Özet:

In this study, Borsa İstanbul 30 index futures expiration-day effects on underlying stock market is investigated. By examining the underlying market through futures expiration and comparison days for 2006 – 2012 period, although higher trading volume of underlying market is observed in some expiration days, it is reached that this increased volume is not statistically significant. Also, there is positive price effects during expiration days for whole period, but the finding is found that this price effect is not statistically significant. There is also no significant price reversals of underlying index associated to futures expiration day. However, the return volatility increases slightly but significantly in expiration days. These findings are consistent with the findings of Sweden, Spain, and Hong Kong markets which are also using expiration day average prices for final settlement procedures. This weak effect of expiration days can also be attributable that the Borsa İstanbul 30 futures market is dominated by individual traders whose arbitrage activities are limited comparing to institutional investors.

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