 Index warrant trading and the underlying index volatility: The case of Istanbul Stock ExchangeYusuf I. Mugaloğlu
Iktisat Isletme ve Finans, 2012, vol. 27, issue 318, 95-110 Abstract: The Istanbul Stock Exchange introduced warrant trading in 2010. Index warrant trading was expected to lower the volatility of the underlying ISE-30 index. This study examines the effect of index warrant trading on the volatility of the index. The research period was divided into two: the pre-warrant period and post-warrant period. The pre-warrant period, from August 13, 2009, to August 12, 2010, preceded the introduction of index warrant trading. The post-warrant period extended from August 13, 2010, to August 2, 2011. In order to capture the ex-ante and ex-post varying volatility of the underlying index, the study employed a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. For the purpose of the study, a GARCH (1,1) model with a dummy variable was developed. The results show that index warrant trading did not lead to a decline in the volatility of the underlying ISE-30 index during the research period. Keywords: Index based warrants; Volatility; GARCH; Istanbul Stock Exchange; ISE-30 index (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:iif:iifjrn:v:27:y:2012:i:318:p:95-110 Ordering information: This journal article can be ordered from Access Statistics for this article Iktisat Isletme ve Finans is currently edited by Ali Bilge More articles in Iktisat Isletme ve Finans from Bilgesel Yayincilik |
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