Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı
CitationKoy, A. (2017) Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı, Bankacılar Dergisi, (2017) 101, 70-87
The financial markets which are observed with fast and frequent fluctuations, have many periods of growth and shrinkages. In this study, Markov Regime Switching Models which explain the switching behaviour between those periods by using the Markovian process are used. The study examines the price changes of BIST 30 Price Index Futures since the establishment of the first organized futures markets in Turkey until the end of 2016 with daily observations (3,220 observations). The relationship between the price changes of BIST 30 Price Index and Index Futures is described by Markov Regime Switching Vector Autoregressive Model. The study findings indicate that spot and futures markets have a mutual switching mechanism between regimes.