Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul
نویسندگان
چکیده
USD/TRY döviz birimi Türkiye d?? ticaretine hâkim dövizdir. Bu makale spot ve türev piyasalar aras?nda biriminin etkile?imini incelemektedir. Veri seti 02.01.2014 - 31.12.2018 dönemini kapsayan günlük frekansl? verilerden olu?maktad?r. Piyasalar aras?ndaki etkile?im hem fiyat ke?fi de nedensellik çerçevesinde analiz edilmi?tir. Fiyat ke?if ölçütleri olarak Hasbrouck (1995) Bilgi Pay?, Gonzalo Granger Bile?en Pay? Putni?š (2013) Liderli?i kullan?lm??t?r. vadeli de?erlerinin fonksiyonuna sahip oldu?u noktas?nda uzla?? içerisindedir. Çal??ma sonucunda, de?erleri çift yönlü tespit Vadeli piyasadan piyasaya olan nedensellik, piyasalara nedensellikten daha güçlüdür.
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ژورنال
عنوان ژورنال: Sosyo ekonomi
سال: 2021
ISSN: ['1305-5577']
DOI: https://doi.org/10.17233/sosyoekonomi.2021.02.20