BIST LİKİDİTE BANKA ENDEKSİ FARKLI VADELİ İŞLEM KONTRATLARI İLE FİYAT KEŞFİ ETKİNLİĞİ: ÇOK KATMANLI ALGILAYICI SİNİR AĞI

Yıl 2024, Cilt: 15 Sayı: 2, 1174 - 11191, 07.07.2024

Orhan Özaydın

https://doi.org/10.54688/ayd.1474392

Öz

Spot ve vadeli işlemlerde fiyat keşfi sürecinin çift yönlü olduğu literatürde sıkça görülmektedir. Bu çalışmanın yeniliği, Türkiye'de nispeten yeni bir endeks olan BIST likit banka endeksinin spot verilerinin farklı vadelerdeki vadeli işlem sözleşmeleri kullanılarak çok katmanlı algılayıcı (MLP) yapay sinir ağı modeli ile analiz edilmesinde yatmaktadır. Modellerin etkinliği, vadeli işlem fiyatlarının spot fiyat keşfini önceleme etkinliği incelenerek değerlendirilmiştir. MLP modellerinin etkinliği, örneklem dışı test serisi sonuçlarına göre düşük ortalama karesel hata (MSE) oranları ile ölçülmüştür. Bulgular, likit banka endeksinin bir ve iki sonraki vadeli işlem sözleşmelerinin spot fiyatları açıklamada en yakın vadeli işlem sözleşmelerinden daha etkili olduğunu göstermektedir. Ayrıca, en yakın vadeli sözleşmelerin diğerlerine göre daha yüksek varyanslara sahip olduğu gözlenmiştir. Hem spot hem de vadeli işlem sözleşmelerinin açıklayıcı değişkenler olarak birlikte kullanılan model, en etkin fiyat keşfi modeli olmuştur. Spot için üç gecikmeli ve iki sonraki vadeli işlem sözleşmesi için iki gecikmeli modeldir. Bu sonuçların, spot ve vadeli işlem yapan bireyler için risk yönetimi stratejileri uygulanırken dikkate alınması önerilmektedir.

Anahtar Kelimeler

BIST likit banka endeksi, Çok katmanlı algılayıcı yapay sinir ağları, Vadeli işlem sözleşmeleri, Spot fiyat keşfi, Finansal tahmin

Etik Beyan

yok

Destekleyen Kurum

yok

Teşekkür

yok

PRICE DISCOVERY EFFICIENCY IN BIST LIQUIDITY BANK INDEX USING DEFERRED FUTURES: A MULTILAYER PERCEPTRON NEURAL NETWORK APPROACH

Öz

The literature indicates that the process of price discovery in spot and futures can be bidirectional. This study novelty lies in its analysis of the spot data of the BIST liquid bank index, a relatively new index in Turkey, using futures contracts of different maturities with a multi-layer perceptron (MLP) artificial neural network model. The efficacy of the models is evaluated by examining the capacity of futures prices to inform spot price discovery. The effectiveness of the MLP models is measured by low mean squared error (MSE) ratios relative to the out-of-samples test series results. The findings indicate that the one- and two-next futures contracts of the liquid bank index are more effective than the nearest futures contracts in explaining spot prices. Additionally, the nearest expiry contracts are observed to exhibit higher variances than the others. The most efficient pricing model including both spot and futures as explaining variables, is autoregression with three lags for spot and two lags for the two next futures contracts. These results must be considered when implementing risk management strategies for individuals engaged in spot and futures transactions.

Anahtar Kelimeler

BIST Liquid Bank Index, Multi-layer Perceptron Artificial Neural Networks, Futures Contracts, Spot Price Discovery, Financial Forecasting

Kaynakça

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