TÜRKİYE'DE HİSSE SENEDİ VADELİ İŞLEMLER PİYASASI ETKİNLİĞİ VE FİYAT KEŞİF ROLÜ

Bu çalışma 01.08.2013-15.07.2016 döneminde Borsa İstanbul BİST 30 endeksi günlük spot ve vadeli işlemler kapan ış fiyatlarını kullanarak Johansen Eşbütünleşme ve Vektör Hata Düzeltme Modeli (VECM) ile kısa ve uzun vadeli ilişkileri analiz etmektedir. Uzun dönemde, spot ve vadeli piyasalar arasında piyasa etkinliği kavramı ile tutarlı olarak eşbütünleşme ilişkisi gözlemlenmiştir. Ancak k ısa vadede spot piyasa vadeli işlemler piyasasını işlem maliyetleri, kaldıraç veya pazarlanabilirlik etkileri nedeniyle etkilemektedir ki bu da etkinli ği bozabilmektedir. Çalışma vadeli i şlemler piyasasında far- klı periyotlar ve vadeler seçilirse, fiyat ke şif rolünün k ısa vadede vadeli işlemler piyasasından spot piyasasına da kayabileceğine dikkat çekmektedir. Ve vadeli işlemler ve/veya spot piyasasının fiyat keşif rolünün yaratacağı etkinsizliğin ilerleyen çalışmalarda test edilmesi gerekmektedir.

STOCK FUTURES MARKET EFFICIENCY AND PRICE DISCOVERY ROLE IN TURKEY

This study analyzes short-run a nd long-run relations with Johansen cointegration and Vector Error Correction Model (VECM) using Borsa İstanbul BİST 30 index daily closing spot and futures prices within the period of August 1, 2013 to July 15, 2016. In the long-run, the cointegration relationship between spot and futures markets is observed consis tent with market efficiency concept. However, spot market affects the futures market in the short-run that may distort efficiency because of transac- tion costs, leverage, or marketability effects. The study also highlights the idea that with different periods and maturity selected in futures market, the price discovery role may change from futures market to spot market in the short-run. The price discovery roles of futures and/or spot market create inefficiency that should be tested in further studies.

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