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Journals / Sosyoekonomi / 2021 / Cilt: 29 - Sayı: 48

Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul

Vadeli ve Spot Kurlar Arasında Nedensellik ve Fiyat Keşfi: Borsa İstanbul Üzerine Ampirik Bir Analiz

Fatih GÜZEL
Pages
427–442
Publication Date
2021-04-28
DOI
—
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AI Summary & Key Takeaways

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

Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:USD/TRY foreign exchange rate is the dominant foreign exchange unit in the foreign trade volume of Turkey.
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Key Findings & Data:Thisstudy examines the interaction of the USD/TRY foreign exchange rates formed in the spot and the derivatives markets.
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Conclusion & Impact:Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.
🔬Design:Research Article
📍Scope:2014 Verileri
⚙️Variables:Döviz Kuru · Nedensellik · Fiyat Keşfi

Abstract

USD/TRY foreign exchange rate is the dominant foreign exchange unit in the foreign trade volume of Turkey. Thisstudy examines the interaction of the USD/TRY foreign exchange rates formed in the spot and the derivatives markets. The dataset consists of daily frequency data covering January 01, 2014 - December 31, 2018. The interaction between the markets is analysed in terms of price discovery and causality. Hasbrouck (1995) Information Share, Gonzalo and Granger (1995) Component Share, and Putniņš (2013) Information Leadership Share were used as price discovery measures. Price discovery measures agree that futures foreign exchange values have a price discovery function. As a result of the study, a bidirectional causality is determined between the spot and futures foreign exchange rates. Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.

Özet

USD/TRY döviz birimi Türkiye dış ticaretine hâkim dövizdir. Bu makale spot ve türev piyasalar arasında USD/TRY döviz biriminin etkileşimini incelemektedir. Veri seti 02.01.2014 - 31.12.2018 dönemini kapsayan günlük frekanslı verilerden oluşmaktadır. Piyasalar arasındaki etkileşim hem fiyat keşfi hem de nedensellik çerçevesinde analiz edilmiştir. Fiyat keşif ölçütleri olarak Hasbrouck (1995) Bilgi Payı, Gonzalo ve Granger (1995) Bileşen Payı ve Putniņš (2013) Bilgi Liderliği Payı kullanılmıştır. Fiyat keşif ölçütleri vadeli döviz değerlerinin fiyat keşif fonksiyonuna sahip olduğu noktasında uzlaşı içerisindedir. Çalışma sonucunda, spot ve vadeli döviz değerleri arasında çift yönlü nedensellik tespit edilmiştir. Vadeli piyasadan spot piyasaya olan nedensellik, spot piyasadan vadeli piyasalara olan nedensellikten daha güçlüdür.

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Cite This Article

GÜZEL, F. (2021). Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul. Sosyoekonomi, Cilt: 29 - Sayı: 48, 427–442. https://ajindex.com/articles/139286

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