Dr.ibrahim Yaşar GÖK, Prof.dr.şeref KALAYCI

ENDEKS FUTURES İŞLEMLERİN SPOT PİYASA İSTİKRARINA ETKİSİ: TÜRKİYE PİYASALARI ÜZERİNE AMPİRİK BİR ARAŞTIRMA

Bu çalışmada, endeks futures piyasaların başlangıcı sonrası spot piyasaların istikrarı, Türkiye piyasaları açısından araştırılmıştır. Çalışma, BIST 30 endeksi gün sonu verileri ile 2000-2012 dönemi için AR(1)GARCH(1,1) modeli uygulanarak yapılmıştır. Buna göre, endeks futures işlemler sonrası spot piyasanın istikrardan uzaklaşmadığı sonucuna erişilmiştir. Ayrıca, endeks futures işlemler sonrasında öncesine göre, spot piyasa volatilite kalıcılığının da azaldığı bulgularına erişilmiş, dolayısıyla endeks futures işlemler sonrası spot piyasanın bilgiyi işleme hızının arttığı sonucuna varılmıştır. Bununla beraber, spot piyasa volatilitesindeki bu değişimin endeks futures piyasa işlemleri kaynaklı olmayabileceği ihtimalinden ötürü S&P 500 endeksi getirileri de modele dahil edilerek tekrar tahmin yapılmış ve elde edilen bulgularda herhangi bir değişme gözlenmemiştir. Diğer taraftan, pay piyasasının istikrarı, 2008 global finansal kriz dönemi ile bu dönemin öncesi ve sonrası (20102012) dönemler açısından karşılaştırıldığında, son global krizin pay piyasasını istikrardan uzaklaştırıcı bir etki oluşturduğu bulgusu elde edilmiştir.

Anahtar Kelimeler:

Pay Piyasası, Pay Endeksi, Endeks Futures Piyasa, İstikrar, GARCH, Jel Sınıflaması: G10, G20, C22

Endeks Futures İşlemlerin Spot Piyasa İstikrarına Etkisi: Türkiye Piyasaları Üzerine Ampirik Bir Araştırma

In this study, the spot market stability after the introduction of index futures market is investigated in terms of Turkish markets. The study is performed with BIST 30 index daily data for 2000-2012 period by using AR(1)-GARCH (1,1) model. It is concluded that after index futures trading

Keywords:

