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Journal of Risk Finance, The
ISSN: 1526-5943
Incorporates: Balance Sheet
Online from: 1999
Subject Area: Accounting and Finance
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Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets
| Title: | Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets |
|---|---|
| Author(s): | Alper Ozun, (School of Management, Bradford University, Bradford, UK), Erman Erbaykal, (Department of Economics, Istanbul University, Istanbul, Turkey) |
| Citation: | Alper Ozun, Erman Erbaykal, (2009) "Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets", Journal of Risk Finance, The, Vol. 10 Iss: 4, pp.365 - 376 |
| Keywords: | Emerging markets, Foreign exchange, Futures markets, Risk analysis, Turkey |
| Article type: | Research paper |
| DOI: | 10.1108/15265940910980669 (Permanent URL) |
| Publisher: | Emerald Group Publishing Limited |
| Abstract: | Purpose – The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign-exchange markets. Design/methodology/approach – The research employs Bounds cointegration test and Toda-Yamamoto causality test to detect a possible risk transmission between spot and futures markets. Time series of Turkish spot and futures foreign-exchange markets from January 2, 2006 to March 25, 2008 on a daily basis are used for empirical analysis. Findings – The empirical tests suggest that there is unidirectional causality running from future exchange-rate market to spot market implying that foreign-exchange markets have informational efficiency in Turkey. Originality/value – The paper has originality in both employing Bounds test and Toda-Yamamoto test to examine the relationship between spots and derivative markets, and in being one of the first empirical papers examining Turkish futures markets. In addition, the paper presents a guide on how Bounds and Toda-Yamamoto tests can be applied to detect interactions among markets without data stationarity. |
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