Intraday Price Discovery Process in the ISE 30 Stock Index Futures


The 24th International Conference of The International Trade and Finance Association, Kayseri, Turkey, 21 - 24 May 2014, vol.1, pp.1

  • Publication Type: Conference Paper / Summary Text
  • Volume: 1
  • City: Kayseri
  • Country: Turkey
  • Page Numbers: pp.1
  • Akdeniz University Affiliated: Yes


Turkey is one of the most dynamic emerging markets in the world and its futures markets has developed dramatically since its establishment in 2005. This study provides the first compherensive examination of intraday price discovery dynamics of ISE 30 index futures prices and the informational role of futures in price discovery process in Turkey. Intra-day data from the February 4, 2005 through October 19, 2012 are employed in our analysis. The results suggest that index futures markets became dominant in the price discovery process since 2007 and new information is disseminated more rapidly in the index futures market. This result suggests index futures market evolved and can be used as a price discovery vehicle and thus ISE 30 stock index futures market plays an important role in the capital markets in Turkey.