An application on index and foreign exchange contracts in futures market: Investigation of the relationship between spot and futures prices
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Abstract (EN)
The objective of the thesis is to analyze the price discovery process among ISE 30 and Dollar FX futures contracts in Turkish Derivatives Exchange (TURKDEX) and their underlying cash markets. In this study, by using daily closing prices starting from the inception of futures trading on 4 February 2005 and extent to 28 August 2009, the Engle-Granger cointegration test, Johansen cointegration test, and Granger causality test based error correction model have been applied. According to the empirical results of the model, there is a uni-directional causality from ISE 30 spot index to ISE 30 index futures , whereas there is a bi-directional causality relationship between Dollar FX and the underlying cash markets.
Author
Erhan Pişkin
How to Cite
Erhan Pişkin (Master Thesis). An application on index and foreign exchange contracts in futures market: Investigation of the relationship between spot and futures prices, 2011, Akdeniz University.
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