The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

ERSAN ERSOY; ALİ BAYRAKDAROĞLU

Makale detayları

The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Yazarlar:

ERSAN ERSOY | ALİ BAYRAKDAROĞLU

Yayıncı:

Istanbul University

Dergi:

İstanbul Üniversitesi İşletme Fakültesi Dergisi 2013 Vol.42 Issue 1, pp.26-40

Belge Tipi:

Makale

Yayın Tarihi:

4/2013

Belge Dili:

İngilizce

Document ID (Org No.):

2000480571

Sıklık:

İki Yıllık

eISSN:

2630-5488

Özet:

 

The aimof this study is to investigate whether there is a lead-lag relationshipbetween spot and futures markets using daily closing prices belonging to theIstanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange(TurkDEX)-ISE 30 index future contracts. For the analysis, JohansenCointegration Test, Vector Error Correction Model and Granger Causality Testsare employed. The results of these tests have been reached that spot andfutures markets are cointegrated. But, there is not lead-lag relationshipbetween spot and futures markets; there is two-way causality between spot andfutures markets.

Makale detayları

The lead-lag relationship between ISE 30 index and the TURKDEX-ISE 30 index futures contracts

Yazarlar: ERSAN ERSOY | ALİ BAYRAKDAROĞLU

Yayıncı: Istanbul University

Dergi: İstanbul Üniversitesi İşletme Fakültesi Dergisi 2013 Vol.42 Issue 1, pp.26-40

Belge Tipi: Makale

Yayın Tarihi: 4/2013

Belge Dili: İngilizce

Document ID (Org No.): 2000480571

Sıklık: İki Yıllık

eISSN: 2630-5488

Sayı

Yazarlar:

ERSAN ERSOY | ALİ BAYRAKDAROĞLU

Yayıncı:

Istanbul University

Dergi:

İstanbul Üniversitesi İşletme Fakültesi Dergisi 2013 Vol.42 Issue 1, pp.26-40

Belge Tipi:

Makale

Yayın Tarihi:

4/2013

Belge Dili:

İngilizce

Document ID (Org No.):

2000480571

Sıklık:

İki Yıllık

eISSN:

2630-5488