The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex

Hasibe Ozgumus, Turhan Korkmaz and Emrah Çevik

Journal of BRSA Banking and Financial Markets, 2013, vol. 7, issue 1, 103-136

Abstract: In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested. As a result, different macroeconomic factors have a different effect on the return, volume and volatility of futures contracts, and the inclusion of these variables help better volatility forecasting.

Keywords: TurkDEX; Macroeconomic Factors; Efficient Market Hypothesis (EMH); Regression Analysis; EGARCH. (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 G17 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:7:y:2013:i:1:p:103-136

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