THE EFFECT OF INDIVIDUAL FUTURE CONTRACTS ON THE ABNORMAL RETURNS OF UNDERLYING STOCKS: EVIDENCE FROM BORSA ISTANBUL

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KELTEN G. S., AYBARS A.

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, cilt.9, sa.1, ss.63-80, 2022 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 9 Sayı: 1
  • Basım Tarihi: 2022
  • Doi Numarası: 10.30798/makuiibf.805179
  • Dergi Adı: JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.63-80
  • Anahtar Kelimeler: BIST, VIOP, Event Study, Efficient Market Hypothesis, EFFICIENT MARKET HYPOTHESIS, IMPACT, EVENT, VOLATILITY, SECURITY, PERFORMANCE, BEHAVIOR, INDEX
  • Marmara Üniversitesi Adresli: Evet

Özet

This study aims to shed light on the immediate stock price response to the introduction of individual future contracts (IFCs) in Borsa Istanbul and make a general assessment of the Turkish stock market efficiency. In this context, as of June 2020, all 37 stocks traded in the futures market are included in the study. The first trading day of each contract in the futures market is accepted as an "event" and the abnormal returns of the underlying stocks are analyzed with event study analysis. According to the empirical results, there are statistically significant positive abnormal returns especially one day before the event. It means that the introduction of IFCs has statistically significant impacts on the abnormal returns of underlying stocks traded in the spot market. The presence of statistically significant abnormal returns suggests that the Turkish stock market is not an efficient market in the semi-strong form.