İMKB-30 Endeksi ve VOB İMKB-30 Endeks Sözleşmeleri Arasındaki Arbitraj Olanaklarının Taşıma Maliyeti Yöntemi İle Değerlendirilmesi

Adalet HAZAR
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Öz


LEŞMELERİ ARASINDAKİ ARBİTRAJ OLANAKLARININ TAŞIMA MALİYETİ YÖNTEMİ İLE DEĞERLENDİRİLMESİ Adalet HAZAR ÖZ Spot ve vadeli piyasa arasındaki arbitraj işlemleri, spot ürüne ilişkin teorik vadeli fiyatlar ile mevcut vadeli fiyatlar arasında farklılık bulunması durumunda söz konusu olmaktadır.Bu çalışmada, 2011 yılı ikinci yarısına ait İMKB-30 endeksi ve VOB’da işlem gören İMKB-30 endeksine dayalı vadeli işlem sözleşmesi arasındaki arbitraj imkanı gün içi fiyat ve endeks verileri kullanılarak taşıma maliyeti modeli çerçevesinde incelenmiştir.Sonuç itibariyle, iki piyasa arasında arbitraj olanaklarının esas alınan dönem açısından az sayıda olduğu görülmektedir. Bu durum iki piyasa arasındaki etkileşimin önemli ölçüde var olduğunu ve arbitraj olanaklarının sınırlı olduğunu göstermektedir.Ayrıca, bu çalışmada VOB Endeks sözleşmeleri esas alınmış olup, işlem hacminin yüksek olduğu bu piyasada etkinliğin önemli ölçüde var olduğu yapılan çalışma çerçevesinde söylenilebilir.

Anahtar kelimeler


Hisse senedi endeks arbitrajı, VOB İMKB-30 endeksi, İMKB-30 endeksi, etkin fiyat,taşıma maliyeti modeliJel Sınıflandırması: G13, G15.

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