TY  - JOUR
TI  - THE EFFECT OF INDIVIDUAL FUTURE CONTRACTS ON THE ABNORMAL RETURNS OF UNDERLYING STOCKS: EVIDENCE FROM BORSA ISTANBUL
AB  - 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.
AU  - AYBARS, ASLI
AU  - KELTEN, GÖKSAL SELAHATDİN
DO  - 10.30798/makuiibf.805179
PY  - 2022
JO  - Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
VL  - 9
IS  - 1
SN  - 2149-1658
SP  - 63
EP  - 80
DB  - TRDizin
UR  - http://search/yayin/detay/510255
ER  -