IS THERE PRICE DISCOVERY IN NEWLY ESTABLISHED FUTURES MARKETS? EVIDENCES FROM TURKDEX*

Bu çalışmanın amacı, faaliyetlerinin şekillendiği yıllar için VOBda fiyat keşfi fonksiyonunu araştırmaktır. Bu amaçla İMKB30 endeksinin 4 Ocak 2010 ve 4 Ekim 2012 tarihleri arasındaki spot ve vadeli logaritmik kapanış fiyatları kullanılmıştır. Fiyat keşif etkinliği, Johansen eşbütünleşme testi ve Vektör Hata Düzeltme modeli ile ortaya konulmaya çalışılmıştır. Analitik sonuçlar, spot ve vadeli endeksler arasında kısa dönemde çift yönlü öncül-ardıl ilişkilerin olduğunu ortaya koymaktadır. Buna ek olarak vadeli işlem sözleşmeleri uzun dönemde spot fiyatları keşfetmekte kullanılamaz.

YENİ KURULAN VADELİ PİYASALARDA FİYAT KEŞFİ OLUR MU? VOB DAN KANITLAR

This paper aims to explore price discovery function of a newly established futures markets-TurkDEX for the formative years of its operations. For this purpose, we used logarithmic daily closing futures and spot prices of the ISE 30 index between 4 January 2010 and 4 October 2012. Effectiveness of price discovery is outlined by using Johansen Cointegration Test and Vector Error Correction Model (VECM). The analytical results reveal that a short-term and bidirectional lead-lag relationship exists between spot and futures index contracts. In addition, the index futures contracts cannot be used to discover spot prices in the long term.olduğunu ortaya koymaktadır. Buna ek olarak vadeli işlem sözleşmeleri uzun dönemde spot fiyatları keşfetmekte kullanılamaz.

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