Download or read book Stock Index Arbitrage in the Turkish Market written by Ronald T. Slivka and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage is measured and decomposed into distinct contributions arising from commissions, fees, bid/offer spreads and stock loan costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification of the frequency for profitable executions net of all costs. The absence of profitable trades and the unusual persistence of BIST 30 futures priced below their costless theoretical fair value are explained by their position within zero arbitrage band thresholds. Decomposition and measurement of arbitrage cost elements confirms the identification for regulators of the need for policies to encourage continuing development of domestic stock loan capabilities that ultimately should improve futures pricing efficiency. The relative attractiveness of present BIST 30 index arbitrage is compared with that occurring a decade ago thereby contributing to the growing literature on the evolution of futures pricing efficiency in global markets after introduction of index futures.
Download or read book Intraday Lead Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.
Download or read book Economic Forces and Stock Markets Under Arbitrage Price Theory written by Muhammad Hasan Yilmiz and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our aim is to identify common risk factors among some pre-determined macroeconomic variables in a way that whether they are presented significant risk premiums in pricing equation that was given above. First we identified number of potential factors explaining returns in Turkish markets as suggested by Ross (1980) when presented APT. We found two factors were significantly explaining returns and then to find out which factor they are. we have used methodology of Chen, Roll, Ross (1986) where we have ranked portfolios according to size (market capitalization) and portfolio returns are calculated as log-returns. Our main results have showed that stock returns are exposed to systematic economic news that they are priced in accordance with their exposures. Those variables in our study are MP, DEI, BIST 100, BIST 30 and CG that must be given importance for considering their impact on stock returns.
Download or read book Arbitrage Pricing Theory written by Muhammad Mubeen and published by . This book was released on 2015 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Equilibrium models have been widely studied in finance literature especially with respect to asset pricing theories. Validity of CAPM and Preference of APT over CAPM has been interest of academia as well as professionals. This research investigates number of potential factors explaining returns in Turkish markets as suggested by Ross (1980) when presented APT. For this purpose data of Istanbul Stock All exchanges from January 1, 2003 to December 31, 2013 has been used all the listed companies have been considered for this purpose. Our results suggest that in most of portfolios made for purpose of this research has two significant factors explaining returns although most of portfolios were having three orthogonal factors. It was rare that three factors were significantly explaining returns but it was not investigated that what are those factors.
Download or read book The Impact of Derivatives on the Volatility of Turkish Stock Market written by Aysegul Cimen and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher liquidity and higher flexibility compared to spot markets make them attractive for investors. Besides, derivatives trading are crucial for financial system participants in order to diversify portfolio and minimise risks. The aim of this paper is to emphasize the importance of derivative securities by providing evidence from an emerging stock market, Turkey. In order to emphasize the need for derivatives in the Turkish market, the impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically analysed. Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model starting from its first trade day of January 2, 1997.
Download or read book The impact of stock index futures on stock market volatility in Turkey written by Shahd Ashraf El Gharby and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock index futures arbitrage and its effects on the stock market written by John Patrick Clegg and published by . This book was released on 1986 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Growing Pains written by Nazli Sila Alan and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzing the first seven years of trading in Turkish stock index futures (BIST 30) and contrasting that to the progress of Korean (KOSPI 200) and Taiwanese (TAIEX) markets, we find that BIST 30 initially experiences a persistent mispricing and speculative trading similar to KOSPI 200 but it also experiences the largest increase in hedge effectiveness, becoming hedger-dominated similar to TAIEX. Most significantly, we demonstrate that spot market short-sell quote volume is a good measure of short-sale constraints and a significant determinant of mispricing in BIST 30. A methodological contribution of this paper is a four-equation multivariate VAR framework to analyze the volatility impact of futures.
Download or read book The Impact of Stock Index Arbitrage on Equity Markets written by Swati Bhatt and published by . This book was released on 1987 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Microstructure of the Turkish Stock Market written by Sadettin Aydin Yuksel and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Index Futures written by Floyd Jerome Gould and published by . This book was released on 1987 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Behavior and Effects of Foreign Investors on Istanbul Stock Exchange written by Can Adabag and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the effects of foreign investors on the Istanbul Stock Exchange (ISE), as well as their behavior when trading on the Turkish stock market. Using a VAR model with net foreign portfolio inflow and US Dollar returns of ISE as endogenous variables, we show that there is a monthly contemporaneous relationship between these variables, and therefore when foreign investors enter the Turkish market, the ISE index raises contemporaneously, and vice-versa. However, this cannot be considered as a long-run process of base broadening, since net foreign portfolio inflow and the first difference of Foreign Portfolio Holdings are stationary over the period analyzed. Evidence of negative feedback trading was found, suggesting that these investors adopt contrarian strategies when trading in the Turkish market. This behavior is not in line with the results of previous empirical studies, which either found no feedback trading, or evidence of positive feedback trading. Also, we found no price pressure effect created by foreign investors. We give robustness to our results through the use of control variables and different lag-structure specifications. Therefore, on the basis of our findings, foreign investors cannot be blamed for causing instability in Turkey. On the contrary, the negative feedback strategy tends to smooth market movements instead of exacerbating them. In this way, foreign equity investment seems to be beneficial to the Turkish stock market.
Download or read book Weather Effect written by Ekrem Tufan and published by . This book was released on 2004 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market anomalies in stock markets should be related to investors' trading strategies, which are based on their psychologies along with other factors. The fact that some weather variables affect investor's performance and mood can also affect market prices substantially.In this study it is being investigated if the cloudy days cause Istanbul Stock Exchange 100 Index (ISE 100 Index) returns and the weak form efficiency for ISE a different approach. It has been found that cloudy days do not cause ISE 100 Index returns and also found evidence of weak form efficiency for Turkish stock market.
Download or read book An Examination of an Emerging Stock Exchange written by Ayşe Yüce and published by Sermaye Piyasas Kurulu. This book was released on 1996-01-01 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage Opportunities in the Swedish Stock Index Spot and Derivatives Markets written by Krister Rindell and published by . This book was released on 1989 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Exchange Rates on Stock Markets in Turkey written by Mustafa Çakir and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this chapter we investigate the asymmetric impact of exchange rates on three major stock market indices in Turkey using four different ARDL models between 2003M1 and 2018M12. This chapter also attempts to differentiate the short-run and the long-run relationship between exchange rates and stock market indices namely BIST All shares, BIST National 100 index, and BIST National 30 index. Our motivating question is whether the relationship between exchange rates and three major stock market indices are symmetric or asymmetric in Turkey? To answer this, we first use the linear bivariate and multivariate models assuming the effects are symmetric. We then use the non-linear bivariate and multivariate models to examine whether exchange rate have symmetric or asymmetric effects on selected stock stock market indices in Turkey. The findings show that exchange rates have asymmetric effects on all three major stock market indices both in the short and long run. When we look at the long-run, the currency appreciation has positive and significant impact on selected stock markets but currency depreciation does not have an effect. This finding is in line with the understanding that Turkish sectors heavily depends on the import of raw and intermediate goods. The results also show that the economic activity has positive and significant effects on all stock markets implying that it is the main determinant in the long-run. Moreover, interest rates and volatility index were negative and significant in all markets. Thus, it has important implications for policy makers to provide stable prices and diverse investors.
Download or read book Stock Index Futures Arbitrage and Intraday Tests of Market Efficiency written by Jae Ha Lee and published by . This book was released on 1988 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
