The causal relationship between foreign currency futures and spot market: Evidence from Turkey
Investment Management and Financial Innovations, cilt.9, sa.2, ss.208-212, 2012 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 9 Sayı: 2
- Basım Tarihi: 2012
- Dergi Adı: Investment Management and Financial Innovations
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.208-212
- Anahtar Kelimeler: Causality, Price discovery, Turkish Derivatives Exchanges
- Uşak Üniversitesi Adresli: Hayır
Özet
The purpose of this study is to investigate the interaction between spot Turkish Lira-US Dollar exchange rate and Turkish Lira-US Dollar futures contracts traded in Turkish Derivatives Exchanges. Cointegration test are used and an error correction model is developed in order to examine the causal relationship. The results indicated that there is a long run stable relationship between foreign currency spot and futures market. Moreover, there is a two-way causality between them both in the short run and the long run. © Ulas Unlu, Ersan Ersoy, 2012.