The Impact of Stock Index Futures on the Turkish Spot Market

被引：5
|
作者：
Caglayan, Ebru [1 ]
机构：
[1] Marmara Univ, Dept Econometr, Fac Econ & Adm Sci, RessamNamik Ismail Sok 134720, Bahcelievler Istanbul, Turkey
来源：
JOURNAL OF EMERGING MARKET FINANCE | 2011年 / 10卷 / 01期
关键词：
Volatility; index futures; GARCH;
D O I：
10.1177/097265271101000103
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of this work is to investigate the impact of the introduction of index futures on the volatility of the underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by using the Istanbul Stock Exchange 30 Index (ISE30) daily returns. The evidences indicate that there have been significant changes in the structure of volatility in the ISE30 spot market, following the onset of futures trading. It has also been found, that the asymmetric effect is relevant in the post-futures period.
引用
收藏
页码：73 / 91
页数：19
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