{"id":3080,"date":"2015-09-15T16:18:09","date_gmt":"2015-09-15T13:18:09","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3080"},"modified":"2016-01-14T16:51:39","modified_gmt":"2016-01-14T14:51:39","slug":"intraday-lead-lag-relationship-between-stock-index-and-stock-index-futures-markets-evidence-from-turkey-tr","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/intraday-lead-lag-relationship-between-stock-index-and-stock-index-futures-markets-evidence-from-turkey-tr","title":{"rendered":"Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey-tr"},"content":{"rendered":"\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\n\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nIntraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\n\u00a0Ersan Ersoy,\u00a0Levent \u00c7\u0131tak<\/td>\n<\/tr>\n
Cilt:<\/td>\n6<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n3<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2015<\/td>\n<\/tr>\n
Sayfa:<\/td>\n1-18<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore neither of the markets is dominant over the other one in the price formation process.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nLead-Lag relationship, price discovery, volatility relationship<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG13, G14, G15<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey Yazar(lar): \u00a0Ersan Ersoy,\u00a0Levent \u00c7\u0131tak Cilt: 6 Say\u0131: 3 Y\u0131l: 2015 Sayfa: 1-18 ISSN: 1309-2448 \u00d6z In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. […]<\/p>\n

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