Vadeli işlem piyasalarında arbitraj ve Vadeli İşlem ve Opsiyon Vorsası (VOB) için bir araştırma
Bilgin, Ulaş Güney
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The rapidly growth of financial markets in recent years, resulted in growth of futures markets as well, exceeding cash markets trading volume, interaction between cash and futures markets also increased and the trading incentive of futures markets as hedging, speculation and arbitrage became more widespread. In this study, possibility of arbitrage between the ISE-30 stock index contract of TURKDEX (the first and only derivative exchange of Turkey) and underlying ISE-30 stock index is investigated. Using the cost of carry model, results show that significant arbitrage profit is possible for nearly all market participants in the years 2005 and 2006, in which trading volume is lover and price disequilibrium is sharp, however, in the years 2007, 2008 and 2009, trading volume rises, price disequilibrium declines and arbitrage profitability is possible for only professional institutions facing lower trading costs. In this context, further research can test the accuracy of the suggestion that arbitrage profitability will keep decreasing in the years ahead.Keywords: stock index arbitrage, TURKDEX, ISE, efficient price discovery.