Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı
Yükleniyor...
Dosyalar
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Türkiye Bankalar Birliği
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Vadeli İşlem Piyasaları, Endeks Vadeli İşlem Sözleşmesi, Doğrusal Olmama, Markov Rejim Değişim Modelleri
Kaynak
Bankacılar Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
101
Künye
Koy, A. (2017) Spot ve Vadeli Piyasa İlişkilerine Markov Rejim Değişim Modelleri Yaklaşımı, Bankacılar Dergisi, (2017) 101, 70-87
