The Effects of Currency Futures Trading on Turkish Currency Market

Arif Oduncu

Journal of BRSA Banking and Financial Markets, 2011, vol. 5, issue 1, 97-109

Abstract: In this article, the impact of the introduction of currency futures trading on the volatility of the underlying currency market for Turkey is studied. Analyzing the data, following results are obtained. First, the results suggest that the introduction of futures trading has decreased the volatility of Turkish currency market. Second, the results show that futures trading increases the speed at which information is impounded into spot market prices. Third, the asymmetric responses of volatility to the arrival of news have increased after the introduction of futures trading.

Keywords: Currency Futures Trading; Turkish Derivatives Exchange; GARCH (search for similar items in EconPapers)
JEL-codes: C12 C22 G10 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:5:y:2011:i:1:p:97-109

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