The long-run relationship between the spot and futures markets under multiple regime-shifts: Evidence from Turkish derivatives exchange

ÇAĞLI E. Ç., EVRİM MANDACI P.

EXPERT SYSTEMS WITH APPLICATIONS, cilt.40, sa.10, ss.4206-4212, 2013 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 40 Sayı: 10
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.eswa.2013.01.026
  • Dergi Adı: EXPERT SYSTEMS WITH APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.4206-4212
  • Anahtar Kelimeler: Spot price, Futures price, Cointegration, Structural breaks, Market efficiency, LEAD-LAG RELATIONSHIP, UNIT-ROOT TESTS, OIL-PRICE SHOCK, STOCK INDEX, ERROR-CORRECTION, GREAT CRASH, COINTEGRATION, HYPOTHESIS, MODELS, CAUSALITY
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

The paper examines the long-run relationships between the spot and future prices of Istanbul Stock Exchange 30 index (ISE-30) and foreign currencies including the Turkish Lira-US Dollar (TL/USD) and Turkish Lira-Euro (TL/EUR). We analyze the weekly data covering the period from February 9, 2005 to October 17, 2012. Considering structural breaks is important for our analysis since our period consists of recent financial crisis. Therefore, we employ the unit root tests developed by Carrion-i-Silvestre et al. (2009) and the Maki's (2012) cointegration test allowing for an unknown number of breaks. We find that spot and the futures prices are cointegrated in the long-run after we consider structural breaks in our data. Our results indicate that the markets are efficient. (C) 2013 Elsevier Ltd. All rights reserved.