Hisse senedi endeksine dayalı futures işlemler
Stock index futures transaction
- Tez No: 74083
- Danışmanlar: DOÇ. DR. HAYRİ KOZANOĞLU
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1998
- Dil: Türkçe
- Üniversite: Marmara Üniversitesi
- Enstitü: Bankacılık ve Sigortacılık Enstitüsü
- Ana Bilim Dalı: Sermaye Piyasası ve Borsa Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 134
Özet
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Özet (Çeviri)
SUMMARY STOCK INDEX FUTURES TRANSACTION Introduced in 1982 by the Kansas City Board of Trade, stock index futures contracts are now among the most actively traded futures. Since their introduction in the United States, exchanges in foreign countries have also been trading in equity futures. The most successful are those in London and Japan. Stock index futures have been successful because they have proven to be useful in managing large stock portfolios. One of the fastest growing financial sectors during the 1980s has been institutional fund management. Institutional investors are also active stock traders, accounting for somewhere between 50 and 80 percent of trading volume on the New York Stock Exchange (NYSE), depending on the time period. Further, form 1965 to 1987 the average size of trade on the NYSE grew from 224 shares to 2112 shares, indicating a growing institutional role. Another development has been the growth of index equity funds. Index funds employ a passive portfolio-management strategy. Passive portfolio managers to not attempt to identify under -or over- valued stocks or to predict general movements in the stock market. Instead, they hold a diversified stock portfolio that is designed to mimic a particular stock index for a particular segment of the equity market. Over $200 billion is now being managed with a passive index strategy. 125There are two reasons for this trend toward index fund management. First, there is increasing evidence that an active strategy of picking specific (under- valued) stocks is unlikely to be consistently successful, and that in the long-run an active portfolio strategy is unlikely to out-perform a passive portfolio strategy. Most efficient market studies support this conclusion. Second, since the costs associated with an active portfolio strategy (management fees, commissions, and so forth) are significantly greater than those associated with a passive portfolio approach, active portfolio strategies may actually underperform index funds. These developments have made stock index futures a valuable portfolio management tool and have resulted in the rapid growth of stock index futures markets around the world. In this study, we tried to examine stock index futures transaction, stock index futures strategies related to İMKB-30 under difference scenarios. In the first chapter, we mentioned development and history of futures contracts, and futures markets. In the second chapter, we examined stock index and index used in Istanbul Stock Exchange. In the third chapter, we examined stock index futures transaction, hedging, speculating, arbitrage, pricing of stock index futures. 126In the fourth chapter, we examined applicability of futures transaction in Turkey, futures and option regulation in Turkey, stock index futures strategies related to İMKB-30 under difference scenarios, and finally evaluate all of them. A futures contract is a legally commitment to buy or sell a financial asset or instrument at a specified future date and at specified price. The party who buys a futures contract will earn a profit if price of underlying asset goes up, and suffer a loss if it goes down. The party who sells a futures contract will suffer a loss if the price of the underlying asset goes up, or earn profit if price goes down. Futures contracts are written on a variety of assets, including fixed-income instruments (such as T-bills, T-notes, T-bonds, etc.), foreign currencies and stock indexes. Futures contracts also exist on agricultural and industrial commodities such as soybeans live cattle, gold, copper and crude oil. Futures contracts allow investors to hedge, speculate and arbitrage. A hedger holds a position the spot market. This might involve owning a commodity or financial instrument, or it may simply mean that the individual plans or committed to future purchase or sale of the commodity or financial instruments. Taking a futures contract that opposite to the position in the spot market reduces the risk. Speculators attempt to profit from guessing the direction of the market. They play an important role in the market by providing the liquidity that makes hedging possible and assuming the risk that hedgers are trying to eliminate. Arbitrageurs attempt to profit from differences in the price of otherwise identical spot and futures position.. '>-*?',.; 127One of the most important concepts in the futures markets is the cost of carry- the cost incurred when the spot commodity is purchased and stored. In the case of stock index futures this would refer to purchase and holding of securities underlying index. The direct cost of storing the securities underlying the index. The direct cost of storing the securities is minimal; however, the interest forgone on the financing cost-can be substantial. On the other hand, the securities generate dividend income, which in some cases can completely offset the financing cost. The cost of carry determines the relationship futures prices and spot prices. The net cost of carry is the financing cost minus the dividend. When the financing cost exceeds the dividend, carry is negative and the futures is greater than the index by the net cost of carry. When the dividend exceeds the financing cost, carry is positive and the index exceeds the futures futures price by net cost of carry. Stock index futures contracts are the latest of financial futures contracts. A stock index futures contract is an agreement to pay or receive some dollar amount times the difference between the purchase price and the sale price. They differ from traditional commodity futures contracts in that there is no claim on an underlying deliverable asset. The claim is on the value of contract and settlement is in cash. All futures contracts positions are adjusted on a daily basis and a payment is made. At the end of each trading day, current futures price is compared to previous day's closing price, and if the futures price has risen (fallen), the long (short) investor receives from the short (long) investor the amount of the increase (decrease). Although this procedure is accomplished through an exchange, the investor's account is adjusted daily. Settlement is made by an 128exchange of money determined by the difference between the value of the contract at the final settlement and the previous day's closing price. The of a single stock index futures contract is the product of a multiple and the current futures prices. The value of the multiple and the current futures prices. The value of the multiple has influenced the success or failure of a futures contract. A commodity exchange can use two methods o control stock index futures price movements. First, each contract is subject to a minimum price change or tick. Second, an exchange may impose daily price limits. Most futures exchanges impose daily price limits for futures contracts on hard commodities and some financial futures. There are two concepts of margin that relate to futures contracts. The first is the traditional margin requirements regulated by the exchanges. A second concept of margin refers to variation margin and is defined as the daily gains or losses that result from the daily settlement feature of futures contracts and essentially represents the daily adjustment to changes in contract value. Margin requirements include initial margin and maintenance margin. Initial margin I the minimum amount that a customer must provide before a transaction can be executed. Maintenance margin represents minimum level equity that must be preserved in account to maintain a position. :it */,.. - J''' 129
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