Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz

Yıl 2021, Cilt: 29 Sayı: 48, 427 - 442, 28.04.2021

Fatih Güzel

https://doi.org/10.17233/sosyoekonomi.2021.02.20

Cited By: 1

Öz

USD/TRY döviz birimi Türkiye dış ticaretine hâkim dövizdir. Bu makale spot ve türev piyasalar arasında USD/TRY döviz biriminin etkileşimini incelemektedir. Veri seti 02.01.2014 - 31.12.2018 dönemini kapsayan günlük frekanslı verilerden oluşmaktadır. Piyasalar arasındaki etkileşim hem fiyat keşfi hem de nedensellik çerçevesinde analiz edilmiştir. Fiyat keşif ölçütleri olarak Hasbrouck (1995) Bilgi Payı, Gonzalo ve Granger (1995) Bileşen Payı ve Putniņš (2013) Bilgi Liderliği Payı kullanılmıştır. Fiyat keşif ölçütleri vadeli döviz değerlerinin fiyat keşif fonksiyonuna sahip olduğu noktasında uzlaşı içerisindedir. Çalışma sonucunda, spot ve vadeli döviz değerleri arasında çift yönlü nedensellik tespit edilmiştir. Vadeli piyasadan spot piyasaya olan nedensellik, spot piyasadan vadeli piyasalara olan nedensellikten daha güçlüdür.

Anahtar Kelimeler

Döviz Kuru, Nedensellik, Fiyat Keşfi, Borsa İstanbul

Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul

Öz

USD/TRY foreign exchange rate is the dominant foreign exchange unit in the foreign trade volume of Turkey. Thisstudy examines the interaction of the USD/TRY foreign exchange rates formed in the spot and the derivatives markets. The dataset consists of daily frequency data covering January 01, 2014 - December 31, 2018. The interaction between the markets is analysed in terms of price discovery and causality. Hasbrouck (1995) Information Share, Gonzalo and Granger (1995) Component Share, and Putniņš (2013) Information Leadership Share were used as price discovery measures. Price discovery measures agree that futures foreign exchange values have a price discovery function. As a result of the study, a bidirectional causality is determined between the spot and futures foreign exchange rates. Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.

