The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange

R. İlker GÖKBULUT, (İstanbul Üniversitesi, İşletme Fakültesi, İstanbul, Türkiye)
Derindere.Sinem KÖSEOĞLU, (İstanbul Üniversitesi, Ulaştırma ve Lojistik Yüksek Okulu, İstanbul, Türkiye)
Tulin ATAKAN (İstanbul Üniversitesi, İşletme Fakültesi, İşletme Bölümü, İstanbul, Türkiye)
İstanbul Üniversitesi İşletme Fakültesi Dergisi
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Yıl: 2009 Cilt: 38 Sayı: 1 Sayfa Aralığı: 84 - 100 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange

Öz:
Türk mali piyasalarının en temel sorunlarından biri yüksek volatilite ve buna bağlı olarak oluşan görece sığ finansal piyasa yapısı olarak karşımıza çıkmaktadır. Son yıllarda global piyasalarda oluşan hızlı sermaye akımları beraberinde vadeli işlem piyasalarında gerek yatırım gerekse spekülatif amaçlı işlemlerin artmasına neden olmuştur. Spot ve vadeli piyasalar arasındaki oynaklık etkileşiminin modellenebilmesi bu her iki piyasadaki bilgi akışının yönünün belirlenmesi, fiyat oluşumu ve riskliliğin ölçülebilmesi açısından büyük önem arz etmektedir. Bu çalışmanın amacı Şubat 2005'den bu yana faaliyet gösteren Vadeli İşlemler ve Opsiyon Borsası (VOB)'nda işlem gören endeks vadeli işlem sözleşmelerinin spot hisse senedi piyasasındaki fiyat oynaklığını ve işlem hacmini ne şekilde etkilediğini belirlemektir. ARCH ailesi modelleri içerisine açıklayıcı kukla değişken eklenerek yapılan analiz sonucunda İMKB-30 Endeks vadeli işlemlerinin başlamasıyla birlikte spot hisse senedi piyasası oynaklığında istatistiki açıdan anlamlı herhangi bir değişim gözlenmezken,işlem hacminin arttığı görülmüştür. Bu sonuçlar literatürde yer alan birçok çalışma ile paralellik göstermektedir.
Anahtar Kelime: ticaret arch-garch kararsızlık imkb ulusal 30 endeksi İstanbul menkul kıymetler borsası İstanbul menkul kıymetler borsası (İMKB)

Vadeli hisse senedi işlemlerinin spot piyasa üzerine etkisi: İMKB üzerine bir uygulama

Öz:
One of the fundemantal problems of the Turkish financial market is high volatility and therefore the occurance of relatively shallow market structure. In recent years, the rapid capital flows seen in global markets have resulted in increasing amounts of transactions in futures markets both for investment and speculation. The modelling of any interaction between the spot and futures markets constitutes a great importance with regard to determining the direction of information flow in these markets, price formation and risk measuring. The aim of this study is to empirically investigate how index futures contracts traded in the Turkish Derivatives Exchange operating since February 2005 affect the price volatility and trade volume in the spot stock market, namely Istanbul Stock Exchange. The analyses are conducted by injecting dummies to the ARCH type models for index return and trade volume series and results indicate no statistically signigicant change in the index volatility, while trade volumes increase in the spot stock market. These results are in line with many of the studies in the literature.
Anahtar Kelime: ise national 30 index Istanbul stock exchange Istanbul stock exchange (ISE) trade arch-garch volatility

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA GÖKBULUT R, KÖSEOĞLU D, ATAKAN T (2009). The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. , 84 - 100.
Chicago GÖKBULUT R. İlker,KÖSEOĞLU Derindere.Sinem,ATAKAN Tulin The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. (2009): 84 - 100.
MLA GÖKBULUT R. İlker,KÖSEOĞLU Derindere.Sinem,ATAKAN Tulin The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. , 2009, ss.84 - 100.
AMA GÖKBULUT R,KÖSEOĞLU D,ATAKAN T The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. . 2009; 84 - 100.
Vancouver GÖKBULUT R,KÖSEOĞLU D,ATAKAN T The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. . 2009; 84 - 100.
IEEE GÖKBULUT R,KÖSEOĞLU D,ATAKAN T "The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange." , ss.84 - 100, 2009.
ISNAD GÖKBULUT, R. İlker vd. "The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange". (2009), 84-100.
APA GÖKBULUT R, KÖSEOĞLU D, 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.
Chicago GÖKBULUT R. İlker,KÖSEOĞLU Derindere.Sinem,ATAKAN Tulin 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, no.1 (2009): 84 - 100.
MLA GÖKBULUT R. İlker,KÖSEOĞLU Derindere.Sinem,ATAKAN Tulin The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol.38, no.1, 2009, ss.84 - 100.
AMA GÖKBULUT R,KÖSEOĞLU D,ATAKAN T The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009; 38(1): 84 - 100.
Vancouver GÖKBULUT R,KÖSEOĞLU D,ATAKAN T The effects of the stock index futures to the spot stock market: a study for the Istanbul Stock Exchange. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009; 38(1): 84 - 100.
IEEE GÖKBULUT R,KÖSEOĞLU D,ATAKAN T "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, ss.84 - 100, 2009.
ISNAD GÖKBULUT, R. İlker vd. "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 (2009), 84-100.
Sayfa Oluşturulma Tarihi
22-04-2024 14:59

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