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TÜRKİYE’DE ALTIN SPOT VE VADELİ PİYASALARIN ETKİLEŞİMİ

Yıl 2020, Cilt: 19 Sayı: Temmuz 2020(Özel Ek) - Prof. Dr. Sabri ORMAN Özel Sayısı, 295 - 309, 31.07.2020

Necla İlter Küçükçolak Mustafa Kemal Yılmaz Emine Mukaddes Ayyıldız

Öz

Bu çalışma, Borsa İstanbul ve ABD Ticaret Borsası'nda işlem gören USD/Ons vadeli işlem sözleşmelerini referans gösterge olarak kullanarak altın spot ve türev piyasasının Türk sermaye piyasalarına katkısını 2011-2018 yılları arasındaki dönem için araştırmaktadır. Bu kapsamda çalışmada, Hata Düzeltme Modeli kullanılarak altın vadeli işlem piyasasının devreye alınmasının piyasa verimliliğini ne yönde etkilediği ele alınmaktadır. Elde edilen sonuçlar, Borsa İstanbul’a işlem gören altın spot fiyatları ile vadeli işlem fiyatları arasında hem uzun hem de kısa vadede tek taraflı ve anlamlı bir ilişki olduğunu, spot piyasanın vadeli işlemler piyasasına önderlik ettiği ortaya koymaktadır. Ayrıca bulgular, altın piyasasında volatilitenin kalıcı bir etkisi olduğunu göstermektedir.

Anahtar Kelimeler

Altın Vadeli İşlemler Riskten Korunma Fiyat Keşfi

Destekleyen Kurum

Yok

Kaynakça

  • Ahmad, N., and Fun, C. H. S. (2016). Price discovery role and causal relationship between Malaysian gold futures prices and spot gold prices. Advanced Science Letters, 22, 4099-4103.
  • Arık, E. and Mutlu, E. (2014). Chinese steel market in post-futures period. Resources Policy, 42, 10-17.
  • Bank for International Settlement (2018). https://www.bis.org/statistics/d5_2.pdf. Accessed on December 12, 2018.
  • Bloomberg (2018). COMEX Gold Futures data. https://bloomberg.com.
  • Borsa Istanbul (2019). Accessed on April 14, 2019. https://www.borsaistanbul.com/veriler/verileralt/vadeli-islem-ve-opsiyon-piyasasi https://www.borsaistanbul.com/veriler/verileralt/kmtp https://www.borsaistanbul.com/data/kilavuzlar/VIOP-Gold-Futures.pdf)
  • Cox, C.C. (1976). Futures trading and market information. Journal of Political Economy, 84(6), 1215–1237.
  • Gupta, S., and Bhardwaj, S. (2018). Price discovery in Indian spot and futures markets of gold and silver. Research Review Journals, 3(8), 41-49
  • Jin, M., Li, Y., Wand, J., and Yang, Y.C. (2018). Price discovery in the Chinese gold market. Journal of Futures Markets 38, 1262-1281. https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21938. Accessed on December 12, 2018.
  • Kaldor, N. (1939). Speculation and economic stability. The Review of Economic Studies, 7(1), 1-27.
  • Kumar, S., Gupta, M., and Taneja Y.P. (2018). Empirical evidences on price discovery of gold in spot and derivative market of India. Journal of Management Sciences and Technology, 5(2), 109-126. https://www.apeejay.edu/aitsm/journal/docs/issue-feb-2018/ajmst050208.pdf. Accessed on December 12, 2018.
  • Kumar, M. and Sulphey, M.M. (2015). Investment option in gold - A study on price discovery of gold futures in India. Journal of Applied Management and Investments, 4 (4), 231-238.
  • Lafuente, J. A. (2002). Intraday return and volatility relationships between the IBEX 35 spot and futures markets. Spanish Economic Review, 4(3), 201-220.
  • Liyuan, (2009). The empirical study of the price relationship between China and America gold futures price. Economics Guiding Journal, 15(53), 53-54.
  • Miffre, J., and Brooks, C. (2013). Do long-short speculators destabilize commodity futures markets?. International Review of Financial Analysis, 30, 230-240. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2244526. Accessed on December 12, 2018.
  • Milunovich, G.I., and Joyeux, R. (2007). Market efficiency and price discovery in the EU carbon futures market. Macquarie Economics Research Papers, No. 1, Department of Economics, Macquarie University, Sydney. Available at https://ideas.repec.org/p/mac/wpaper/0701.html. Accessed on December 12, 2018.
  • Narayan, P.K., Narayan, S., and Sharma S.S. (2013). An analysis of commodity markets: What gain for investors? Journal of Banking and Finance 37, 3878-3889. https://pdfs.semanticscholar.org/72c2/841048c76de8a2c8ada8144a8eca2dba3980.pdf. Accessed on December 12, 2018.
  • Nicolau, M., Palomba G., and Traini,I. (2013). Are futures prices influenced by spot prices or vice-versa? An analysis of crude oil, natural gas and gold markets. https://www.researchgate.net/publication/259344836
  • Reichsfeld, D. A., and Roache, S. K. (2011). Do commodity futures help forecast spot prices? IMF Working Paper WP/11/254
  • Samna, M., and Sadar, A.R. (2018). Investigation of price discovery for gold futures market prices. India Gold Policy Center, IIMA-IGPC Conference on Gold and Gold Markets.
  • Srinivasan, P. (2012). Price discovery and volatility spillovers in Indian spot-futures commodity market. IUP Journal of Behavioral Finance, 9, 70-85
  • World Federation of Exchanges (2018). Available at https://www.world-exchanges.org/storage/app/media/uploadedfiles/WFE%202018%20FY%20Market%20Highlights%20FINAL%20PDF%20VERSION%2012.02.19.pdf. Accessed on May 19, 2019.
  • World Gold Council (2019). https://www.gold.org/goldhub/data/trading-volumes. Accessed on May 19, 2019.
  • Xu, C., Norden, L.I, and Hagströmer, B. (2010). Alchemy in the 21st century: Hedging with gold futures. SSRN Electronic Journal 19, 1-48. https://pdfs.semanticscholar.org/c2d2/3a33cff45bc6419e86a4cb6ca35975c67463.pdf. Accessed on December 12, 2018

