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
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