THE INTERACTIONS AMONG THE SPOT, FUTURES AND OPTIONS MARKETS OF BIST-30 INDEX IN TURKEY

Year 2017, Volume: 6 Issue: 11, 17 - 30, 15.07.2017

Pınar Evrim Mandacı , Nihan Demirkaya Küsülü

Abstract

ABSTRACT

This study investigates short-run relationships among spot and
derivatives market (including futures and options market) in Turkey. We examine
the relationships among BIST-30 Index, BIST-30 Index Futures and BIST-30 Index
Options by employing Granger causality and variance decomposition tests for the
period from April 4, 2013 and December 31, 2015 by using daily data. Our
results show that there is a two-way granger causality relationship between the
spot and futures market. However, the effect from spot market to futures market
is stronger than the effect from futures market to spot market indicating a
weak arbitrage opportunity. On the other hand, we observe a one-way causality
from options market to other two markets, which is quite weak.  

Keywords

: Futures, Options, BIST 30, VIOP

TÜRKİYE’DEKİ BIST 30 ENDEKSİNİN SPOT, VADELİ İŞLEM VE OPTİYON PİYASALARI ARASINDAKİ İLİŞKİLER

Abstract

Bu
çalışma Türkiye’deki spot ve türev
(vadeli işlem ve opsiyon piyasalarını içeren) piyasalar arasındaki kısa dönemli
ilişkileri araştırmaktadır. Çalışmada 4 Nisan 2013 ve 31 Aralık 2015 tarihleri
arasındaki günlük data kullanılarak BIST 30 Endeksi, BIST 30 Endeks Vadeli
İşlem ve BIST 30 Endeks Opsiyon sözleşmeleri 
arasındaki ilişkiler Granger nedensellik ve varyans ayrıştırma testleri
kullanılarak incelenmiştir. Sonuçlar spot ve vadeli işlem piyasaları arasında iki-yönlü granger nedensellik olduğunu
göstermektedir.  Ancak spot piyasanın
vadeli işlem piyasasına etkisinin, vadeli işlem piyasasının spot piyasasına
olan etkisinden daha güçlü bulunmuştur. Bu durum arbitraj fırsatının zayıf
olduğunu işaret etmektedir. Diğer taraftan, opsiyon piyasasından bu iki
piyasaya tek yönlü ve zayıf bir nedensellik gözlemlenmiştir.

 

Keywords

Vadeli işlem, Opsiyon, BIST 30, VIOP

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