{"id":218,"date":"2026-02-08T21:02:16","date_gmt":"2026-02-08T18:02:16","guid":{"rendered":"https:\/\/jaefb.com\/tr\/?page_id=218"},"modified":"2026-02-08T21:10:35","modified_gmt":"2026-02-08T18:10:35","slug":"turev-piyasalarda-teminat-tutari-ile-islem-hacmi-arasindaki-iliski-bist30-endeksi-uzerine-var-modeli-granger-nedensellik-analizi","status":"publish","type":"page","link":"https:\/\/jaefb.com\/tr\/turev-piyasalarda-teminat-tutari-ile-islem-hacmi-arasindaki-iliski-bist30-endeksi-uzerine-var-modeli-granger-nedensellik-analizi","title":{"rendered":"T\u00fcrev Piyasalarda Teminat Tutar\u0131 \u0130le \u0130\u015flem Hacmi Aras\u0131ndaki \u0130li\u015fki: B\u0130ST30 Endeksi \u00dczerine VAR Modeli Granger Nedensellik Analizi"},"content":{"rendered":"\r\n\r\n\r\n\r\n
Makale Bilgileri<\/td>\r\n<\/tr>\r\n
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Dergi:<\/td>\r\nUygulamal\u0131 Ekonomi, Finans ve Bankac\u0131l\u0131k Dergisi<\/td>\r\n<\/tr>\r\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\r\nT\u00fcrev Piyasalarda Teminat Tutar\u0131 \u0130le \u0130\u015flem Hacmi Aras\u0131ndaki \u0130li\u015fki: B\u0130ST30 Endeksi \u00dczerine VAR Modeli Granger Nedensellik Analizi<\/td>\r\n<\/tr>\r\n
Yazar(lar):<\/td>\r\nErol K\u00d6YC\u00dc<\/td>\r\n<\/tr>\r\n
Cilt:<\/td>\r\n1<\/td>\r\n<\/tr>\r\n
Say\u0131:<\/td>\r\n1<\/td>\r\n<\/tr>\r\n
Y\u0131l:<\/td>\r\n2020<\/td>\r\n<\/tr>\r\n
Sayfa:<\/td>\r\n23 – 49<\/td>\r\n<\/tr>\r\n
ISSN:<\/td>\r\n2757-6590<\/td>\r\n<\/tr>\r\n
DOI Numaras\u0131:<\/td>\r\nxx.xxxxx\/jaefb.2020.xxx<\/td>\r\n<\/tr>\r\n<\/tbody>\r\n<\/table>\r\n<\/td>\r\n<\/tr>\r\n
\u00d6zet<\/td>\r\n<\/tr>\r\n
Bu \u00e7al\u0131\u015fmada 27.11.2018 \u2013 27.05.2020 d\u00f6nem aral\u0131\u011f\u0131nda g\u00fcnl\u00fck veriler kullan\u0131larak V\u0130OP B\u0130ST30 endeks vadeli i\u015flem s\u00f6zle\u015fmesi i\u015flem hacmindeki de\u011fi\u015fikliklerin nedeni, endeks teminat tutar\u0131ndaki de\u011fi\u015fiklikler olup olmad\u0131\u011f\u0131 Granger Nedensellik testi ile ara\u015ft\u0131r\u0131lm\u0131\u015ft\u0131r. De\u011fi\u015fkenlerin ilk olarak logaritmik getirisi al\u0131n\u0131p grafikleri sunulmu\u015f, sonras\u0131nda tan\u0131mlay\u0131c\u0131 istatistiklere ve de\u011fi\u015fkenler aras\u0131ndaki korelasyon ili\u015fkisine de\u011finilmi\u015ftir. Genel testlerden sonra, \u00e7al\u0131\u015fmada kullan\u0131lacak ana testlere ge\u00e7ilmi\u015ftir. Bunun i\u00e7inde \u00e7al\u0131\u015fmada ilk olarak ADF ve PP birim k\u00f6k testleri ger\u00e7ekle\u015ftirilerek serilerin dura\u011fanl\u0131klar\u0131 test edilmi\u015f, sonras\u0131nda optimal gecikme uzunlu\u011fu belirlenerek Vekt\u00f6r Otoregressif Model (VAR) kurulmu\u015ftur. VAR modeli tan\u0131 testleri olan otokorelasyon testi, de\u011fi\u015fen varyans testi ve AR k\u00f6k testlerine yine \u00e7al\u0131\u015fmada yer verilmi\u015ftir. Bu testlere