Anahtar Kelimeler

Foreign Exchange, Causality, Price Discovery, Borsa Istanbul

Kaynakça

• Akıncı, A. & G. Tuncer (2016), “Türkiye'de Sağlık Harcamaları ile Ekonomik Büyüme Arasındaki İlişki”, Sayıştay Dergisi, (102), 47-61.
• Baillie, R.T. & G.G. Booth & Y. Tse & T. Zabotina (2002), “Price Discovery and Common Factor Models”, Journal of Financial Markets, 5(3), 309-321.
• Bilgin, C. & A. Şahbaz (2009), “Türkiye’de Büyüme ve İhracat Arasındaki Nedensellik İlişkileri”, Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 8(1), 177-198.
• Booth, G.G. & J.C. Lin & T. Matrikainen & Y. Tse (2002), “Trading and Pricing in Upstairs and Downstairs Stock Markets”, The Review of Financial Studies, 15(4), 1111-1135.
• Booth, G.G. & R.W. So & Y. Tse (1999), “Price Discovery in the German Equity Index Derivatives Markets”, The Journal of Futures Markets, 19(6), 619-643.
• Borsa İstanbul (2020), Döviz Vadeli İşlem Sözleşmeleri, <https://www.borsaistanbul.com/tr/sayfa/322/doviz-vadeli-islem-sozlesmeleri>, 09.03.2020.
• Brooks, C. (2014), Introductory Econometrics for Finance, (3. Baskı), Cambridge: Cambridge University Press.
• Cabrera, J. & T. Wang & J. Yang (2009), “Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?”, The Journal of Futures Markets, 29(2), 137-156.
• Cao, C. & O. Hansch & X. Wang (2009), “The Information Content of an Open Limit-Order Book”, The Journal of Futures Markets, 29(1), 16-41.
• Chambers, N.R. (1998), Türev Piyasalar, İstanbul: Avcıol Basım-Yayın.
• Chen, R. & Z.L. Zheng (2008), “Unbiased Estimation, Price Discovery, and Market Efficiency: Futures Prices and Spot Prices”, Systems Engineering - Theory & Practice, 28(8), 2-11.
• Chen, Y.L. & Y.F. Gau (2009), “Tick Sizes and Relative Rates of Price Discovery in Stock, Futures and Options Markets: Evidence from the Taiwan Stock Exchange”, The Journal of Futures Markets, 29(1), 74-93.
• Chen, Y.L. & Y.F. Gau (2010), “News Announcements and Price Discovery in Foreign Exchange Spot and Futures Markets”, Journal of Banking & Finance, 34(7), 1628-1636.
• Chu, Q.C. & W.G. Hsieh & Y. Tse (1999), “Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs”, International Review of Financial Analysis, 8(1), 21-34.
• Culp, C.L. (2010), “The Social Functions of Financial Derivatives”, içinde: R.W. Kolb & J.A. Overdahl (eds.), Financial Derivatives: Pricing and Risk Management, New Jersey: John Wiley & Sons, 57-71.
• Çevik, E.İ. & M. Pekkaya (2007), “Spot ve Vadeli İşlem Fiyatlarının Varyansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), 49-66.
• Damodaran, A. & M.G. Subrahmanyam (1992), “The Effect of Derivative Securities on the Market for the Underlying Assets in the United States: A Survey”, Financial Markets, Institutions and Instruments, 1(5), 1-22.
• De Boyrie, M.E. & I. Pavlova & A.M. Parhizgari (2012), “Price Discovery in Currency Markets: Evidence from Three Emerging Markets”, International Journal of Economics and Finance, 4(12), 61-75.
• De Jong, F. (2002), “Measures of Contributions to Price Discovery: A Comparison”, Journal of Financial Markets, 5(3), 323-327.
• Demirci, N.S. (2017), “İmalat Sanayi Sektöründe Üretim ve Banka Kredileri İlişkisi: Türkiye İçin Eşbütünleşme ve Nedensellik İlişkisi”, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 19(1), 35-61.
• Demireli, E. & E. Gülmez & C. Akkaya (2010), “Vadeli ve Spot Kurlar Arasındaki Nedensellik İlişkisi: İzmir Vadeli İşlem ve Opsiyon Borsası Üzerine Bir Uygulama”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (27), 325-334.
• Dickey, D.A. & W.A. Fuller (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, 49(4), 1057-1072.
• Enders, W. (2014), Applied Econometric Time Series, (4. Baskı), New Jersey: Wiley.
• Engle, R.F. & C.W.J. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55(2), 251-276.
• Erdoğan, O. & M. Kayacan (1998), “Finansal Türevlere Ne Zaman Başlanmalı? İstanbul Menkul Kıymetler Borsası Örneği”, İMKB Dergisi, 2(5), 23-45.
• Ersoy, E. (2011), “Spot ve Vadeli İşlem Piyasaları Arasındaki Fiyat ve Volatilite İlişkisi: İMKB-VOB Örneği”, Erciyes Üniversitesi Sosyal Bilimler Enstitüsü, Doktora Tezi, Kayseri.
• Gonzalo, J. & C. Granger (1995), “Estimation of Common Long-Memory Components in Cointegrated Systems”, Journal of Business & Economic Statistics, 13(1), 27-35.
• Granger, C.J.G. & P. Newbold (1974), “Spurious Regression in Econometrics”, Journal of Econometrics, 2(2), 111-120.
• Granger, C.W.J. (1969), “Investigating Causal Relations by Econometric Models and Cross-spectral Methods”, Econometrica, 37(3), 424-438.
