Vadeli Islem Sozlesmelerinde Vade Etkisi: Turkiye Ornegi

Eyup Kadioglu and Saim Kilic
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Saim Kilic: Istanbul Kemerburgaz Universitesi

Ege Academic Review, 2015, vol. 15, issue 3, 421-433

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.

Keywords: Vade etkisi; Samuelson hipotezi; Vadeli islem; Volatilite (search for similar items in EconPapers)
Date: 2015
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