Vadeli işlem ve opsiyon borsası'nın (Vob) piyasa verimliliğinin spot ve futures getiriler arasındaki dinamik bağıntının modellenmesi ile test edilmesi

Date

2015

Author

Öcal, Nadir
Öztek, Fatih Mehmet

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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In this project we employ multivariate GARCH models with smooth transition in conditional correlation to investigate market efficiency of Turkish Derivatives Exchange. For the period June 2005-August 2013, we model the dynamic return correlations of “stock index futures” and “currency futures” with their underlying spot returns to uncover the timing and reasons of deviations from perfect correlation. Besides, the role of global volatility, market specific volatility and market trends, which are thought to affect correlation levels, are examined. The empirical results imply that the conditional correlations of stock index futures have increasing trend and reach to 0.95 levels which reveal that the market is efficient. But for currency futures we cannot find evidence of upward trend, the structure of correlation has a dynamic nature and fluctuate around 0.65. Thus it is not enough to conclude that they are efficient or to conclude that they are inefficient.

Subject Keywords

Multivariate GARCH, Volatility, Smooth Transition Conditional Correlation (STCC), Derivatives Exchange, Market Efficiency

URI

https://app.trdizin.gov.tr/publication/project/detail/TVRRM01USXk
https://hdl.handle.net/11511/49992

Collections

Department of Economics, Project and Design