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İMKB 30 endeksi ile VOB-İMKB 30 endeks vadeli işlem sözleşmeleri arasındaki öncül-ardıl ilişkisi*

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

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Abstract (2. Language): 
The aim of this study is to investigate whether there is a lead-lag relationship between spot and futures markets using daily closing prices belonging to the Istanbul Stock Exchange 30 (ISE 30) Index and Turkish Derivatives Exchange (TurkDEX)-ISE 30 index future contracts. For the analysis, Johansen Cointegration Test, Vector Error Correction Model and causality tests are employed. The results of these tests have been reached that spot and futures markets are cointegrated. But, there is not lead-lag relationship between spot and futures markets; there is two-way causality between spot and futures markets.
Abstract (Original Language): 
Bu çalışmanın amacı, İMKB 30 endeksi ile VOB-İMKB 30 endeks vadeli işlem sözleşmelerinin günlük kapanış fiyatı verilerini kullanarak, spot ve vadeli işlem piyasaları arasındaki öncül-ardıl ilişkinin varlığını araştırmaktır. Analizlerde Johansen Eşbütünleşme testi, Vektör Hata Düzeltme Modeli ve nedensellik testleri kullanılmıştır. Yapılan analizler sonucunda iki piyasanın eşbütünleşik olduğu tespit edilmiştir. Fakat spot ve vadeli işlem piyasaları arasında bir öncül-ardıl ilişkisinin değil, iki yönlü nedensellik ilişkisinin olduğu görülmüştür.

REFERENCES

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