The intraday lead-lag relationship of spot and futures markets in Turkey : co-integration and causality analyses

Abuk, Neşe
This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.


A Closer look at mutual fund performance in Turkey based on active peer benchmarks
Şanap, Aybars Furkan; Küçükkaya, Halit Engin; Department of Business Administration (2017)
This master's thesis aims to evaluate mutual fund performance in Turkey on a risk-adjusted basis with various approaches. First, commonly used Capital Asset Pricing Model (CAPM) and Carhart Four-Factor Model are employed for performance analysis. Then, active peer benchmarks (APB) are utilized to account for market-capitalization characteristics of portfolio stockholdings and to control commonalities in unsystematic risk-taking of different mutual funds. The empirical results are mixed for the sampled fifty...
The Determinants of Earning Differentials in Ankara and Istanbul
Akçomak, İbrahim Semih (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2003)
In this study, an attempt is made to compare and contrast the determinants of earnings differentials in Ankara and İstanbul. The determinants of earnings differentials are first examined with semi-logarithmic single equation models based on the basic human capital approach. Secondly, extended models are formed in which all the variables are expressed as dummy variables. In general, the average per hour earnings in İstanbul is higher than in Ankara. It is found that age, gender, education, job status and mar...
The sustainability analysis of Turkish domestic debt
Alkan, Feyza; Öcal, Nadir; Department of Economics (2009)
In this thesis, sustainability of the Turkish domestic debt is analyzed within the “sustainability indicators” perspective. The fiscal targets of Maastricht Treaty (1992) are imposed on the Turkish fiscal policy and it is investigated whether these targets are the indicators for sustainability in the medium term. Uctum and Wickens’ (2000) methodology is followed in assessing the sustainability of the current fiscal policy and the efficiency of the Maastricht Treaty (1992) targets. Moreover, the vector auto ...
The determinants of portfolio investments to Turkey : from 1989 to 2008
Günayer, Elif; Küçükkaya, Halit Engin; Department of Business Administration (2009)
This thesis analyzes the factors that determine the portfolio investments to Turkey in the period from 1989:04 to 2008:12. The factors that are examined are budget balance, current account balance, nominal exchange rate between the Turkish Lira and the US dollar, Turkish domestic interest rate, US 3-months Treasury Bill rate, annual inflation rate in Turkey and ISE 100 Index. A Vector Autoregressive Model is used for the purpose of examining the impacts of these variables on the level of portfolio investmen...
The determinants of capital flows: the turkish evidence
Kara, Serdar Ufuk; Özmen, Erdal; Department of Economics (2007)
This study investigates the domestic and external determinants of net capital flows to Turkey. The results of the Johansen cointegration analyses indicate that capital flows to Turkey increase in response to increases in domestic real interest rate, domestic real income growth, and budget balance; appreciation of domestic currency; and decreases in financial fragility and the US real interest rates. It can be said that, higher domestic real returns and improved country creditworthiness attract more foreign ...
Citation Formats
N. Abuk, “The intraday lead-lag relationship of spot and futures markets in Turkey : co-integration and causality analyses,” M.S. - Master of Science, Middle East Technical University, 2011.