GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS

Necla İ. KÜÇÜKÇOLAK, (Türk Ticaret Borsası, Türkiye)
Mustafa K. YILMAZ, (İbn Haldun Üniversitesi, İşletme Fakültesi, İstanbul, Türkiye)
E. Mukaddes AYYILDIZ (İbn Haldun Üniversitesi, İşletme Enstitüsü, İstanbul, Türkiye)
Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi
3 0
Yıl: 2020 Cilt: 19 Sayı: Özel Ek Sayfa Aralığı: 395 - 309 Metin Dili: İngilizce İndeks Tarihi: 05-05-2021

GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS

Öz:
This study exploresthe impactof gold derivativesmarket on the market efficiency of the Turkish financialmarketsover 2011-2018period. The study uses price series of USD/Ons spot and futures contractstraded in Borsa Istanbul and US Commodity Exchange as reference indicatorsand employsthe Vector Error Correction Model.The study results reveal that there is a significantunilateralrelationship between the gold spot and derivativesmarkets, the spotmarketprices leading the derivative market both in the long and short run.The findingsalso show that there is a persistent influenceof volatility inthe gold market.
Anahtar Kelime:

TÜRKİYE’DE ALTIN SPOT VE VADELİ PİYASALARIN ETKİLEŞİMİ

Öz:
Bu çalışma, Borsa İstanbul ve ABD Ticaret Borsası'nda işlem gören USD/Ons vadeli işlem sözleşmelerini referans göstergealarak altın spot ve türev piyasasının Türk sermaye piyasalarına katkısını2011-2018 yılları arasındaki dönem için araştırmaktadır. Bu kapsamda çalışmada, Hata Düzeltme Modeli kullanılarak altın vadeli işlempiyasasının devreye alınmasının piyasa verimliliğini ne yönde etkilediği ele alınmaktadır. Elde edilen sonuçlar, Borsa İstanbul’da işlem gören altın spot fiyatları ile vadeli işlem fiyatları arasında hem uzun hem de kısa vadede tek taraflı ve anlamlı bir ilişki olduğunu, spot piyasanın vadeli işlemler piyasasına önderlik ettiğiniortaya koymaktadır. Ayrıcabulgular, altın piyasasında volatilitenin kalıcı bir etkisi olduğunu da göstermektedir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Ahmad, N., and Fun, C. H. S. (2016). Price Discovery Role and Causal Relationship Between Malaysian Gold Futures Prices And Spot Gold Prices. Advanced Science Letters, 22, 4099-4103.
  • Arık, E. and Mutlu, E. (2014). Chinese Steel Market in Post-Futures Period. Resources Policy, 42, 10-17.
  • Bank for International Settlement (2018). https://www.bis.org/statistics/d5_2.pdf. Accessed on December 12, 2018.
  • Bloomberg (2018). COMEX Gold Futures Data. https://bloomberg.com.
  • Borsa Istanbul (2019). Accessed on April 14, 2019. https://www.borsaistanbul.com/veriler/verileralt/vadeli-islem-ve-opsiyon-piyasasi https://www.borsaistanbul.com/veriler/verileralt/kmtp https://www.borsaistanbul.com/data/kilavuzlar/VIOP-Gold-Futures.pdf)
  • Cox, C.C. (1976). Futures Trading And Market Information. Journal of Political Economy, 84(6), 1215–1237.
  • Gupta, S., and Bhardwaj, S. (2018). Price Discovery In Indian Spot And Futures Markets Of Gold And Silver. Research Review Journals, 3(8), 41-49
  • Jin, M., Li, Y., Wand, J., and Yang, Y.C. (2018). Price Discovery in The Chinese Gold Market. Journal of Futures Markets 38, 1262-1281. https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21938. Accessed on December 12, 2018.
  • Kaldor, N. (1939). Speculation and Economic Stability. The Review of Economic Studies, 7(1), 1-27.
  • Kumar, S., Gupta, M., and Taneja Y.P. (2018). Empirical Evidences On Price Discovery Of Gold In Spot And Derivative Market Of India. Journal of Management Sciences and Technology, 5(2), 109-126. https://www.apeejay.edu/aitsm/journal/docs/issue-feb-2018/ajmst050208.pdf. Accessed on December 12, 2018.
  • Kumar, M. and Sulphey, M.M. (2015). Investment Option In Gold - A Study On Price Discovery Of Gold Futures In India. Journal of Applied Management and Investments, 4 (4), 231-238.
  • Lafuente, J. A. (2002). Intraday Return And Volatility Relationships Between The IBEX 35 Spot And Futures Markets. Spanish Economic Review, 4(3), 201-220.
  • Liyuan, (2009). The Empirical Study Of The Price Relationship Between China And America Gold Futures Price. Economics Guiding Journal, 15(53), 53-54.
  • Lkhamazhapov, Z. (2013). The volatility of gold spot and futures prices: A comparison between Russian and Turkish futures markets (Doctoral dissertation, DEÜ Sosyal Bilimleri Enstitüsü). https://www.researchgate.net/publication/305363783_The_ Volatility_Dynamics_of_Spot_and_Futures_Gold_Prices_Evidence_from_Russia. Accessed on July 21, 2020.
