Endeks Opsiyon Sözleşmeleri ve Borsaların Birleşmesinin Türev Piyasalara Etkileri: Borsa İstanbul Üzerine Ampirik Bir Analiz

Bu çalışmada Borsa İstanbul bünyesinde yoğun olarak işlem gören endeks futures sözleşmeleri için uygun volatilite modeli araştırılmaktadır. Analiz 04/01/2010 – 31/12/2018 dönemini kapsamaktadır. Uygun yapının seçiminde ARCH, GARCH, T-GARCH, E-GARCH ve PARCH olmak üzere simetrik ve asimetrik volatilite modelleri test edilmiştir. Ardından, daha yeni bir tarihte işlem görmeye başlayan endeks opsiyon sözleşmeleri ile borsaların birleşmesi olgularının endeks futures sözleşmeleri üzerine etkileri incelenmiştir. Endeks opsiyon sözleşmeleri, alternatif bir yatırım unsuru olarak finansal yenilik, borsaların birleşmesi ise işlemlerde senkronizasyon sağlaması perspektifinde teknik yenilik olarak değerlendirilmektedir. Endeks opsiyon sözleşmelerinin pozitif, borsa birleşmesinin ise negatif olarak endeks futures sözleşmelerinin volatilitesini etkilediği tespit edilmiştir.

Effects of Index Option Contracts and Fusion of Exchanges on Derivative Markets: An Empirical Analysis on Borsa Istanbul

In this study, the appropriate volatility model is investigated for index futures contracts that are heavily traded in Borsa Istanbul. The analysis covers the dates from January 04, 2010 to December 31, 2018. Symmetrical and asymmetrical volatility models, ARCH, GARCH, T-GARCH, E-GARCH and PARCH, were tested in the selection of the appropriate structure. Then, the effects of index option contracts, which began trading at a later date, and fusion of exchanges cases on index futures contracts were examined. Index option contracts are considered as financial innovation in terms of alternative investment element, and fusion of exchanges are considered as technical innovation in terms of providing synchronization in transactions. It is determined that index option contracts are positively and fusion of exchanges negatively effects index futures contracts’ volatility.

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