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Vadeli Döviz Ticaretinin Türk Döviz Piyasasına Etkileri

Yıl 2011, Cilt: 5 Sayı: 1, 97 - 109, 01.06.2011

Arif Oduncu

Öz

Bu makelede, Türkiye’de vadeli döviz ticareti işlemlerinin başlamasının döviz piyasasının oynaklığını nasıl etkilediği incelenmiştir. Yapılan analizler sonucunda aşağıdaki sonuçlar elde edilmiştir. Bir, vadeli döviz ticareti işlemlerinin başlaması döviz piyasasının oynaklığını azaltmıştır. İki, sonuçlar vadeli döviz ticaretinin, piyasadaki yeni haberlerin spot döviz piyasasına geçiş hızını artırdığını göstermektedir. Üç, vadeli döviz ticareti işlemlerinin başlaması, oynaklığın yeni haberlere verdiği asimetrik tepkileri yükseltmiştir

Anahtar Kelimeler

Vadeli Döviz Ticareti Vadeli Opsiyon Borsası GARCH

Kaynakça

  • Antoniou, A. and Holmes, P.. (1995). Futures trading, information, and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Bankingand Finance, 19: 117-29.
  • Antoniou, A., Holmes, P. and Priestley, R.. (1998). The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news. Journal of Futures Market, 8: 151–66.
  • Bollerslev, T.. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31: 307–27.
  • Bologna, P. and Cavallo, L.. (2002). Does the introduction of stock index futures effectively reduce stock market volatility? Is the ‘future effect’ immediate? Evidence from the Italian stock exchange using GARCH. Applied Financial Economics, 12: 183–92.
  • Bray, M.. (1981). Futures trading, rational expectations and the efficient market hypothesis. Econometrica, 49: 575–96.
  • Chatrath A., Ramchander, S. and Song, F.. (1996). The Role of Futures Trading Activity in Exchange Rate Volatility. Journal of Futures Markets, 16: 561-84.
  • Clifton, E.. (1985). The Currency Futures Market and Interbank Foreign Exchange Trading. Journal of Futures Markets, 5: 375-84.
  • Cox, C.. (1976). Futures trading and market information. Journal of Political Economy, 84: 1215-37.
  • Danthine, J.. (1978). Information, futures prices and stabilizing speculation. Journal of Economic Theory, 17: 79-98.
  • Drimbetas, E., Sariannidis, N. and Porfiris, N.. (2007). The effect of derivatives trading on volatility of the underlying asset: Evidence from the Greek stock market. Applied Financial Economics, 17: 139–48.
  • Engle, R.. (1982). Autoregressive conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987–1007.
  • Engle, R. and Ng, V.. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48: 1749–78.
  • Edwards, F.. (1988a). Does the future trading increase stock market volatility?. Financial Analysts Journal, 44: 63–9.
  • Edwards, F.. (1988b). Futures trading and cash market volatility: stock index and interest rate futures. Journal of Futures Markets, 8: 421–39.
  • Figlewski, S.. (1981). Futures trading and volatility in the GNMA market. Journal of Finance, 36: 445–56.
  • Glosten, L., Jagannathan, R. and Runkle, D.. (1989). Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Working Paper, Department of Finance, Columbia University.
  • Holmes, P.. (1996). Spot price volatility, information and futures trading: evidence from a thinly traded market. Applied Economics Letters, 3: 63–6.
  • Jochum, C. and Kodres, L.. (1998). Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?. IMF Staff Papers, 45(3): 486-521.
  • Kyle, A.. (1985). Continuous auction and insider trading. Econometrica, 53: 1315–35.
  • Lee, S. and Ohk, K.. (1992). Stock index futures listing and structural change in time-varying volatility. The Journal of Futures Markets, 12: 493–509.
  • Powers, M.. (1970). Does Futures Trading Reduce Price Fluctuations in the Cash Markets?. American Economic Review, 60: 460-4.
  • Schwarz, T. and Laatsch, F.. (1991). Price discovery and risk transfer in stock index cash and futures markets. Journal of Futures Markets, 11: 669–83.
  • Shastri, K., Sultan, J. and Tandon, K.. (1996). The Impact of the Listing of Options in the Foreign Exchange Market. Journal of International Money and Finance, 15: 37-64.
  • Stein, J.. (1987). Informational externalities and welfare reducing Speculation. Journal of Political Economy, 95: 1123–45.
  • Stoll H. and Whaley, R.. (1988). Volatility and futures: Message versus messenger. Journal of Portfolio Management, 14(2): 20–22.