  • Milunovich, G.I., and Joyeux, R. (2007). Market Efficiency And Price Discovery In The EU Carbon Futures Market. Macquarie Economics Research Papers, No. 1, Department of Economics, Macquarie University, Sydney. Available at https://ideas.repec.org/p/mac/wpaper/0701.html. Accessed on December 12, 2018.
  • Narayan, P.K., Narayan, S., and Sharma S.S. (2013). An Analysis Of Commodity Markets: What Gain For Investors? Journal of Banking and Finance 37, 3878-3889. https://pdfs.semanticscholar.org/72c2/841048c76de8a2c8ada8144a8eca2dba3980.pdf. Accessed on December 12, 2018.
  • Nicolau, M., Palomba G., and Traini,I. (2013). Are Futures Prices Influenced By Spot Prices Or Vice-Versa? An Analysis Of Crude Oil, Natural Gas And Gold Markets. https://www.researchgate.net/publication/259344836. Accessed on May 19, 2019.
  • Özdemir L. (2020). Türkiye’de altın spot ve vadeli işlem piyasaları arasındaki eşbütünleşme ve nedensellik ilişkisi. Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 11(2), 474-483.
  • Reichsfeld, D. A., and Roache, S. K. (2011). Do Commodity Futures Help Forecast Spot Prices? IMF Working Paper WP/11/254
  • Samna, M., and Sadar, A.R. (2018). Investigation Of Price Discovery For Gold Futures Market Prices. India Gold Policy Center, IIMA-IGPC Conference on Gold and Gold Markets.
  • Srinivasan, P. (2012). Price Discovery And Volatility Spillovers In Indian SpotFutures Commodity Market. IUP Journal of Behavioral Finance, 9, 70-85 Takasbank web site. Accessed on April 14, 2019. https://www.takasbank.com.tr/tr/istatistikler/kaldiracli-alim-satim-islemleri-kasi
  • World Federation of Exchanges (2018). Available at https://www.worldexchanges.org/storage/app/media/uploadedfiles/WFE%202018%20FY%20Market%20H ighlights%20FINAL%20PDF%20VERSION%2012.02.19.pdf. Accessed on May 19, 2019.
  • World Gold Council (2020). https://www.gold.org/goldhub/data/trading-volumes. Accessed on June 30, 2020.
  • Xu, C., Norden, L.I, and Hagströmer, B. (2010). Alchemy In The 21st Century: Hedging With Gold Futures. SSRN Electronic Journal 19, 1-48. https://pdfs.semanticscholar.org/c2d2/3a33cff45bc6419e86a4cb6ca35975c67463.pdf. Accessed on December 12, 2018
APA İLTER KÜÇÜKÇOLAK N, Yilmaz M, Ayyıldız E (2020). GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. , 395 - 309.
Chicago İLTER KÜÇÜKÇOLAK Necla,Yilmaz Mustafa Kemal,Ayyıldız Emine Mukaddes GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. (2020): 395 - 309.
MLA İLTER KÜÇÜKÇOLAK Necla,Yilmaz Mustafa Kemal,Ayyıldız Emine Mukaddes GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. , 2020, ss.395 - 309.
AMA İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. . 2020; 395 - 309.
Vancouver İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. . 2020; 395 - 309.
IEEE İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E "GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS." , ss.395 - 309, 2020.
ISNAD İLTER KÜÇÜKÇOLAK, Necla vd. "GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS". (2020), 395-309.
APA İLTER KÜÇÜKÇOLAK N, Yilmaz M, Ayyıldız E (2020). GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(Özel Ek), 395 - 309.
Chicago İLTER KÜÇÜKÇOLAK Necla,Yilmaz Mustafa Kemal,Ayyıldız Emine Mukaddes GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi 19, no.Özel Ek (2020): 395 - 309.
MLA İLTER KÜÇÜKÇOLAK Necla,Yilmaz Mustafa Kemal,Ayyıldız Emine Mukaddes GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, vol.19, no.Özel Ek, 2020, ss.395 - 309.
AMA İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi. 2020; 19(Özel Ek): 395 - 309.
Vancouver İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS. Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi. 2020; 19(Özel Ek): 395 - 309.
IEEE İLTER KÜÇÜKÇOLAK N,Yilmaz M,Ayyıldız E "GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS." Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19, ss.395 - 309, 2020.
ISNAD İLTER KÜÇÜKÇOLAK, Necla vd. "GOLDSPOT AND DERIVATIVESMARKETS INTERACTIONIN TURKISH FINANCIAL MARKETS". Istanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi 19/Özel Ek (2020), 395-309.
Sayfa Oluşturulma Tarihi
17-04-2024 19:11

İLETİŞİM

TÜBİTAK ULAKBİM TR Dizin

Yüzüncüyıl, İşçi Blokları Mahallesi

Muhsin Yazıcıoğlu Caddesi No:51/C

06530 Çankaya / ANKARA +90 (312) 298 92 00

trdizin@tubitak.gov.tr

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © Tüm Hakları Saklıdır. Gizlilik Politikası Kullanım Şartları