THE IMPACT OF EXCHANGE TRADED FUNDS ON VOLATILITY OF INDEX MARKETS: AN EMPRICAL ANALYSIS ON THE ISE-30 INDEX

Abstract

This study examines how the inception of IST30 Exchange Traded Funds on April 7, 2009 impacts the volatility between ISE-30 spot and futures index markets in Turkey. Using detailed data from Borsa Istanbul, we form two periods before and after the introduction of IST30 ETF. First period includes 427 days before and second period includes 548 days after introduction of IST30 ETF. We investigate the volatility effects of introduction of IST30 ETF on index markets in both periods using time series analysis. Our empirical results show that volatility on both index markets decreases after introduction of IST30 ETF. We examine volatility of underlying assets of ISE-30 index in both periods. We find 13 stocks have increasing and 17 stocks have decreasing volatility levels. Overall results show us that the volatility of underlying stocks decreases. This result is compatible with the findings of Lin ve Chiang (2005). 

Keywords

• Index Instruments,Volatility,Time Series Analysis,Exchange Traded Fund

BORSA YATIRIM FONLARININ ENDEKS PİYASALARINDA VOLATİLİTE ÜZERİNDEKİ ETKİSİ: İMKB-30 ENDEKSİ ÜZERİNE BİR UYGULAMA

Abstract

Çalışmada Türkiye endeks piyasalarında 7 Nisan 2009 tarihinde işlem görmeye başlayan IST30 Borsa Yatırım Fonu’nun İMKB-30 spot ve vadeli endeks piyasalara olan volatilite etkisi fon kurulma tarihinin öncesi ve sonrası olmak üzere iki dönem halinde ele alınmaktadır.  Borsa yatırım fonlarının endeks piyasaların volatilitesine etkisini araştırmak için zaman serisi modelleri kullanılmıştır. Uygulama sonuçları, fonun işleme başlama tarihinden öncesinde ve sonrasında endeks yatırım araçlarının volatilitesinde bir düşüş meydana geldiğini göstermektedir. Çalışmada IMKB-30 endeksindeki dayanak varlıkların her iki dönemdeki volatilitesi de araştırılmıştır. 13 hissenin volatilitesi yükselirken, 17 hissenin volatilitesinin düştüğü bulunmuştur. Toplu sonuçlar, dayanak varlıkların volatilitesinin düştüğünü göstermektedir. Bu sonuç, Lin ve Chiang (2005)’ın bulgularıyla uyumludur. 

Keywords

• Endeks Yatırım Araçları,Volatilite,Zaman Serisi Analizleri,Borsa Yatırım Fonları

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