THE EFFECT OF FUTURES CONTRACTS  ON THE STOCK MARKET VOLATILITY:   AN APPLICATION ON ISTANBUL STOCK EXCHANGE

Ayse Gul YİLGOR; Claurinde Lidvine Charbelle MEBOUNOU

doi:https://doi.org/10.17261/Pressacademia.2016321974

Article Details

THE EFFECT OF FUTURES CONTRACTS ON THE STOCK MARKET VOLATILITY: AN APPLICATION ON ISTANBUL STOCK EXCHANGE

Authors:

Ayse Gul YİLGOR | Claurinde Lidvine Charbelle MEBOUNOU

Publisher:

PressAcademia

Main Topics:

Sociology and anthropology

Journal:

Journal of Business Economics and Finance 2016 Vol.5 Issue 3, pp.307-317

Document Type:

Article

Publication Date:

9/2016

Document Language:

Turkish

Document ID (Org No.):

2000737818

Frequency:

Quarterly

eISSN:

2146-7943

DOI:

https://doi.org/10.17261/Pressacademia.2016321974

Abstract:

 


The deregulation and financial liberalization have
caused the increase of price volatility, interest and exchange rate risks.
Managers and investors have started using derivatives to manage their risks.
Since derivatives markets interact continuously with spot markets, the effect
of derivatives markets on spot market volatility has become an important
research topic.  In this study, the
impact of the derivatives markets on the Turkish spot market volatility and
liquidity has been examined from January 2001 to December 2014 period.  For this purpose, the impact of these futures
contracts on spot market volatility and liquidity has been examined using
EGARCH model and ARMA model respectively. It is found that derivatives markets
reduce the spot market volatility and that they do not have a significant
effect on the volume of the spot market. 
Furthermore, it is found that while an unexpected future trading volume
increase the spot market volatility, an expected future trading volume does not
have a significant impact on the spot market volatility. 


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Article Details

THE EFFECT OF FUTURES CONTRACTS ON THE STOCK MARKET VOLATILITY: AN APPLICATION ON ISTANBUL STOCK EXCHANGE

Authors: Ayse Gul YİLGOR | Claurinde Lidvine Charbelle MEBOUNOU

Publisher: PressAcademia

Main Topics: Sociology and anthropology

Journal: Journal of Business Economics and Finance 2016 Vol.5 Issue 3, pp.307-317

Document Type: Article

Publication Date: 9/2016

Document Language: Turkish

Document ID (Org No.): 2000737818

Frequency: Quarterly

eISSN: 2146-7943

DOI: https://doi.org/10.17261/Pressacademia.2016321974

Issues

Authors:

Ayse Gul YİLGOR | Claurinde Lidvine Charbelle MEBOUNOU

Publisher:

PressAcademia

Main Topics:

Sociology and anthropology

Journal:

Journal of Business Economics and Finance 2016 Vol.5 Issue 3, pp.307-317

Document Type:

Article

Publication Date:

9/2016

Document Language:

Turkish

Document ID (Org No.):

2000737818

Frequency:

Quarterly

eISSN:

2146-7943

DOI:

https://doi.org/10.17261/Pressacademia.2016321974