Evaluation of the possibility of arbitrage opportunities between Ise-30 index and Turkdex ise-30 index with cost of carry method
If there is difference between futures prices and spot prices for a product, arbitrage transaction is made between spot and futures market. In this study, the possibility of arbitrage opportunities between traded on the ISE-30 index and TurkDEX ISE-30 index was investigated for second period of 2011...
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Veröffentlicht in: | Academic review of economics and administrative sciences 2013-01, Vol.6 (2), p.138-149 |
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Format: | Artikel |
Sprache: | tur |
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Online-Zugang: | Volltext |
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Zusammenfassung: | If there is difference between futures prices and spot prices for a product, arbitrage transaction is made between spot and futures market. In this study, the possibility of arbitrage opportunities between traded on the ISE-30 index and TurkDEX ISE-30 index was investigated for second period of 2011. Cost of carry model was used in this study. In addition, intra-day price and index data were used as data. As a result, arbitrage opportunities between markets based on the period is seen that a small number. This situation shows that, there are significant interactions between markets and limited arbitrage opportunities. In addition, within the framework of our study, we can say that there is considerable efficiency in this market trading volume high. |
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ISSN: | 1308-4208 |