Detection of Anomalies in Spot and Futures Markets and Their Directional Effects: An Analysis of the BIST 100 Index
Journal Title: Journal of Corporate Governance, Insurance, and Risk Management - Year 2024, Vol 11, Issue 3
Abstract
The occurrence of market anomalies has been steadily increasing in contemporary stock markets, particularly within the context of the current economic climate. The volatility of stock markets, exacerbated by the recent inflation crisis, has heightened the need for anomaly detection and informed investment decisions. This study focuses on the BIST 100 index in Turkey, specifically examining the XU030 spot market and the XU030D1 futures market, where significant economic fluctuations are prevalent. The Three Sigma Rule was applied to establish threshold values for anomaly detection, and a directional impact analysis was conducted based on these thresholds. The findings indicate that a positive anomaly in the spot market leads to an average increase of 7.65% in the futures market, while a negative anomaly in the spot market results in an average decrease of 8.69% in the futures market. Conversely, a positive anomaly in the futures market has an average positive impact of 7.82% on the spot market, while a negative anomaly in the futures market results in an average negative impact of 3.99% on the spot market. These results underscore the interconnected nature of the spot and futures markets, particularly in times of economic volatility, and provide insights into how anomalies in one market can influence the other. The studys findings have significant implications for investors, highlighting the need for careful monitoring of market anomalies and their potential directional effects on investment strategies.
Authors and Affiliations
Anıl Güzel, Üzeyir Aydın
Keywords
Related Articles
- EP ID EP755594
- DOI https://doi.org/10.56578/jcgirm110305
- Views 30
- Downloads 0
Formation and Development of Education in Nakhchivan (End of the XIX Century Before the Early XX Century)
The article discusses the development of school and pedagogical thought in Nakhchivan before and during autonomy. It has been established that, in Nakhchivan, which is an integral part of Azerbaijan, they always pay spec...
Impact of Accounting Information Systems, Work Motivation, and Internal Controls on Employee Performance: A Study at PT. Bank Danamon, Ambon Branch
This study aimed to evaluate the influence of accounting information systems (AIS), employee intrinsic motivation, and internal controls on the productivity of employees at PT. Bank Danamon's Ambon Branch. Primary data c...
Cyber Attack Against E-Albania and Its Social, Economic and Strategic Effects
Purpose: During last years, even because of pandemic situation caused by covid-19 virus, in Albania most of governmental public services for citizens, businesses and other customers were offered in an electronic way by c...
The Influence of National Economic and Financial Systems on the Performance of Initial Coin Offerings
The rapid emergence of blockchain technology has facilitated the rise of Initial Coin Offerings (ICOs), offering an innovative approach to raising capital for startups and entrepreneurial ventures. Unlike conventional fi...
Dynamics of High-Tech Investment and Export Growth in Turkey: A Multidisciplinary Analysis
This investigation delves into the dynamics of Turkey’s high-technology investments and their influence on export expansion. In an evolving global economy, the pivotal role of high technology industries for sustained eco...