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The Relationship Between Futures Transactions and Market Efficiency? The Case of Istanbul Gold Exchange

Ekrem Tufan
Canakkale Onsekiz Mart Universtiy, School of Tourism and Hotel Management




Abstract:     
Efficient Market Hypothesis (EMH) has been testing especially on emerging markets for almost twenty years in finance literature. Developed markets usually efficient in weak form while developing market do not. Some of these studies are examined on futures markets and the relationship between spot markets and them.

Futures markets have a price discovery role on spot markets. In this respect, if futures transactions conduct a market then spot price can be predicted easily. If we accept that price always fully reflect all available information is called an efficient market, a spot market efficiency should be improved after the conduction of futures transactions. Because futures agreements are one of the best representatives of price expectations owing to the fact that prices are established as a result of meeting numerous expectations in the market.

Istanbul Gold Exchange is called an emerging market and is growing rapidly. There are a few researches on this market. Futures transactions have been conducted for six months.

This paper investigates whether conduct of futures transactions have affected on gold market weak form efficiency or not. We found that gold market has not affected the conduct of futures transactions and market has a weak form efficiency both before and after futures transactions.

Keywords: Efficient Market Hypothesis (EMH), Istanbul Gold Exchange, futures transactions, Runs Test, Augmented Dickey Fuller (ADF) Unit Root test

JEL Classifications: G12, G14, G15

Accepted Paper Series

Date posted: May 15, 2004 ; Last revised: December 05, 2005

Suggested Citation

Tufan, Ekrem, The Relationship Between Futures Transactions and Market Efficiency? The Case of Istanbul Gold Exchange (November 17, 2005). Available at SSRN: http://ssrn.com/abstract=541524


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Contact Information

Ekrem Tufan (Contact Author)
Canakkale Onsekiz Mart Universtiy, School of Tourism and Hotel Management ( email )
Terzioglu Yerleskesi
Canakkale 17100
Turkey
+90 286 218 00 18 (1545) (Phone)
+90 218 05 47 (Fax)
HOME PAGE: http://etufan.wordpress.com
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