SINGLE-STOCK FUTURES AND THE SPOT VOLATILITY: AN EVENT STUDY IN BORSA ISTANBUL

Year 2024, Volume: 4 Issue: 1, 23 - 35

Sefa Takmaz

Abstract

This study investigates the impact of the introduction of Single-Stock Futures (SSFs) on stock volatility and trading volume in Türkiye's Borsa Istanbul. Utilizing an event study methodology with the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, it examines 43 stocks listed on Borsa Istanbul with corresponding futures contracts on the VIOP exchange. The results show that introducing SSFs correlates with increased market volatility and trading activity, challenging the traditional market stability theory associated with derivatives. This study contributes significantly to the literature on financial derivatives in emerging markets, highlighting the dynamics and implications of SSFs on underlying stock behavior, and provides insights for investors, fund managers, and policymakers in assessing the impact of derivative trading on market dynamics.

Keywords

Derivative Markets, Single-Stock Futures, Abnormal Volatility, Abnormal Volume, Event Study

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