Endeks vadeli işlem sözleşmeleri ve İstanbul Menkul Kıymetler Borsası'nda uygulanabilirliği
Stock index futures and and it's applicability in Istanbul Stock Exchange
- Tez No: 94665
- Danışmanlar: PROF. DR. YÜKSEL KOÇ YALKIN
- Tez Türü: Doktora
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2000
- Dil: Türkçe
- Üniversite: Ankara Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 272
Özet
Özet yok.
Özet (Çeviri)
SUMMARY A futures contract is an agreement between a buyer and a seller, whereby the later will deliver and the former will accept the delivery of a certain quantity of the underlying asset at a prescribed future day and price. For stock index futures the underlying asset is an index which is generally include blue chip companies. The contract is cash settled in the sense that the difference between the traded price of the contract and the closing price of the index on expiration day of contract, are settled between the counterparties in cash. As a matter of fact, as the price of the contract changes daily, it is cash settled on daily basis, up until the expiration day of the contract. The Kansas City Board of Trade (KCBT) is first market, which launched stock index futures in February 1982. Afterward, the Chicago Mercantile Exchange and New York Futures Exchange followed the KCBT. Stock index futures are traded almost forty exchange market and almost thirty country allover the world by the end of 1999. The transaction volume of stock index futures market has reached 349,2 billion $ by the end of June 1999. The great popularity of stock index futures may be explained by many factors. Stock index futures can be used by corporations, banks, investment companies, mutual funds, insurance companies, pension funds, investment funds, state enterprises and investors. Stock index futures offers benefits to the investors and it also has positive influence on the national economy. 241Specifically, in respect to the market's effectiveness, the organized derivatives market is conductive to:. Market Liquidity. Price Forecasting (Price Discovery). Price Transparency. Transactions-Credibility. Efficient Risk Management, either by hedging the risk or by increasing the returns through risk taking. Regarding investors, the use of stock index futures help them in:. Exploiting the differences between the underlying and the futures market,. Hedging risk from a position taken in the underlying market,. Portfolio diversification,. Readjustment of a stock portfolio,. Limiting the credit risk, the danger of the breach of payment obligation by either counterparties. Finally, the positive effects of the organized derivatives market or stock index market on the economy contribute to:. The creation of new business activity, and 242. The effective allocation of economic resources.. The increase in the market liquidity, the reduction in the transaction cost and the efficient pricing,. The increase in the volume of transactions,. The provision of tools for allocating and hedging risk,. The provisions of the new investment tools for improved dissemination of information,. The widening of investment options for investors, underwriters and issuers, by offering new financial products, The question of whether launching stock index futures stabilizes or destabilizes the cash markets has been the topic of many empirical academic studies. The common method, used in empirically testing the impact of stock index futures trading on the spot volatility of the underlying index is to compare pre and post futures spot volatility. Majority of the studies concentrate on effects of the futures markets on the short-run volatility of the underlying spot instruments. In fact, long-run volatility is more important. There is no consensus about the effects of stock index futures launching among the academic community. In regard of launching stock index futures even if there is no clear standards, it is arguing that total capitalization of the market, transaction volume, turnover ratio, the ratio of market capitalization to the gross domestic product 243(GDP) should be“high enough”. According to the other indicators of Turkish Economy and Istanbul Stock Exchange (ISE), which are improving, it seems that ISE ready to support an organized market on financial derivatives or stock index futures. 244
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