivity". The Journal of Futures Markets, 22(7), 649–677.
CHEN, S.Y., LIN, C.C., CHOU, P.H. ve HWANG, D.Y. (2002). "A Comparison of Hedge Effectiveness and Price Discovery between TAIFEX TAIEX Index Futures and SGX MSCI Taiwan Index Futures". Review of Pacific Basin Financial Markets and Policies, 5(2), 277-300.
CHEN, Y.L. ve GAU, Y.F. (2009). "Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange". The Journal of Futures Markets, 29(1), 74–93.
CHIANG, M.H. ve KUO, W.H. (2004). "Impact of Opening Up of the Taiwan Futures Market to Foreign Investors: Price Effects of Foreign Investment Liberalization: Empirical Analysis". Journal of Financial Management and Analysis, 17(2), 1-11.
CHIANG, R. ve FONG, W.M. (2001). "Relative Informational Efficiency of Cash, Futures, and Options Markets: The Case of an Emerging Market". Journal of Banking & Finance, 25(2), 355-375.
CHOY, S.K. ve ZHANG, H. (2010). "Trading Costs and Price Discovery". Review of Quantitative Finance and Accounting, 34(1), 37- 57.
CHU, Q.C., HSIEH, W.L.G. ve TSE, Y. (1999). "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs". International Review of Financial Analysis, 8(1), 21-34.
COVRIG, V., DING, D.K. ve LOW, B.S. (2004). "The Contribution of a Satellite Market to Price Discovery: Evidence from The Singapore Exchange". The Journal of Futures Markets, 24(10), 981–1004.
DEBASISH, S.S. (2009). "An Econometric Analysis of the Lead-Lag Relationship between India's NSE Nifty and its Derivative Contracts". The Journal of Risk Finance, 10(4), 350-364.
ERGÜN, A.T. (2009). "Nyse Rule 80A Restrictions on Index Arbitrage and Market Linkage". Applied Financial Economics, 19(20), 1675–1685.
FINNERTY, J.E. ve PARK, H.Y. (1987). "Stock Index Futures: Does the Tail Wag the Dog?" Financial Analysts Journal, 43(2), 57-61.
FLEMING, J., OSTDIEK, B. ve WHALEY, R.E. (1996). "Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets". The Journal of Futures Markets, 16(4), 353-387.
FLOROS, C. ve VOUGAS, D.V. (2008). "The Efficiency of Greek Stock Index Futures Market". Managerial Finance, 34(7), 498-519.
FRINO, A. ve WEST, A. (1999). "The Lead–Lag Relationship between Stock Indices and Stock Index Futures Contracts: Further Australian Evidence". Abacus, 35(3), 333-341.
FRINO, A. ve WEST, A. (2003). "The Impact of Transaction Costs on Price Discovery: Evidence from Cross-listed Stock Index Futures Contracts". Pacific-Basin Finance Journal, 11(2), 139-151.
FRINO, A., WALTER, T. ve WEST, A. (2000). "The Lead–Lag Relationship between Equities and Stock Index Futures Markets around Information Releases". The Journal of Futures Markets, 20(5), 467–487.
FUNG, J.K. ve JIANG, L. (1999). "Restrictions on Short-Selling and Spot-Futures Dynamics". Journal of Business Finance & Accounting, 26(1-2), 227-248.
GHOSH, A. (1993). "Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices". The Journal of Futures Markets, 13(2), 193-198.
GRÜNBICHLER, A., LONGSTAFF, F.A. ve SCHWARTZ, E.S. (1994). "Electronic Screen Trading and the Transmission of Information: An Empirical Examination". Journal of Financial Intermediation, 3(2), 166-187.
HAN, L.M. ve MISRA, L. (1994). "The Impact of Trading Restrictions on the Informational Relationships between Cash, Futures, And Options Markets". International Review of Economics and Finance, 3(4), 429-442.
HASBROUCK, J. (2003). "Intraday Price Formation in U.S. Equity Index Markets". The Journal of Finance, 58(6), 2375-2399.
HERBST, A.F., MCCORMACK, J.P. ve WEST, E.N. (1987). "Investigation of a Lead-Lag Relationship between Spot Stock Indices and their Futures Contracts". The Journal of Futures Markets, 7(4), 373-381.
LIHARA, Y., KATO, K. ve TOKUNAGA, T. (1996). "Intraday Return Dynamics between the Cash and the Futures Markets in Japan". The Journal of Futures Markets, 16(2), 147-162.
IST 30 ETF. http://www.ist30.com/Content/downloads/TRIST30201303.pdf/, (04.05.2013)
JIANG, L., FUNG, J.K. ve CHENG, L.T. (2001). "The Lead-Lag Relation between Spot and Futures Markets Under Different Short- Selling Regimes". The Financial Review, 36(3), 63-88.
JIANG, S.J., CHANG, M. C. ve CHIANG, I.-c. (2011). "Price Discovery in Stock Index: An ARDL-ECM Approach in Taiwan Case". Quality & Quantity, 1-12. doi:10.1007/s11135-011-9433-1
JONG, F.D. ve DONDERS, M.W. (1998). "Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market". European Finance Review, 1(3), 337–359.
JONG, F.D. ve NIJMAN, T. (1997). "High Frequency Analysis of Lead-Lag Relationships between Financial Markets". Journal of Empirical Finance, 4(2-3), 259-277.
KANG, J., LEE, C.J. ve LEE, S. (2006). "An Empirical Investigation of the Lead-Lag Relations of Returns and Volatilities among the KOSPI200 Spot, Futures and Options Markets and their Explanations". Journal of Emerging Market Finance, 5(3), 235-261.
KASMAN, A. ve 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. ve 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. ve KOCH, T.W. (1993). "Intraday Market Behavior and the Extent of Feedback between S&P 500 Futures Prices and the S&P 500 Index". The Journal of Financial Research, 16(2), 107-121.
KAYALI, M.M. ve 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.
KENOURGIOS, D.F. (2004). "Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market". Economic and Business Review, 6(3), 229-243.
KIM, M., SZAKMARY, A.C. ve SCHWARZ, T.V. (1999). "Trading Costs and Price Discovery across Stock Index Futures and Cash Markets". The Journal of Futures Markets, 19(4), 475–498.
KUTNER, G.W. ve SWEENEY, R.J. (1991). "Causality Tests Between the S&P 500 Cash and Futures Markets". Quarterly Journal of Business and Economics, 30(2), 51-74.
LAATSCH, F.E. ve 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.
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. ve SHRESTHA, K. (2009). "A New Information Share Measure". The Journal of Futures Markets, 29(4), 377–395.
LIEN, D., TSE, Y.K. ve ZHANG, X. (2003). "Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach". Quantitative Finance, 3(2), 136–144.
LIN, C.C., CHEN, S.Y., HWANG, D.Y. ve 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.
MARTIKAINEN, T. ve PUTTONEN, V. (1994). "International Price Discovery in Finnish Stock Index Futures and Cash Markets". Journal of Banking & Finance, 18(5), 809-822.
MIN, J. H. ve 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.
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YANG, J., YANG, Z. ve 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. ve NIEDERHOFFER, V. (1983). "The Performance of Market Index Futures Contract". Financial Analysts Journal, 39(1), 59-65.
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Toplam 80 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	Türkçe
Bölüm	Makaleler
Yazarlar	Şeref Kalaycı Bu kişi benim İbrahim Yaşar Gök Bu kişi benim
Yayımlanma Tarihi	1 Haziran 2013
Yayımlandığı Sayı	Yıl 2013 Cilt: 5 Sayı: 2

