Causality and Price Discovery between Spot and Futures Foreign Exchange Rates: An Empirical Analysis on Borsa Istanbul

被引：1

作者：

Guzel, Fatih ^{[1
]}

机构：

[1] Kirsehir Ahi Evran Univ, Dept Business Adm, Kirsehir, Turkey

来源：

SOSYOEKONOMI | 2021年 / 29卷 / 48期

关键词：

Foreign Exchange; Causality; Price Discovery; Borsa Istanbul; TIME-SERIES; UNIT-ROOT; COINTEGRATION; MARKETS; HYPOTHESIS; INDEX; STOCK;

D O I：

10.17233/sosyoekonomi.2021.02.20

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

USD/TRY foreign exchange rate is the dominant foreign exchange unit in the foreign trade volume of Turkey. This study examines the interaction of the USD/TRY foreign exchange rates formed in the spot and the derivatives markets. The dataset consists of daily frequency data covering January 01, 2014 - December 31, 2018. The interaction between the markets is analysed in terms of price discovery and causality. Hasbrouck (1995) Information Share, Gonzalo and Granger (1995) Component Share, and Putnins (2013) Information Leadership Share were used as price discovery measures. Price discovery measures agree that futures foreign exchange values have a price discovery function. As a result of the study, a bidirectional causality is determined between the spot and futures foreign exchange rates. Causality from the futures market to the spot market is stronger than the causality from the spot market to the futures markets.

引用

页码：427 / 442

页数：16

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