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Vadeli ve Spot Piyasalar Arasında Nedensellik İlişkisi: Borsa İstanbul Örneği
2019
Journal:  
Akademik İzdüşüm Dergisi
Author:  
Abstract:

Bu çalışmanın amacı vadeli işlem piyasaları ile spot piyasa arasındaki ilişkiyi ortaya koymaktır. Bu amaçla BIST 30 Endeksi vadeli işlem sözleşmeleri ile spot pay piyasasından seçilen endekslerin, 29.06.2012-08.03.2018 dönemine ait günlük kapanış verileri ile vadeli ve spot piyasalar arasındaki nedensellik ilişkisi araştırılmıştır. Sonuç olarak vadeli piyasalardan spot piyasalara doğru Granger nedensellik bulunmadığı ancak spot piyasalardan olan BIST100, BIST 30 ve BIST Banka endekslerinden vadeli piyasalara doğru Granger nedensellik ilişkisi bulunduğu belirlenmiştir. 

Keywords:

Vadeli ve Spot Piyasalar Arasında Nedensellik İlişkisi: Borsa İstanbul Örneği
2019
Journal:  
Akademik İzdüşüm Dergisi
Author:  
Abstract:

The aim of this study is to reveal the relationship between the long-term trading markets and the spot market. For this purpose, the BIST 30 Index has studied the causal relationship between the deadline trading contracts and the index selected from the spot share market, the daily closing data for the period of 29.06.2012-08.03.2018 and the deadline and spot markets. As a result, it is determined that there is no Granger causality from the deadline markets to the spot markets but there is a Granger causality relationship from the spot markets BIST100, BIST 30 and BIST Bank Indices to the deadline markets.

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Akademik İzdüşüm Dergisi

Journal Type :   Ulusal

Metrics
Article : 148
Cite : 642
2023 Impact : 0.313
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Akademik İzdüşüm Dergisi