Publication: 2011-2015 Yılları Arasında Bist 30 Endeksi ve BİST30 Endeks Vadeli İşlem Sozleşmeleri Arasındaki Volatilite İlişkisinin İrdelenmesi
Date
2017-06
Authors
Çetiner [İşeri], Emine Müge
Kaçmazer, Murat
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Abstract
Vadeli piyasalarda işlem gören enstrümanların, spot piyasalarda ortaya çıkan risklere karşı koruma
sağlamak için oluşturulması vadeli ve spot piyasa arasındaki etkileşimin temelini oluşturmaktadır.
Literatürde iki piyasa arasındaki etkileşim, vadeli piyasadaki işlemlerin spot piyasadaki volatiliteyi
azalttığı, spot piyasaya derinlik kazandırdığı ve fiyat oluşumunda öncülük ettiği şeklinde yer almaktadır.
Bu çalışmada, Türkiye’de vadeli ve spot piyasa arasındaki volatilite ilişkisi 2011-2015 yıllarını kapsayan
dönemde, BIST30 endeksi ve BIST30 endeks vadeli işlem sözleşmesi örneğinde ele alınmıştır. Vadeli ve spot
piyasa arasındaki volatilite ilişkisi GARCH Modeli, TARCH Modeli, EGARCH Modeli ve PARCH Modeli
gibi ekonometrik yöntemler kullanılarak değerlendirilmiştir. Araştırmada elde edilen sonuçlara göre 2011-
2015 yıllarını kapsayan dönemde vadeli piyasaların spot piyasadaki volatiliteyi azalttığı anlaşılmıştır.
Creation of futures market instruments with the aim of providing protection against the risks arise out of spot markets, is the basis of the interaction between spot and futures markets. Interaction between these two markets takes part in literature as follows: transactions in futures market reduce volatility of spot market, increase market depth and lead price formation in spot markets. This study investigates availability of volatility relationship between spot and futures markets in Turkey in the period of 2011-2015 BIST30 index and BIST30 equity index future contracts by taking into consideration their high transaction volume. Volatility relationship between spot and futures markets is analyzed by using GARCH Model, TARCH Model, EGARCH Model and PARCH Model. Results of application study suggest that futures markets decrease volatility of spot markets in the period of 2011-2015.
Creation of futures market instruments with the aim of providing protection against the risks arise out of spot markets, is the basis of the interaction between spot and futures markets. Interaction between these two markets takes part in literature as follows: transactions in futures market reduce volatility of spot market, increase market depth and lead price formation in spot markets. This study investigates availability of volatility relationship between spot and futures markets in Turkey in the period of 2011-2015 BIST30 index and BIST30 equity index future contracts by taking into consideration their high transaction volume. Volatility relationship between spot and futures markets is analyzed by using GARCH Model, TARCH Model, EGARCH Model and PARCH Model. Results of application study suggest that futures markets decrease volatility of spot markets in the period of 2011-2015.
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Keywords
Vadeli Piyasa, Spot Piyasa, GARCH Modeli, TARCH Modeli, EGARCH Modeli, PARCH Modeli, Futures Market, Spot Market, GARCH Model, TARCH Model, EGARCH Model, PARCH Model
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