ilaveten de\u011fi\u015fkenlerin birbirleri \u00fczerindeki etkileri saptamak i\u00e7in etki-tepki analizi ve varyans ayr\u0131\u015ft\u0131rma testlerinden de faydalan\u0131lm\u0131\u015ft\u0131r. T\u00fcm bu a\u00e7\u0131klay\u0131c\u0131 testlerden sonra ise Granger Nedensellik testi uygulanm\u0131\u015ft\u0131r. \u00c7al\u0131\u015fmada b\u00fct\u00fcnl\u00fck sa\u011flanmas\u0131 a\u00e7\u0131s\u0131ndan, t\u00fcm testler detayl\u0131 bir \u015fekilde a\u00e7\u0131klanm\u0131\u015ft\u0131r. Elde edilen analiz sonu\u00e7lar\u0131na g\u00f6re ele al\u0131nan d\u00f6nemde V\u0130OP B\u0130ST30 endeks vadeli s\u00f6zle\u015fmenin i\u015flem hacmindeki de\u011fi\u015fiklerin nedeni teminat tutar\u0131ndaki de\u011fi\u015fikler de\u011fildir. Di\u011fer bir deyi\u015fle, teminat tutar\u0131ndaki de\u011fi\u015fiklikler, i\u015flem hacmini etkilememektedir. Bununla birlikte piyasalarda riskin ve volatilitenin artt\u0131\u011f\u0131, belirsizli\u011fin olu\u015ftu\u011fu d\u00f6nemlerde t\u00fcrev piyasalarda daha fazla i\u015flem hacmi ger\u00e7ekle\u015ftirildi\u011fi g\u00f6r\u00fclmektedir.<\/td>\r\n<\/tr>\r\n
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Anahtar Kelimeler:<\/td>\r\nT\u00fcrev Piyasalar, Vekt\u00f6r Otoregresif (VAR) Modeli, Granger Nedensellik Analizi<\/td>\r\n<\/tr>\r\n<\/tbody>\r\n<\/table>\r\n<\/td>\r\n<\/tr>\r\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\r\nF64, P28, C32<\/td>\r\n<\/tr>\r\n<\/tbody>\r\n<\/table>\r\n\r\n
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\r\n \"https:\/\/jaefb.com\/wp-content\/uploads\/2026\/02\/pdf.jpg\"\r\n <\/td>\r\n \r\n \r\nTam Metin<\/a><\/b><\/td>\r\n <\/tr>\r\n<\/tbody><\/table>","protected":false},"excerpt":{"rendered":"

Makale Bilgileri Dergi: Uygulamal\u0131 Ekonomi, Finans ve Bankac\u0131l\u0131k Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: T\u00fcrev Piyasalarda Teminat Tutar\u0131 \u0130le \u0130\u015flem Hacmi Aras\u0131ndaki \u0130li\u015fki: B\u0130ST30 Endeksi \u00dczerine VAR Modeli Granger Nedensellik Analizi Yazar(lar): Erol K\u00d6YC\u00dc Cilt: 1 Say\u0131: 1 Y\u0131l: 2020 Sayfa: 23 – 49 ISSN: 2757-6590 DOI Numaras\u0131: xx.xxxxx\/jaefb.2020.xxx \u00d6zet Bu \u00e7al\u0131\u015fmada 27.11.2018 \u2013 27.05.2020 d\u00f6nem aral\u0131\u011f\u0131nda g\u00fcnl\u00fck […]<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-218","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/pages\/218","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/comments?post=218"}],"version-history":[{"count":4,"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/pages\/218\/revisions"}],"predecessor-version":[{"id":225,"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/pages\/218\/revisions\/225"}],"wp:attachment":[{"href":"https:\/\/jaefb.com\/tr\/wp-json\/wp\/v2\/media?parent=218"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}