SPOT VE VADELİ İŞLEM FİYATLARININ VARYANSLARI ARASINDAKİ NEDENSELLİK TESTİ

Cevik, Emrah Ismail and Pekkaya, Mehmet (2007): SPOT VE VADELİ İŞLEM FİYATLARININ VARYANSLARI ARASINDAKİ NEDENSELLİK TESTİ. Published in: Dokuz Eylül İİBF Dergisi , Vol. 2, No. 22 (2007): pp. 49-66.

Abstract

Volatility in financial markets urges importance of risk management with respect to investors and especially firms. Information and interaction between spot and futures markets plays an important role on formation of market prices. In this study, causality and information flows are examined on spot and futures prices of ISE 100 Index, US Dollar, and Euro which are traded at Turkish Derivatives Exchange (VOB). Dynamic causality test that is originally created by Cheung and Ng (1996) is applied. Dynamic causality test results show that in the ISE 100 Index model spot prices affect futures prices and in the exchange model futures prices affect spot prices.

• Item Type: MPRA Paper
• English Title: Causality in variance test between spot and futures prices
• Language: Turkish
• Keywords: Dynamic causality, ARMA-GARCH, Correlation of spot-futures.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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