Dublin Core
Title
A Comparison Of Futures Prices On Turkdex With Conventional Pricing Theory
Abstract
Derivatives are very sophisticated financial innovations and require highly sophisticated financial markets before they are introduced successfully. The well-known arbitrage free pricing theory applied when pricing derivative securities is based on some assumptions, which may not be verified in many of the emerging markets. Therefore, the applicability of the conventional theory to the emerging markets must be studied in details. This paper questions conformity of conventional arbitrage free pricing theory for emerging markets and discusses efficiency on newly organized Turkish derivative exchange (TURKDEX). Based on the market data in Turkey a comparison will be made between daily market prices and theoretical prices of 43 futures contracts. The results show that currency futures in TURKDEX are evaluated by market players fairly but ISE-30 and ISE-100 contracts offer arbitrage opportunities. Additionally, this work shows that theory and market differences rely mainly on inexperienced market players and newly established market regulations. Conservative regulations on short-selling are another problem to be solved. Keywords: futures, TURKDEX, cost of carry, arbitrage theory, emerging markets, pricing
Keywords
Conference or Workshop Item
PeerReviewed
PeerReviewed
Date
2012-05-31
Extent
1301