GOLD SPOT AND DERIVATIVES MARKETS INTERACTION IN TURKISH FINANCIAL MARKETS

Yıl 2020, Cilt: 19 Sayı: Temmuz 2020(Özel Ek) - Prof. Dr. Sabri ORMAN Özel Sayısı, 295 - 309, 31.07.2020

Necla İlter Küçükçolak Mustafa Kemal Yılmaz Emine Mukaddes Ayyıldız

Öz

This study explores the impact of gold derivatives market on the market efficiency of the Turkish financial markets over 2011-2018 period. The study uses price series of USD/Ons spot and futures contracts traded in Borsa Istanbul and US Commodity Exchange as reference indicators and employs the Vector Error Correction Model. The study results reveal that there is a significant unilateral relationship between the gold spot and derivatives markets, the spot market prices leading the derivative market both in the long and short run. The findings also show that there is a persistent influence of volatility in the gold market.

Anahtar Kelimeler

Gold Futures Hedging Price Discovery

Kaynakça

  • Ahmad, N., and Fun, C. H. S. (2016). Price discovery role and causal relationship between Malaysian gold futures prices and spot gold prices. Advanced Science Letters, 22, 4099-4103.
  • Arık, E. and Mutlu, E. (2014). Chinese steel market in post-futures period. Resources Policy, 42, 10-17.
  • Bank for International Settlement (2018). https://www.bis.org/statistics/d5_2.pdf. Accessed on December 12, 2018.
  • Bloomberg (2018). COMEX Gold Futures data. https://bloomberg.com.
  • Borsa Istanbul (2019). Accessed on April 14, 2019. https://www.borsaistanbul.com/veriler/verileralt/vadeli-islem-ve-opsiyon-piyasasi https://www.borsaistanbul.com/veriler/verileralt/kmtp https://www.borsaistanbul.com/data/kilavuzlar/VIOP-Gold-Futures.pdf)
  • Cox, C.C. (1976). Futures trading and market information. Journal of Political Economy, 84(6), 1215–1237.
  • Gupta, S., and Bhardwaj, S. (2018). Price discovery in Indian spot and futures markets of gold and silver. Research Review Journals, 3(8), 41-49
  • Jin, M., Li, Y., Wand, J., and Yang, Y.C. (2018). Price discovery in the Chinese gold market. Journal of Futures Markets 38, 1262-1281. https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.21938. Accessed on December 12, 2018.
  • Kaldor, N. (1939). Speculation and economic stability. The Review of Economic Studies, 7(1), 1-27.
  • Kumar, S., Gupta, M., and Taneja Y.P. (2018). Empirical evidences on price discovery of gold in spot and derivative market of India. Journal of Management Sciences and Technology, 5(2), 109-126. https://www.apeejay.edu/aitsm/journal/docs/issue-feb-2018/ajmst050208.pdf. Accessed on December 12, 2018.
  • Kumar, M. and Sulphey, M.M. (2015). Investment option in gold - A study on price discovery of gold futures in India. Journal of Applied Management and Investments, 4 (4), 231-238.
  • Lafuente, J. A. (2002). Intraday return and volatility relationships between the IBEX 35 spot and futures markets. Spanish Economic Review, 4(3), 201-220.
