Endeks arbitrajın karlılığı ve fiyat düzensizliğinin vob-30 endeksinin hacmi, oynaklığı, açık pozisyon değişimi ile İMKB-30 endeksinin hacim, oynaklığı arasındaki dinamik ilişkileri

This study searches for the profitability of index arbitrage in ISE-30 index futures market with using daily data series and the dynamic relationship between mispricing, volume, volatility, open interest of index future contract, volume and volatility of cash index and credit default swap is examined with applying vector auto regression (VAR) framework for Turkey market. I find that ISE-30 future index is mostly underpriced and there are many chances to exploit index arbitrage considering with different transaction cost levels in the market but the magnitude and the number of mispricing series tend to decrease over the years. Regarding to the cost of carry model, dividend payment has not much effect on mispricing and the pricing error is increasing with time to maturity. Moreover, the price tick-size change effect on mispricing is also analyzed by comparing pre and post price tick change period and the impact is insignificant. Finally, the variance decomposition and impulse response function are used to identify the dynamic interaction between variables and found that an increase in open interest results in decrease in mispricing which can be used as a good proxy for the arbitrageurs.Keywords: Mispricing, Index Arbitrage, Cash and Carry Model, VAR, impulse response function