Makroekonomik Faktörlerin Vadeli İşlem Futures Sözleşmelerine Etkisi: VOB’ta Bir Uygulama

Year 2013, Volume: 7 Issue: 1, 103 - 136, 01.06.2013

Hasibe Özgümüş Turhan Korkmaz Emrah İsmail Çevik

Abstract

Bu çalışmada Şubat 2005 - Kasım 2011 tarihleri arasında, makroekonomik faktörlerin VOB’ta işlem gören İMKB 100, İMKB 30, Dolar ve Euro vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesine etkisi incelenmiş ve volatilite tahminlemesi yapılmıştır. Analiz sonucunda, farklı makroekonomik faktörlerin vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesi üzerinde farklı etkilerinin olduğu ve volatilitenin etkili değişkenler ile daha iyi öngörülebileceği sonucuna ulaşılmıştır

Keywords

VOB, Makroekonomik Faktörler, Regresyon Analizi, EGARCH

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

Abstract

The Impact oof Macroeconomic Factors oon Futures Contracts: An Application oon TTurkdex 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 volatilityforecasting 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.

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