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Abstract:
This paper examines the lead-lag relationship between the Istanbul Stock Exchange 30 (ISE 30) Index and index futures prices at the Turkish Derivatives Exchange using daily observations from February 2005 to May 2008. It is found out that spot prices lead the futures prices for ISE 30 Index contrary to the results for different countries. Besides, the forecasting performances of Error Correction Model (ECM), ECM with Cost of Carry (COC), Autoregressive Integrated Moving Average (ARIMA) and Vector Autoregressive (VAR) Model are compared. The results support the superior performance of ECM. This study underlines the difference in direction of the lead-lag relation for Turkey that has a significant value for traders, and the performance of ECM for forecasting purposes.
Stock Index Futures, ISE 30 Index, Error Correction Model, Cost of Carry Model, Forecasting, Lead-Lag Relation
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Abstract:
This paper examines the determinants of location within the Turkish manufacturing industry with respect to spatial interaction. Extending on previous studies on Turkey, this paper is the first attempt to model the location decision incorporating both region-specific and sector-specific factors. The econometric analysis is based on the Moran’s I values following Anselin (1988). The estimation results of the Spatial Lag Model indicate a significant spatial dependence of the location decision for the Turkish manufacturing industry. The most significant determinants of the location decision are found out to be the population density, share of manufacturing in total employment, percentage of people with university degrees and the average January temperature.
Spatial correlation, Location, Regional Concentration, Manufacturing Sector
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