SavedAdd your journal

Journals / Dumlupınar Üniversitesi Sosyal Bilimler Dergisi / 2015 / Cilt: 0 - Sayı: 44

THE IMPACT OF EXCHANGE TRADED FUNDS ON THE LONG TERM RELATIONSHIP OF INDEX MARKETS: AN EMPRICAL ANALYSIS ON THE ISE-30 INDEX

BORSA YATIRIM FONLARININ ENDEKS PİYASALARDA UZUN DÖNEMLİ İLİŞKİ ÜZERİNDEKİ ETKİSİ: İMKB-30 ENDEKSİ ÜZERİNE BİR UYGULAMA

Ferit KARAHAN
M. Mesut KAYALI
Pages
129–138
Publication Date
2022-10-11
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

We used cointegration test, vector error correction model and Granger VECM tests toexamine long term lead-lag relationship between spot and futures index markets before and after the inception of IST30 ETF.Consistent with our first hypothesis, we find long term lead-lag relationship and index futures lead spot index in both periods.This result is compatible with theoretical arguments of Subrahmanyam (1991) and Gorton and Pennacchi (1993).

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines how the inception of IST30 Exchange Traded Funds on April 7, 2009 impacts the long termlead-lag relationship between ISE-30 spot and futures index markets in Turkey.
📊
Key Findings & Data:Using detailed data from Borsa Istanbul, we formtwo periods before and after the introduction of IST30 ETF.
💡
Conclusion & Impact:We used cointegration test, vector error correction model and Granger VECM tests toexamine long term lead-lag relationship between spot and futures index markets before and after the inception of IST30 ETF.Consistent with our first hypothesis, we find long term lead-lag relationship and index futures lead spot index in both periods.This result is compatible with theoretical arguments of Subrahmanyam (1991) and Gorton and Pennacchi (1993).
🔬Design:Modeling & Simulation
📍Scope:2009 Verileri
⚙️Variables:Domain Parameters

Abstract

This study examines how the inception of IST30 Exchange Traded Funds on April 7, 2009 impacts the long termlead-lag relationship between ISE-30 spot and futures index markets in Turkey. Using detailed data from Borsa Istanbul, we formtwo periods before and after the introduction of IST30 ETF. First period includes 427 days before and second period includes 548days after introduction of IST30 ETF. We used cointegration test, vector error correction model and Granger VECM tests toexamine long term lead-lag relationship between spot and futures index markets before and after the inception of IST30 ETF.Consistent with our first hypothesis, we find long term lead-lag relationship and index futures lead spot index in both periods.This result is compatible with theoretical arguments of Subrahmanyam (1991) and Gorton and Pennacchi (1993).

Özet

Bu çalışma, Türkiye endeks piyasalarında 7 Nisan 2009 tarihinde işlem görmeye başlayan IST30 Borsa YatırımFonunun İMKB-30 spot ve vadeli endeks piyasalara olan uzun dönemli öncül ardıl ilişkisine etkisini araştırmaktadır.Araştırmada, fonun işlem öncesi ve sonrası olmak üzere iki dönem kurgulanmıştır. Fon öncesi dönemde 427, fon sonrasıdönemde ise 548 günlük kapanış değerleri araştırma verilerini oluşturmaktadır. Spot ve vadeli endeks işlemler arasındaki uzundönemli öncül ardıl ilişkisinin test edilmesinde eşbütünleşme testi, VECM ve Granger VECM analizleri kullanılmıştır. Çalışmadauzun dönemde endeksler arasında bir öncül ardıl ilişkinin varlığı ve fon sonrası dönemde de bu ilişkinin devam ettiği bulgusunaulaşılmıştır. Her iki dönemde de vadeli endeks piyasaları spot endeks piyasalara öncülük etmektedir. Bu sonuç, Subrahmanyam(1991) ve Gorton ve Pennacchi (1993)nin teorik argümanlarıyla uyumludur.

🔖

Cite This Article

KARAHAN, F., KAYALI, M. M. (2022). THE IMPACT OF EXCHANGE TRADED FUNDS ON THE LONG TERM RELATIONSHIP OF INDEX MARKETS: AN EMPRICAL ANALYSIS ON THE ISE-30 INDEX. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Cilt: 0 - Sayı: 44, 129–138. https://ajindex.com/articles/492864

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (12)

  1. Ackert, L. F., ve Tian, Y. (2000). Arbitrage and valuation in the market for standard and poor's depositary receipts. Financial Management, s. 71-88.
  2. Akerlof, G. A. (1970, August). The Market for Lemons: Quality Uncertainty and Market Mechanism. The Ouarterly Journal of Economics, s. 488-500.
  3. Başdaş, Ü. (2009, October). Lead-Lag Relationship between the Spot Index and Futures Price for the Turkish Derivatives Exchange. SSRN Working Paper. Brooks, C. (2002). Introductory Econometrics for Finance. Cambridge University Press.
  4. Chu, Q. C., VE Hsieh, W.-L. G. (2002). Pricing efficiency of the S&P 500 index market evidence from the Standard & Poor's depositary receipts. The Journal of Futures Markets, s. 877–900. Chu, Q. C., ve KayalI, M. M. (2006). Standard & Poor’s Depositary Receipts and the Market Quality of S&P 500 Index Futures. Applied Econometrics and International Development, s. 107-120.
  5. ÇELİK, İ. (2012). Vadeli İşlem Piyasasında Fiyat Keşf i. İstanbul:
  6. İMKB. Deville, L. (2008). Exchange Traded Funds: History, Trading and Research. M. D. C. Zopounidis içinde, Handbook of Financial Engineering (s. 1-37). Paris: Dauphine University, CNRS, DRM-CEREG. De winne, R., GressE, C., ve Platten, I. (2009). How does the Introduction of an ETF Market with Liquidity Providers Impact the Liguidity of the Underlying Stocks? Economomics Papers f rom University Paris Dauphine. De winne, R., Gresse, C., ve Platten, I. (2011, June). Liquidity, Risk Sharing Benefits from the Introduction of an ETF. Working Paper. Edwards, F. R. (1988). Does Futures Trading Increases Stock Market Volatility? Financial Analysts Journal, s. 63-69.
  7. Elton, E. J., Gruber, M. J., Comer, G., ve Lİ, K. (2002, July). Spiders Where Are the Bugs. The Journal of Business, s. 453-472.
  8. Engle, R., VE Sarkar, D. (2006, Summer). Premiums-Discounts and Exchange Traded Funds. Journal of Derivatives, s. 27-45.
  9. Floros, C., ve Vougas, D. V. (2007). Lead-Lag Relationship between Futures and Spot Markets in Greece: 1999 - 2001. International Research Journal of Finance and Economics, s. 168-174.
  10. Fremault, A. (1991, October). Stock Index Futures and Index Arbitrage in a Rational Expectations Model. The Journal of Business, s. 523-547.
  11. Gastineau, G. (2001). An Introduction to Exchange Traded Funds. The Journal of Portf olio Management, 88-96.
  12. Gorton, G. B., ve Pennacchi, G. G. (1993, January). Security Baskets and Index-Linked Securities. The Journal of Business, s. 1- 27. Gozbasi, O., ve Erdem, E. (2010, Ocak). Are