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- W1607069036 abstract "Purpose The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign‐exchange markets. Design/methodology/approach The research employs Bounds cointegration test and Toda‐Yamamoto causality test to detect a possible risk transmission between spot and futures markets. Time series of Turkish spot and futures foreign‐exchange markets from January 2, 2006 to March 25, 2008 on a daily basis are used for empirical analysis. Findings The empirical tests suggest that there is unidirectional causality running from future exchange‐rate market to spot market implying that foreign‐exchange markets have informational efficiency in Turkey. Originality/value The paper has originality in both employing Bounds test and Toda‐Yamamoto test to examine the relationship between spots and derivative markets, and in being one of the first empirical papers examining Turkish futures markets. In addition, the paper presents a guide on how Bounds and Toda‐Yamamoto tests can be applied to detect interactions among markets without data stationarity." @default.
- W1607069036 created "2016-06-24" @default.
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- W1607069036 date "2009-08-14" @default.
- W1607069036 modified "2023-10-16" @default.
- W1607069036 title "Detecting risk transmission from futures to spot markets without data stationarity" @default.
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- W1607069036 doi "https://doi.org/10.1108/15265940910980669" @default.
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