-,

PDF

___

1. AGGARWAL, R. (1988). Stock Index Futures and Cash Market Volatility. Review of Futures Market, 7(2), p. 290-299.
2. ALEXAKIS, P. (2007). On the Effect of Index Futures Trading on Stock Market Volatility. International Research Journal of Finance and Economics(11), p. 7-20.
3. ANTONIOU, A., & P. Holmes (1995). Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH. Journal of Banking & Finance, 19(1), p. 117– 129.
4. ANTONIOU, A., P. Holmes, & R. Priestley (1998). The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News. Journal of Futures Markets, 18(2), p. 151-166.
5. BAE, S. C., T. H. Kwon, & J. W. Park (2004). Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean Index Futures Markets. Journal of Futures Markets, 24(12), p. 1195-1228.
6. BECKETTI, S., & D. J. Roberts (1990, Kasım-Aralık). Will Increased Regulation of Stock Index Futures Reduce Stock Market Volatility? Federal Reserve Bank of Kansas City Economic Review, p. 33-46.
7. BESSEMBINDER, H., & P. J. Seguin (1992). Futures-Trading Activity and Stock Price Volatility. The Journal of Finance, 47(5), p. 2015-2034.
8. BOARD, J., G. Sandmann, & C. Sutcliffe (2001). The Effect of Futures Market Volume on Spot Market Volatility. Journal of Business Finance and Accounting, 28(7-8), p. 799-820.
9. BOHL, M. T., C. A. Salm, & M. Schuppli (2011). Price Discovery and Investor Structure in Stock Index Futures. The Journal of Futures Markets, 31(3), p. 282–306.
10. BOLLERSLEV, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), p. 307-327.
11. BOLOGNA, P., & L. Cavallo (2002). Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is The 'Futures Effect' Immediate? Evidence from the Italian Stock Exchange Using GARCH. Applied Financial Economics, 12(3), p. 183-192.
12. BRORSEN, B. W. (1991). Futures Trading, Transaction Costs, and Stock-Market Volatility. Journal of Futures Markets, 11(2), p. 153-163.
13. BROWN-HRUSKA, S., & G. Kuserk (1995). Volatility, Volume and the Notion of Balance in the S&P500 Cash and Futures Markets. Journal of Futures Markets, 15(6), p. 677-689.
14. BUTTERWORTH, D. (2000). The Impact of Futures Trading on Underlying Stock Index Volatility: The Case of the FTSE Mid 250 Contract. Applied Economics Letters, 7(7), p. 439-442.
15. ÇAĞLAYAN, E. (2011). The Impact of Stock Index Futures on the Turkish Spot Market. Journal of Emerging Market Finance, 10(1), p. 73 - 91.
16. CHANG, E. C., J. W. Cheng, & J. M. Pinegar (1999). Does Futures Trading Increase Stock Market Volatility? The Case of the Nikkei Stock Index Future Markets. Journal of Banking & Finance, 23(5), p. 727-753.
17. CHIANG, M.-H., & C.-Y. Wang (2002). The Impact of Futures Trading on Spot Index Volatility: Evidence from Taiwan Index Futures. Applied Economics Letters, 9(6), p. 381-385.
18. CHOI, H., & A. Subrahmanyam (1994). Using Intraday Data to Test for Effects of Index Futures on the Underlying Stock Markets. The Journal of Futures Markets, 14(3), p. 293-322.
19. COX, C. C. (1976). Futures Trading and Market Information. Journal of Political Economy, 84(6), p. 1215-1237.
20. DARRAT, A. F., & S. Rahman (1995). Has Futures Trading Activity Caused Stock Price Volatility? The Journal of Futures Markets, 15(5), p. 537-55
21. DEBASISH, S. S. (2009). An Econometric Analysis of the Lead-Lag Relationship between India's NSE Nifty and its Derivative Contracts. The Journal of Risk Finance, 10(4), p. 350-364.
22. DICKEY, D. A., & W. A. Fuller (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), p. 427-431.
23. DÜNYA BANKASI. (2012). http://data.worldbank.org/indicator/ CM.MKT. LCAP.CD, (Erişim: 15.01.2013).
24. EDWARDS, F. R. (1988). Futures Trading and Cash Market Volatility: Stock Index and Interest Rate Futures. Journal of Futures Markets, 8(4), p. 421 - 439.
25. ENGLE, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United. Econometrica, 50(4), p. 987- 1007.
26. GALLOWAY, T. M., & J. M. Miller (1997). Index Futures Trading and Stock Return Volatility: Evidence from the Introduction of Midcap 400 Index Futures. The Financial Review, 32(4), p. 845-866.
27. HARRIS, L. (1989). The October 1987 S&P 500 Stock-Futures Basis. The Journal of Finance, 44(1), p. 77-99.
28. HODGSON, A., & D. Nicholls (1991). The Impact of Index Futures Markets on Australian Sharemarket Volatility. Journal of Business Finance and Accounting, 18(2), p. 267-280.
29. HOLMES, P. (1996). Spot Price Volatility, Information and Futures Trading: Evidence from a Thinly Traded Market. Applied Economics Letters, 3(1), p. 63-66.
30. ILLUECA, M., & J. A. Lafuente (2003). The Effect of Spot and Futures Trading on Stock Index Volatility: A Non-parametric Approach. Journal of Futures Markets, 23(9), p. 841–858.
31. IST 30 ETF. (2013a). http://www.ist30.com/sayfa/imkb-30-endeksi, (Erişim: 16.01.2013).
32. IST 30 ETF. (2013b). http://www.ist30.com/sayfa/ist30-imkb-30-endekskapsami, (Erişim: 16.01.2013).
33. KAMARA, A., T. W. Miller, & A. F. Siegel (1992). The Effect of Futures Trading on the Stability of Standard and Poor 500 Returns. The Journal of Futures Markets, 12(6), p. 645-658.
34. KAN, A. C. (1997). The Effect of Index Futures Trading on Volatility of HSI Constituent Stocks: A Note. Pacific-Basin Finance Journal, 5(1), p. 105–114.
35. KASMAN, A., & S. Kasman (2008). The Impact of Futures Trading on Volatility of the Underlying Asset in the Turkish Stock Market. Physica A: Statistical Mechanics and its Applications, 387(12), p. 2837–2845.
36. LEE, S. B., & K. Y. Ohk (1992). Stock Index Futures Listing and Structural-Change In Time-Varying Volatility. Journal of Futures Markets, 12(5), p. 493 - 509.
37. LÜTKEPOHL, H., & M. Krätzig (2004). Applied Time Series Econometrics. Cambridge : Cambridge University Press.
38. MABERLY, E. D., D. S. Allen, & R. F. Gilbert (1989). Stock Index Futures and Cash Market Volatility. Financial Analysts Journal, 45(6), p. 75-77.
39. PERICLI, A., & G. Koutmos (1997). Index Futures and Options and Stock Market Volatility. The Journal of Futures Markets, 17(8), p. 957- 974.
40. PILAR, C., & S. Rafael (2002). Does Derivatives Trading Destabilize the Underlying Assets? Evidence from the Spanish Stock Market. Applied Economics Letters, 9(2), p. 107–110.
41. POK, W. C., & S. Poshakwale (2004). The Impact of the Introduction of Futures Contracts on the Spot Market Volatility: The Case of Kuala Lumpur Stock Exchange. Applied Financial Economics, 14(2), p. 143- 154.
42. RAHMAN, S. (2001). The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks. Journal of Futures Markets, 21(7), p. 633–653.
43. RYOO, H.-J., & G. Smith (2004). The Impact of Stock Index Futures on the Korean Stock Market. Applied Financial Economics, 14(4), p. 243– 251.
44. SANTONI, G. J. (1987). Has Programmed Trading Made Stock Prices More Volatile? Federal Reserve Bank of St. Louis Review, May 1987, p. 18-29.
45. SPYROU, S. I. (2005). Index Futures Trading and Spot Price Volatility: Evidence from an Emerging Market. Journal of Emerging Market Finance, 4(2), p. 151-167.
46. VADELİ İŞLEM VE OPSİYON BORSASI (VOB). (2013). http://www.vob.org.tr/VOBPortalTur/detailsPage.aspx?tabid=614, (Erişim: 23.01.2013)