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Journals / Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Volume: 9 Issue: 1

THE EFFECT OF INDIVIDUAL FUTURE CONTRACTS ON THE ABNORMAL RETURNS OF UNDERLYING STOCKS: EVIDENCE FROM BORSA ISTANBUL

VADELİ İŞLEM SÖZLEŞMELERİ'NİN HİSSE SENEDİ ANORMAL GETİRİLERİ ÜZERİNE ETKİSİ: BORSA İSTANBUL ÖRNEĞİ

Göksal Selahatdin Kelten(PAMUKKALE ÜNİVERSİTESİ)0000-0002-7273-7613
Aslı Aybars(MARMARA ÜNİVERSİTESİ)0000-0002-7899-2367
Pages
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Publication Date
2022-03-23
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The presence of statistically significant abnormal returns suggests that the Turkish stock market is not an efficient market in the semi-strong form.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study aims to shed light on the immediate stock price response to the introduction of individual future contracts (IFCs) in Borsa Istanbul and make a general assessment of the Turkish stock market efficiency.
📊
Key Findings & Data:In this context, as of June 2020, all 37 stocks traded in the futures market are included in the study.
💡
Conclusion & Impact:The presence of statistically significant abnormal returns suggests that the Turkish stock market is not an efficient market in the semi-strong form.
🔬Design:Research Article
📍Scope:2020 Verileri
⚙️Variables:BIST · VIOP · Event Study

Abstract

This study aims to shed light on the immediate stock price response to the introduction of individual future contracts (IFCs) in Borsa Istanbul and make a general assessment of the Turkish stock market efficiency. In this context, as of June 2020, all 37 stocks traded in the futures market are included in the study. The first trading day of each contract in the futures market is accepted as an "event" and the abnormal returns of the underlying stocks are analyzed with event study analysis. According to the empirical results, there are statistically significant positive abnormal returns especially one day before the event. It means that the introduction of IFCs has statistically significant impacts on the abnormal returns of underlying stocks traded in the spot market. The presence of statistically significant abnormal returns suggests that the Turkish stock market is not an efficient market in the semi-strong form.

Özet

Bu çalışma, Borsa İstanbul'da hisse senedine dayalı vadeli sözleşmelerin işlem görmeye başlatılmasının dayanak hisse senedi fiyatına etkisine ışık tutmayı ve Türk hisse senedi piyasası etkinliğinin genel bir değerlendirmesini yapmayı amaçlamaktadır. Bu kapsamda 2020 Haziran ayı itibariyle vadeli işlemler piyasasında işlem gören 37 hissenin tamamı çalışmaya dahil edilmiştir. Vadeli işlem piyasasında her sözleşmenin ilk işlem günü bir "olay" olarak kabul edilmiş ve dayanak hisse senetlerinin anormal getirileri olay çalışması analiz yöntemi ile analiz edilmiştir. Ampirik sonuçlara göre, özellikle olaydan bir gün önce istatistiksel olarak anlamlı pozitif anormal getiriler bulunmaktadır. Bu durum, hisse senedine dayalı vadeli sözleşmelerin piyasaya sürülmesinin, spot piyasada işlem gören dayanak hisse senetlerinin anormal getirileri üzerinde istatistiksel olarak anlamlı etkileri olduğu anlamına gelmektedir. İstatistiksel olarak anlamlı anormal getirilerin varlığı, Türkiye hisse senedi piyasasının yarı güçlü formda etkin bir piyasa olmadığını göstermektedir.

🔖

Cite This Article

Kelten, G. S., Aybars, A. (2022). THE EFFECT OF INDIVIDUAL FUTURE CONTRACTS ON THE ABNORMAL RETURNS OF UNDERLYING STOCKS: EVIDENCE FROM BORSA ISTANBUL. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Volume: 9 Issue: 1. https://doi.org/10.30798/makuiibf.805179

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