  • Liyuan, (2009). The empirical study of the price relationship between China and America gold futures price. Economics Guiding Journal, 15(53), 53-54.
  • Miffre, J., and Brooks, C. (2013). Do long-short speculators destabilize commodity futures markets?. International Review of Financial Analysis, 30, 230-240. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2244526. Accessed on December 12, 2018.
  • Milunovich, G.I., and Joyeux, R. (2007). Market efficiency and price discovery in the EU carbon futures market. Macquarie Economics Research Papers, No. 1, Department of Economics, Macquarie University, Sydney. Available at https://ideas.repec.org/p/mac/wpaper/0701.html. Accessed on December 12, 2018.
  • Narayan, P.K., Narayan, S., and Sharma S.S. (2013). An analysis of commodity markets: What gain for investors? Journal of Banking and Finance 37, 3878-3889. https://pdfs.semanticscholar.org/72c2/841048c76de8a2c8ada8144a8eca2dba3980.pdf. Accessed on December 12, 2018.
  • Nicolau, M., Palomba G., and Traini,I. (2013). Are futures prices influenced by spot prices or vice-versa? An analysis of crude oil, natural gas and gold markets. https://www.researchgate.net/publication/259344836
  • Reichsfeld, D. A., and Roache, S. K. (2011). Do commodity futures help forecast spot prices? IMF Working Paper WP/11/254
  • Samna, M., and Sadar, A.R. (2018). Investigation of price discovery for gold futures market prices. India Gold Policy Center, IIMA-IGPC Conference on Gold and Gold Markets.
  • Srinivasan, P. (2012). Price discovery and volatility spillovers in Indian spot-futures commodity market. IUP Journal of Behavioral Finance, 9, 70-85
  • World Federation of Exchanges (2018). Available at https://www.world-exchanges.org/storage/app/media/uploadedfiles/WFE%202018%20FY%20Market%20Highlights%20FINAL%20PDF%20VERSION%2012.02.19.pdf. Accessed on May 19, 2019.
  • World Gold Council (2019). https://www.gold.org/goldhub/data/trading-volumes. Accessed on May 19, 2019.
  • Xu, C., Norden, L.I, and Hagströmer, B. (2010). Alchemy in the 21st century: Hedging with gold futures. SSRN Electronic Journal 19, 1-48. https://pdfs.semanticscholar.org/c2d2/3a33cff45bc6419e86a4cb6ca35975c67463.pdf. Accessed on December 12, 2018
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makaleleri
Yazarlar

Necla İlter Küçükçolak 0000-0002-7097-5423

Mustafa Kemal Yılmaz 0000-0001-6036-0559

Emine Mukaddes Ayyıldız 0000-0002-5183-0480

Yayımlanma Tarihi 31 Temmuz 2020
Gönderilme Tarihi 4 Temmuz 2020
Kabul Tarihi 27 Temmuz 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 19 Sayı: Temmuz 2020(Özel Ek) - Prof. Dr. Sabri ORMAN Özel Sayısı

Kaynak Göster

APA İlter Küçükçolak, N., Yılmaz, M. K., & Ayyıldız, E. M. (2020). GOLD SPOT AND DERIVATIVES MARKETS INTERACTION IN TURKISH FINANCIAL MARKETS. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(Temmuz 2020(Özel Ek), 295-309.
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