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Journals / Bankacılar / 2017 / Cilt: 28 - Sayı: 101

A Markov Regime Switching Approach to the Relationships Between Spot and Futures Markets

Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı

AYBEN KOY
Pages
70–87
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
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AI Summary & Key Takeaways

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

The study findings indicate that spot and futures markets have a mutual switching mechanism between regimes.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The financial markets which are observed with fast and frequent fluctuations, have many periods of growth and shrinkages.
📊
Key Findings & Data:The study examines the price changes of BIST 30 Price Index Futures since the establishment of the first organized futures markets in Turkey until the end of 2016 with daily observations (3,220 observations).
💡
Conclusion & Impact:The study findings indicate that spot and futures markets have a mutual switching mechanism between regimes.
🔬Design:Modeling & Simulation
📍Scope:2016 Verileri
⚙️Variables:Domain Parameters

Abstract

The financial markets which are observed with fast and frequent fluctuations, have many periods of growth and shrinkages. In this study, Markov Regime Switching Models which explain the switching behaviour between those periods by using the Markovian process are used. The study examines the price changes of BIST 30 Price Index Futures since the establishment of the first organized futures markets in Turkey until the end of 2016 with daily observations (3,220 observations). The relationship between the price changes of BIST 30 Price Index and Index Futures is described by Markov Regime Switching Vector Autoregressive Model. The study findings indicate that spot and futures markets have a mutual switching mechanism between regimes.

Özet

Hızlı ve sık dalgalanmaların yaşandığı finans piyasaları, çok sayıda daralma ve büyüme dönemleri yaşamaktadır. Bu çalışmada, ekonomilerin ve finans piyasalarının içinde bulunduğu dönemler arasındaki geçişleri, bir Markov Süreci ile açıklayan Markov Rejim Değişim Modelleri kullanılmıştır. Çalışma, BİST 30 Endeks Vadeli İşlem Sözleşmesinin fiyat değişimlerini, Türkiye'deki ilk organize vadeli piyasanın kuruluşundan 2016 yılı sonuna kadar günlük gözlemler (3.220 gözlem) ile incelemektedir. BİST 30 Fiyat Endeksi ve Endeks Vadeli İşlem Sözleşmeleri fiyat değişimleri arasındaki ilişki, Markov Rejim Değişim Vektör Otoregresif Modeli ile açıklanmaktadır. Çalışmanın sonuçları, spot ve vadeli piyasaların rejimler arasında ortak bir geçiş mekanizmasına sahip olduğunu göstermektedir.

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Cite This Article

KOY, A. (2017). A Markov Regime Switching Approach to the Relationships Between Spot and Futures Markets. Bankacılar, Cilt: 28 - Sayı: 101, 70–87. https://ajindex.com/articles/144500

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