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İMKB-30 ENDEKSİ VE VOB İMKB-30 ENDEKS SÖZLEŞMELERİ ARASINDAKİ ARBİTRAJ OLANAKLARININ TAŞIMA MALİYETİ YÖNTEMİ İLE DEĞERLENDİRİLMESİ

EVALUATION OF THE POSSIBILITY OF ARBITRAGE OPPORTUNITIES BETWEEN ISE-30 INDEX AND TURKDEX ISE-30 INDEX WITH COST OF CARRY METHOD

Journal Name:

  • Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2013

Key Words:

Keywords (Original Language):

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Abstract (2. Language): 
If there is difference between futures prices and spot prices for a product, arbitrage transaction is made between spot and futures market. In this study, the possibility of arbitrage opportunities between traded on the ISE-30 index and TurkDEX ISE-30 index was investigated for second period of 2011. Cost of carry model was used in this study. In addition, intra-day price and index data were used as data. As a result, arbitrage opportunities between markets based on the period is seen that a small number. This situation shows that, there are significant interactions between markets and limited arbitrage opportunities. In addition, within the framework of our study, we can say that there is considerable efficiency in this market trading volume high.
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Abstract (Original Language): 
Spot ve vadeli piyasa arasındaki arbitraj işlemleri, spot ürüne ilişkin teorik vadeli fiyatlar ile mevcut vadeli fiyatlar arasında farklılık bulunması durumunda söz konusu olmaktadır. Bu çalışmada, 2011 yılı ikinci yarısına ait İMKB-30 endeksi ve VOB'da işlem gören İMKB-30 endeksine dayalı vadeli işlem sözleşmesi arasındaki arbitraj imkanı gün içi fiyat ve endeks verileri kullanılarak taşıma maliyeti modeli çerçevesinde incelenmiştir. Sonuç itibariyle, iki piyasa arasında arbitraj olanaklarının esas alınan dönem açısından az sayıda olduğu görülmektedir. Bu durum iki piyasa arasındaki etkileşimin önemli ölçüde var olduğunu ve arbitraj olanaklarının sınırlı olduğunu göstermektedir. Ayrıca, bu çalışmada VOB Endeks sözleşmeleri esas alınmış olup, işlem hacminin yüksek olduğu bu piyasada etkinliğin önemli ölçüde var olduğu yapılan çalışma çerçevesinde söylenilebilir.
FULL TEXT (PDF): 
PDF icon arastirmax-imkb-30-endeksi-vob-imkb-30-endeks-sozlesmeleri-arasindaki-arbitraj-olanaklarinin-tasima-maliyeti-yontemi-ile-degerlendirilmesi.pdf
  • 2
138
149
  • Turkish

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REFERENCES

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