Hisse senedi vadeli işlemlerinde risk primlerinin ampirik analizi: borsa İstanbul örneği

This study investigates the futures risk premia in Türkiye's equity futures market, focusing on spot and term premiums. By applying concepts traditionally used in commodity futures to equity futures, the study captures spot premiums through nearest maturity contracts and captures term premiums through a long-short strategy. Utilizing factor pricing models and portfolio sorting methodology, it examines the explanatory power of basis, momentum and the recently introduced basis-momentum characteristics. After determining the significant risk premiums, the study examines the interaction between the risk premia and main macro financial variables that have a profound effect on the macro economy via Newey West OLS and Vector Autoregressive modelling methods. The study aims to provide new insights into the term structure of equity futures and contribute significantly to the literature on futures risk premia and their application to financial markets.