Kaynak Göster

APA	Kalaycı, 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.
AMA	Kalaycı Ş, Gök İY. Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi. Haziran 2013;5(2):37-50.
Chicago	Kalaycı, Şeref, ve İbrahim Yaşar Gök. “Endeks Futures Ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması”. Uluslararası Alanya İşletme Fakültesi Dergisi 5, sy. 2 (Haziran 2013): 37-50.
EndNote	Kalaycı Ş, Gök İY (01 Haziran 2013) Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi 5 2 37–50.
IEEE	Ş. Kalaycı ve İ. Y. Gök, “Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması”, Uluslararası Alanya İşletme Fakültesi Dergisi, c. 5, sy. 2, ss. 37–50, 2013.
ISNAD	Kalaycı, Şeref - Gök, İbrahim Yaşar. “Endeks Futures Ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması”. Uluslararası Alanya İşletme Fakültesi Dergisi 5/2 (Haziran 2013), 37-50.
JAMA	Kalaycı Ş, Gök İY. Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi. 2013;5:37–50.
MLA	Kalaycı, Şeref ve İbrahim Yaşar Gök. “Endeks Futures Ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması”. Uluslararası Alanya İşletme Fakültesi Dergisi, c. 5, sy. 2, 2013, ss. 37-50.
Vancouver	Kalaycı Ş, Gök İY. Endeks Futures ve Spot Piyasalarda Fiyat Keşfi:1982’den Günümüze Bir Literatür Araştırması. Uluslararası Alanya İşletme Fakültesi Dergisi. 2013;5(2):37-50.

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