Publication: Vadeli işlem piyasalarında sistematik analiz yoluyla spekülasyon ve pamuk Euro, S&P 500 ve US T Bonds VİS’i üzerine uygulama
Abstract
Vadeli İşlem piyasaları, Türkiye’de yakın geçmişte ortaya çıkan bir finansal olguya işaret etmektedir. Günümüzde gelişmiş ülke pazarlarında, ithalat ve ihracat şirketleri, emtia üreticileri ve finans şirketlerinin yanı sıra yatırım ve emeklilik fonları da dahil olmak üzere bir çok alanda hem risk yönetiminin hem de spekülasyon maksatlı olarak futures sözleşmelerinin kullanılmakta olduğunu biliyoruz. Bu kuruluşların büyük bir çoğunluğu, futures sözleşmelerinin hedging maksadıyla kullanılmaktadırlar. Bu çalışmada, vadeli işlem piyasalarının “hedging” özelliğinin yanı sıra spekülasyon maksadıyla da etkin bir şekilde kullanılabileceğini ve teknik analize dayalı sistematik analizin bu amaç için ne derece fonksiyonel olabileceğini inceledik. Bu maksatla futures ana sözleşme gruplarından; mal VİS’lerinden pamuk, döviz VİS’lerinden Euro, endeks VİS’lerinden S&P 500 ve finansal VİS’lerin içinden Amerikan hazine bonosu, yedi senelik tarihsel veri ile üç ayrı mekanik sistemde analiz edildi. Bu analizlerin sonucunda sistematik analiz kuramında en yaygın olarak kullanılan değerlendirme kriterleri baz alınarak analiz tabloları oluşturuldu. Sitem1, Sistem2 ve Sistem3 olarak adlandırılan bu sistematik analiz yöntemlerinin vadeli işlem piyasaları açısından birtakım güçlü ve zayıf yanlarının bulunduğu analiz tablolarının ortaya koyduğu sonuçlar kapsamında tespit edildi. Bu çalışmanın ilk elden ortaya koyduğu temel sonuç şudur: vadeli işlemler, yüksek kaldıraç etkisi sayesinde hem portföy ve fon yönetimlerinde hem de risk yönetiminde giderek yaygınlaşan bir enstrüman haline gelmiştir. Sistematik analiz yoluyla vadeli işlem sözleşmeleri üzeride yapılan etütlerde, belirgin bir başarı elde edilmiş ve trend belirlemede bu analiz yöntemini etkin olabileceği saptanmıştır. Ancak analiz aracı olarak kullanılan üç sistem de temelde başarılı olmasına rağmen tek başlarına blok halinde kullanılmamaları ve her sözleşme üzerinde spekülasyona gidilmemesi gerektiği sonucuna varılmıştır. Sistematik analiz sonucu gerekli kriterleri sağlayan sistem ve sözleşmeler, oluşturulması planlanan portföylere dahil edilebilir. Anahtar Kavramlar: Vadeli İşlem Piyasaları, Spekülasyon, Sistematik Analiz, Portföy, Vadeli İşlem Sözleşmeleri
The concept of futures market points out a financial fact which has a very short history in Turkey. It is known that futures contracts are used in order to reduce the risks and make speculation in different areas by the different commercial companies including export and import agencies and investment retirement funds. In this context, the most of these companies can use futures contracts for hedging. In this thesis, we constructed the hedging charecter of the future markets as one of the focuses of this study. And also we conceptualized it if it may be used effectively for speculation or not. In this context, we tried to explore how to contruct it by using systematical analysis basing on technical analysis for this goal. In order to reach some conclusions about the focuses of this thesis, we selected four main futures contracts that are based on different grounds in USA. These grounds are commadity, currency, finance and index. For each of these grounds we selected four futures cotracts refering to different products. These products are Cotton, Euro, S&P 500 and US T BONDS. In addition to that, these futures contracts were analysed in three different mechanical systems considering historical data based on seven year statistical record. Consequently, we constituted analysis tables considering the criteria usually used in theory of systematical analysis. These methods of systematical analysis which known as system1, system2 and system3 have some strong and weak dimensions regarding different aspects of future markets due to the outcomes of analysis tables: The main outcome of this thesis is that: Futures markets have become one of the main instruments used widespread in manegements of portfolio, risk and fund due to its high leverage’s effects. we could reach another outcome is that systematical analysis seems effect in determination of financial trends in futures markets considering the outcomes of analyzed futures contracts. Although basically these systems used as the mean of analysis seem to have serious advantageous, each of them can not be used separetely as a true way in futures markets and speculation. The last outcome of this thesis is that the systems and contracts which provide compulsory criteria for futures markets produced by systematical analysis may be included in portfolio which are planned to constitute. Key Words: Futures Markets, Speculation, Future Contracts, Portfolio, Systematical Analysis
The concept of futures market points out a financial fact which has a very short history in Turkey. It is known that futures contracts are used in order to reduce the risks and make speculation in different areas by the different commercial companies including export and import agencies and investment retirement funds. In this context, the most of these companies can use futures contracts for hedging. In this thesis, we constructed the hedging charecter of the future markets as one of the focuses of this study. And also we conceptualized it if it may be used effectively for speculation or not. In this context, we tried to explore how to contruct it by using systematical analysis basing on technical analysis for this goal. In order to reach some conclusions about the focuses of this thesis, we selected four main futures contracts that are based on different grounds in USA. These grounds are commadity, currency, finance and index. For each of these grounds we selected four futures cotracts refering to different products. These products are Cotton, Euro, S&P 500 and US T BONDS. In addition to that, these futures contracts were analysed in three different mechanical systems considering historical data based on seven year statistical record. Consequently, we constituted analysis tables considering the criteria usually used in theory of systematical analysis. These methods of systematical analysis which known as system1, system2 and system3 have some strong and weak dimensions regarding different aspects of future markets due to the outcomes of analysis tables: The main outcome of this thesis is that: Futures markets have become one of the main instruments used widespread in manegements of portfolio, risk and fund due to its high leverage’s effects. we could reach another outcome is that systematical analysis seems effect in determination of financial trends in futures markets considering the outcomes of analyzed futures contracts. Although basically these systems used as the mean of analysis seem to have serious advantageous, each of them can not be used separetely as a true way in futures markets and speculation. The last outcome of this thesis is that the systems and contracts which provide compulsory criteria for futures markets produced by systematical analysis may be included in portfolio which are planned to constitute. Key Words: Futures Markets, Speculation, Future Contracts, Portfolio, Systematical Analysis