 The effect of futures trading on spot market volatility: evidence from Turkish Derivative ExchangeSamet Günay and Mahfuzul Haque International Journal of Business and Emerging Markets, 2015, vol. 7, issue 3, 265-285 Abstract: High volatility during the 1990s in Turkey's stock market discouraged many small investors from entering the markets. The financial and economic stabilisation program which started in 2002, coupled with the setup of TURKDEX in 2005, allowed investors to hedge their financial risks. In this study, in conjunction with the GARCH, using EGARCH and TARCH models, we analysed the effect of futures trading in Turkish spot market volatility with BIST30 index that reflects the robust capital structure of the companies within the index. Unlike what is extant in the literature, this study uses two dummy variables which are for constant and slope coefficients and an independent variable, Dollar-Euro basket to improve the significance of the model, and a dummy variable to decrease spurious effects during the crises period of 2001 and 2008. Findings indicate with the setup of TURKDEX in 2005, the BIST30 index volatility level has decreased. Keywords: risk management; futures market; EGARCH; TARCH; emerging markets; Turkey; futures trading; spot market volatility; derivatives; stock markets. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbema:v:7:y:2015:i:3:p:265-285 Access Statistics for this article More articles in International Journal of Business and Emerging Markets from Inderscience Enterprises Ltd |
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