Incorporates: Balance Sheet
Online from: 1999
Subject Area: Accounting and Finance
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|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|
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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