The Effects of Currency Futures Trading on Turkish Currency Market

Yıl 2011, Cilt: 5 Sayı: 1, 97 - 109, 01.06.2011

Arif Oduncu

Öz

In this article, the impact of the introduction of currency futures trading on the volatility of the underlying currency market for Turkey is studied. Analyzing the data, following results are obtained. First, the results suggest that the introduction of futures trading has decreased the volatility of Turkish currency market. Second, the results show that futures trading increases the speed at which information is impounded into spot market prices. Third, the asymmetric responses of volatility to the arrival of news have increased after the introduction of futures trading

Anahtar Kelimeler

Vadeli Döviz Ticareti Vadeli Opsiyon Borsası GARCH

Kaynakça

  • Antoniou, A. and Holmes, P.. (1995). Futures trading, information, and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH. Journal of Bankingand Finance, 19: 117-29.
  • Antoniou, A., Holmes, P. and Priestley, R.. (1998). The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news. Journal of Futures Market, 8: 151–66.
  • Bollerslev, T.. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31: 307–27.
  • Bologna, P. and Cavallo, L.. (2002). Does the introduction of stock index futures effectively reduce stock market volatility? Is the ‘future effect’ immediate? Evidence from the Italian stock exchange using GARCH. Applied Financial Economics, 12: 183–92.
  • Bray, M.. (1981). Futures trading, rational expectations and the efficient market hypothesis. Econometrica, 49: 575–96.
  • Chatrath A., Ramchander, S. and Song, F.. (1996). The Role of Futures Trading Activity in Exchange Rate Volatility. Journal of Futures Markets, 16: 561-84.
  • Clifton, E.. (1985). The Currency Futures Market and Interbank Foreign Exchange Trading. Journal of Futures Markets, 5: 375-84.
  • Cox, C.. (1976). Futures trading and market information. Journal of Political Economy, 84: 1215-37.
  • Danthine, J.. (1978). Information, futures prices and stabilizing speculation. Journal of Economic Theory, 17: 79-98.
  • Drimbetas, E., Sariannidis, N. and Porfiris, N.. (2007). The effect of derivatives trading on volatility of the underlying asset: Evidence from the Greek stock market. Applied Financial Economics, 17: 139–48.
  • Engle, R.. (1982). Autoregressive conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987–1007.
  • Engle, R. and Ng, V.. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48: 1749–78.
  • Edwards, F.. (1988a). Does the future trading increase stock market volatility?. Financial Analysts Journal, 44: 63–9.
  • Edwards, F.. (1988b). Futures trading and cash market volatility: stock index and interest rate futures. Journal of Futures Markets, 8: 421–39.
  • Figlewski, S.. (1981). Futures trading and volatility in the GNMA market. Journal of Finance, 36: 445–56.
  • Glosten, L., Jagannathan, R. and Runkle, D.. (1989). Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Working Paper, Department of Finance, Columbia University.
  • Holmes, P.. (1996). Spot price volatility, information and futures trading: evidence from a thinly traded market. Applied Economics Letters, 3: 63–6.
  • Jochum, C. and Kodres, L.. (1998). Does the Introduction of Futures on Emerging Market Currencies Destabilize the Underlying Currencies?. IMF Staff Papers, 45(3): 486-521.
  • Kyle, A.. (1985). Continuous auction and insider trading. Econometrica, 53: 1315–35.
  • Lee, S. and Ohk, K.. (1992). Stock index futures listing and structural change in time-varying volatility. The Journal of Futures Markets, 12: 493–509.
  • Powers, M.. (1970). Does Futures Trading Reduce Price Fluctuations in the Cash Markets?. American Economic Review, 60: 460-4.
  • Schwarz, T. and Laatsch, F.. (1991). Price discovery and risk transfer in stock index cash and futures markets. Journal of Futures Markets, 11: 669–83.
  • Shastri, K., Sultan, J. and Tandon, K.. (1996). The Impact of the Listing of Options in the Foreign Exchange Market. Journal of International Money and Finance, 15: 37-64.
  • Stein, J.. (1987). Informational externalities and welfare reducing Speculation. Journal of Political Economy, 95: 1123–45.
  • Stoll H. and Whaley, R.. (1988). Volatility and futures: Message versus messenger. Journal of Portfolio Management, 14(2): 20–22.
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Research Article
Yazarlar

Arif Oduncu Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2011
Yayımlandığı Sayı Yıl 2011 Cilt: 5 Sayı: 1

Kaynak Göster

APA Oduncu, A. (2011). The Effects of Currency Futures Trading on Turkish Currency Market. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 5(1), 97-109.