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Full Length Research Paper
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The analysis
of the effects of derivatives exchange (DE) transactions on
the market efficiency of Istanbul stock exchange (ISE)
national 100 index and on spot market transaction prices
Ayhan Kapusuzoglu and Aslihan Tasdemir
Hacettepe University, Department of Business Administration,
06800 Beytepe – Ankara, Turkey.
*Corresponding author. E-mail:
ayhkap@gmail.com,
ayhkap@hacettepe.edu.tr, . Tel: 00 90 312 297 87
00. ext: 150. Fax: 00 90 312 299 20 55.
Accepted 11 November, 2009 |
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Abstract |
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The objective of this work is to study the ISE National 100
market efficiency on the forward transaction and option exchange
and its effect on the spot transaction prices by considering
in-depth the contracts being carried out on the basis of (DE)
Istanbul Stock Exchange (ISE) National 100 index in the Futures
Transaction and Option Exchange in Turkey and the ISE National
100 index. Within the context of this work, the analysis was
concluded by using the contractual prices being carried out in
the futures market as well as ISE National 100 index closing
values within the scope of the period of 01.11.2005 –
30.06.2009. At the end of the analysis, it has been determined
that both the futures market and also the ISE National 100 index
are efficient in a weak form and do not have any effect to
increase the market efficiency. Furthermore, during this work,
it has been established that, while it is expected that the
futures market would affect the spot market price, the spot
market price has affected the futures market price.
Key words:
Spot market, futures market, co-integration, granger causality. |
