Maturity Effect In Future Contracts: Evidence from Turkey

Year 2015, Volume: 15 Issue: 3, 421 - 434, 01.08.2015

Eyüp Kadıoğlu , Saim Kılıç

Abstract

Volatility increases as the maturity of the futures contracts approaches to the end, which named as Samuelson hypothesis or maturity effect, has been tested in Turkish Derivatives Exchange during period of 02.01.2008-02.08.2013 and Borsa Istanbul Derivatives Market during period of 05.08.2013-31.07.2014 by using daily variance of returns. Futures, underlying assets are USD/TL, €/TL, €/USD, Borsa Istanbul stock indices, Gold/TL, Gold/USD and single stock, are used for testing Samuelson hypothesis. Futures have been treading on Turkish Derivatives Exchange since 2005 and then after 2013 August on Borsa Istanbul Derivatives Market. Empirical results show that maturity effect is valid for futures in Turkey during the period of 02.01.2008-31.07.2014. In other words, volatility of future contracts increases as the time to maturity approaches in Turkey during the period of 02.01.2008-31.07.2014

Keywords

Maturity effect, Samuelson hypothesis, Futures, Volatility

Vadeli İşlem Sözleşmelerinde Vade Etkisi: Türkiye Örneği

Abstract

Türkiye’de vade etkisi, diğer adıyla Samuelson hipotezi, 02.01.2008-02.08.2013 döneminde İzmir Vadeli İşlemler ve Opsiyon Borsası’nda ve 05.08.2013-31.07.2014 döneminde Borsa İstanbul Vadeli İşlem ve Opsiyon Piyasası’nda işlem gören Dolar ve Avro kuru, Altın, Borsa İstanbul Endeksi’ne ve tek paya dayalı vadeli işlem sözleşmelerinin günlük getirilerinin varyansları üzerinden test edilmiştir. Türkiye’de vadeli işlemler 2005 yılından itibaren İzmir Vadeli İşlemler ve Opsiyon Borsası’nda ve 2013 Ağustos’tan itibaren Borsa İstanbul Vadeli İşlem ve Opsiyon Piyasası’nda işlem görmektedir. Türkiye’de 02.01.2008-31.07.2014 döneminde vadeli işlem sözleşmelerinde Samuelson hipotezi desteklenmektedir. Türkiye’de 02.01.2008-31.07.2014 döneminde vadeye yaklaştıkça vadeli işlem sözleşmelerinin volatilitesi artmaktadır

Keywords

Vade etkisi, Samuelson hipotezi, Vadeli işlem, Volatilite

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