• Gujarati, D.N. (2004), Basic Econometrics, (4. Baskı), Londra: McGraw Hill.
• Guru, A. (2010), “Interplay Between Exchange Traded Currency Futures Markets, Spot Markets and Forward Markets: A Study on India”, Indian Economic Review, New Series, 45(1), 111-130.
• Harris, F.H. de B. & T.H. McInish & R.A. Wood (2002), “Security Price Adjustment Across Exchanges: An Investigation of Common Factor Components for Dow Stocks”, Journal of Financial Markets, 5(3), 277-308.
• Hasbrouck, J. (1995), “One Security, Many Markets: Determining the Contributions to Price Discovery”, The Journal of Finance, 50(4), 1175-1199.
• Inani, S.K. (2018), “Price Discovery and Efficiency of Indian Agricultural Commodity Futures Market: An Empirical Investigation”, Journal of Quantitative Economics, 16, 129-154.
• Johansen, S. & K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
• Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), 231-254.
• Johansen, S. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59(6), 1551-1580.
• Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, New York: Oxford University Press.
• Kayalıdere, K. & H. Aracı & H. Aktaş (2012), “Türev ve Spot Piyasalar Arasındaki Etkileşim: VOB Üzerine Bir İnceleme”, Muhasebe ve Finansman Dergisi, (56), 137-154.
• Korczak, P. & K. Phylaktis (2010), “Related Securities and Price Discovery: Evidence from NYSE-listed Non-U.S. Stocks”, Journal of Empirical Finance, 17(4), 566-584.
• Kumar, S. (2018), “Price Discovery in Emerging Currency Markets”, Research in International Business and Finance, 46, 528-536.
• Kwiatkowski, D. & P.C.B. Phillips & P. Schmidt & Y. Shin (1992), “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root”, Journal of Econometrics, 54(1-3), 159-178.
• MacKinnon, J.G. & A.A. Haug & L. Michelis (1999), “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”, Journal of Applied Econometrics, 14(5), 563-577.
• MacKinnon, J.G. (1996), “Numerical Distribution Functions For Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 40, 601-618.
• Narayan, P.K. & R. Smyth (2006), “What Determines Migration Flows from Low-Income to High-Income Countries? An Empirical Investigation of Fiji-U.S. Migration 1972-2001”, Contemporary Economic Policy, 24(2), 332-342.
• Ozen, E. & T. Bozdogan & M. Zugul (2009), “The Relationship of Causality Between the Price of Futures Transactions Underlying Stock Exchange and Price of Cash Market: The Case of Turkey”, Middle Eastern Finance and Economics, (4), 28-37.
• Phillips, P.C.B. & P. Perron (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), 335-346.
• Prabha, A. & K. Savard & H. Wickramarachi (2014), “Deriving The Economic Impact of Derivatives: Growth Through Risk Management”, Milken Institute, <http://assets1b.milkeninstitute.org/assets/Publication/ResearchReport/PDF/Derivatives-Report.pdf>, 11.03.2020.
• Putniņš, T.J. (2013), “What do Price Discovery Metrics Really Measure?”, Journal of Empirical Finance, 23, 68-83.
• Sakarya, Ş. & H.T. Akkuş (2018), “BİST100 ve BİST Sektör Endeksleri ile VIX Endeksi Arasındaki İlişkinin Analizi”, Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-373.
• Sakthivel, P. & K.R. Chittedi & D. Sakyi (2017), “Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis”, Global Business Review, 20(4), 1-15.
• Sehgal, S. & W. Ahmad & F. Deisting (2015), “An Investigation of Price Discovery and Volatility Spillovers in India’s Foreign Exchange Market”, Journal of Economic Studies, 42(2), 261-284.
• Sevüktekin, M. & M. Çınar (2017), Ekonometrik Zaman Serileri Analizi: EViews Uygulamalı (5. Baskı), Bursa: Dora.
• So, R.W. & Y. Tse (2004), “Price Discovery in the Hnag Seng Index Markets: Index, Futures, and theTracker Fund”, The Journal of Futures Markets, 24(9), 887-907.
• Stock, J.H. & M.W. Watson (2015), Introduction to Econometrics (3. Baskı), Londra: Pearson.
• Tarı, R. (2011), Ekonometri (7. Baskı), Kocaeli: Umuttepe Yayınları.
• Tse, Y. & J.K.W. Fung & J. Xiang (2006), “Price Discovery in the Foreign Exchange Futures Market”, The Journal of Futures Markets, 26(11), 1131-1143.
• Türkiye İstatistik Kurumu (2020), Dış Ticaret İstatistikleri, <http://www.tuik.gov.tr/PreTablo.do?alt_id=1046>, 07.03.2020.
• Unlu, U. & E. Ersoy (2012), “The Causal Relationship Between Foreign Currency Futures and Spot Market: Evidence from Turkey”, Investment Management and Financial Innovations, 9(2), 208-212.
• Yan, B. & E. Zivot (2010), “A Structural Analysis of Price Discovery Measures”, Journal of Financial Markets, 13(1), 1-19.