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  • 标题:THE RELATIONSHIP BETWEEN THE VALUES OF CURRENCY FUTURES CONTRACTS TRADED IN TURKISH DERIVATIVES EXCHANGE AND THE LIQUID AMOUNT OF FOREIGN CURRENCY IN THE MARKET
  • 其他标题:VOB’DA İŞLEM GÖREN DÖVİZ FUTURES SÖZLEŞMELERİNİN DEĞERİ İLE PİYASADAKİ LİKİT DÖVİZ MİKTARI ARASINDAKİ İLİŞKİ İLİŞKİ
  • 本地全文:下载
  • 作者:Turhan KORKMAZ ; Turhan KORKMAZ ; Ersin AÇIKGÖZ
  • 期刊名称:Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
  • 印刷版ISSN:1301-3688
  • 电子版ISSN:2630-6409
  • 出版年度:2007
  • 期号:29
  • 页码:63-81
  • 语种:English
  • 出版社:Erciyes University
  • 摘要:The aim of this paper is to analyze the reverse relationship between the values of currency futures contracts traded in Turkish Derivatives Exchange and liquid amount of foreign currency in the market in the short run.For this purpose Engle-Granger co-integration,VAR (Vector Auto Regression),and Granger Causality tests are applied to weekly strike price returns of USD futures contracts and changing the liquid amount of foreign currency in the market.The results of the tests displays that there is causality from currency futures contracts to liquid amount of foreign currency.The VAR model provides reverse relations among series,and the original series are cointegrated.Based on these results,changing amount of USD in the market can be observed from the changing values of currency futures contracts.The results of this analysis may provide opportunities to the traders even operating in the reel sector or financial sectors to meet their objectives in terms of hedging currency exposure and speculative gains.
  • 其他摘要:Bu çalışmanın amacı Vadeli İşlem ve Opsiyon Borsası’nda (VOB) işlem gören vadeli döviz sözleşmelerinin değerleri ile piyasadaki likit döviz miktarında meydana gelen değişim arasındaki ters yönlü ilişkiyi kısa dönemde analiz etmektir.Bu amaçla USD bazlı va
  • 关键词:Liquid Amount of Foreign Currency;Exchange Rate;Causality;Turkish Derivatives Exchange
  • 其他关键词:Likit Döviz Miktarı;Döviz Kuru;Nedensellik;VOB
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