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Vadeli Islem Sozlesmelerinde Vade Etkisi: Turkiye Ornegi

Author

Listed:
  • Eyup KADIOGLU

    (Sermaye Piyasasi Kurulu Denetleme Dairesi)

  • Saim KILIC

    (Istanbul Kemerburgaz Universitesi)

Abstract

Turkiye’de vade etkisi, diger adiyla Samuelson hipotezi, 02.01.2008-02.08.2013 doneminde Izmir Vadeli Islemler ve Opsiyon Borsasi’nda ve 05.08.2013-31.07.2014 doneminde Borsa Istanbul Vadeli Islem ve Opsiyon Piyasasi’nda islem goren Dolar ve Avro kuru, Altin, Borsa Istanbul Endeksi’ne ve tek paya dayali vadeli islem sozlesmelerinin gunluk getirilerinin varyanslari uzerinden test edilmistir. Turkiye’de vadeli islemler 2005 yilindan itibaren Izmir Vadeli Islemler ve Opsiyon Borsasi’nda ve 2013 Agustos’tan itibaren Borsa Istanbul Vadeli Islem ve Opsiyon Piyasasi’nda islem gormektedir. Turkiye’de 02.01.2008-31.07.2014 doneminde vadeli islem sozlesmelerinde Samuelson hipotezi desteklenmektedir. Turkiye’de 02.01.2008-31.07.2014 doneminde vadeye yaklastikca vadeli islem sozlesmelerinin volatilitesi artmaktadir.

Suggested Citation

  • Eyup KADIOGLU & Saim KILIC, 2015. "Vadeli Islem Sozlesmelerinde Vade Etkisi: Turkiye Ornegi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 15(3), pages 421-433.
    • Handle: RePEc:ege:journl:v:15:y:2015:i:3:p:421-433
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