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TÜREV ARAÇLARIN TÜRKİYE BORSASI OYNAKLIĞI ÜZERİNDEKİ ETKİSİ

Vadeli işlemler ve spot piyasalar arasındaki etkileşim, 1982'de Kansas Ticaret Borsası tarafından stok endeks vadeli işlemlerin başlatılmasından bu yana finansal piyasaların en önemli konularından biri olmuştur. Türevlerin Spot piyasalara kıyasla daha yüksek likidite ve daha yüksek esneklik, daha düşük işlem maliyetleri, daha yüksek kaldıraç gibi temel özellikleri, yatırımcılar için cazip hale getirir. Ayrıca, portföyün çeşitlendirilmesi ve risklerin en aza indirilmesi amacıyla finansal sistem katılımcıları için türev işlemlerin ticareti çok önemlidir. Bu yazının amacı, gelişmekte olan bir hisse senedi piyasasından Türkiye'den kanıt sağlayarak türev menkul kıymetlerin önemini vurgulamaktır. Türkiye piyasasında türev ürünlere duyulan ihtiyacı vurgulamak için, endeks vadeli işlem ve endeks opsiyonu alım satımının spot piyasa volatilitesine etkisi incelenmektedir. Borsa İstanbul 30 Endeksin koşullu ve koşulsuz volatilitesi, 2 Ocak 1997 tarihinden itibaren ilk ticaret gününden itibaren GARCH modeli kullanılarak incelenmiştir.

THE IMPACT OF DERIVATIVES ON THE VOLATILITY OF TURKISH STOCK MARKET

The interaction among futures and spot markets has been one of the most important issues of the financialmarkets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristicsof derivatives such as having lower transaction costs, higher leverage, higher liquidity and higher flexibilitycompared to spot markets make them attractive for investors. Besides, derivatives trading are crucial forfinancial system participants in order to diversify portfolio and minimise risks. The aim of this paper is toemphasize the importance of derivative securities by providing evidence from an emerging stock market,Turkey. In order to emphasize the need for derivatives in the Turkish market, the impact of introduction ofindex futures and index options trading on the underlying spot market volatility are empirically analysed.Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model startingfrom its first trade day of January 2, 1997.
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Uluslararası İktisadi ve İdari İncelemeler Dergisi-Cover
  • ISSN: 1307-9832
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2008
  • Yayıncı: Kenan ÇELİK
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TÜREV ARAÇLARIN TÜRKİYE BORSASI OYNAKLIĞI ÜZERİNDEKİ ETKİSİ

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