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

Yıl 2016, Afro-Avrasya Özel Sayısı, 205 - 234, 27.12.2016

Ferit Karahan , M. Mesut Kayalı Metin Baş

Öz

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). 

Anahtar Kelimeler

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

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

Öz

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. 

Anahtar Kelimeler

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

Kaynakça

• AHMAD, H., Shah, S., ve Zulfiqar, A. (2010). Impact of Futures Trading on Spot Price Volatility Evidence from Pakistan. Research Journal of Finance and Economics, s. 145-165.
• ALEXAKİS, P. (2007). On the Effect of Index Future Trading on Stock Market Volatility. International Research Journal of Finance and Economics, s. 50-62.
• ANTONİOU, A., ve Holmes, P. (1995). Futures trading, information and spot price volatility: evidence for the FTSE-100 Stock Index Futures contract using GARCH XE "GARCH" . Journal of Banking & Finance , s. 117-129.
• BAKLACI, H. (2007). Türkiye'de Futures İşlemlerinin Spot Piyasa Oynaklığına Etkisi Üzerine Ampirik Bir Çalışma. 11. Ulusal Finans Sempozyumu, (s. 1-15). Zonguldak.
• BEN-DAVİD, I., FRANZONİ, F., ve MOUSSAWİ, R. (2012, Mayıs ). ETFs, Arbitrage, and Contagion. Working Paper.
• BOLLERSLEV, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, s. 307-327.
• BUTTERWORTH, D. (2000). The Impact of Futures Trading on Underlying Stock Index Volatility: The Case of the FTSE Mid 250 Contract. Applied Economics Letters, 439-442.
• CALADO, J. P., GARCİA, M. T., VE PEREİRA, S. E. (2005). An empirical analysis of the effects of options and futures listing on the underlying stock return volatility: The Portuguese case. Applied Financial Economics, 907-913.
• CHANG, E. C., CHENG, J. W., ve PİNEGAR, J. M. (1999). Does futures trading increase stock market volatility? The case of the Nikkei stock index futures markets. Journal of Banking & Finance, s. 727-753.
• CHİANG, M., VE WANG, C. (2002). The Impact of Futures Trading on Spot Index Volatility: Evidence for Taiwan Index Futures. Applied Economics Letters, no. 6: 381–385.
• ÇAĞLAYAN, E. (2011). The Impact of Stock Index Futures on the Turkish Spot Market. Journal of Emerging Market Finance, vol. 10, issue 1, pages 73-91.
• DESHPANDE, M., DEVAPRİYA, M., VE BHATİA, R. (2009). Understanding Ultrashort ETFs. Barclays Special Reports.
• EDWARDS, F. R. (1988). Does Futures Trading Increases Stock Market Volatility? Financial Analysts Journal, s. 63-69.
• ENGLE, R. (1982). Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of United Kingdom Inflation. Econometrica, pp. 987-1007.
• ENGLE, R. (2001, Fall). GARCH XE "GARCH" 101: The Use of ARCH XE "ARCH" /GARCH Models in Applied. Journal of Economic Perspectives, s. 157-168.
• ENGLE, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, s. 50, 987–1007.
• ENGLE, R., VE SARKAR, D. (2006, Summer). Premiums-Discounts and Exchange Traded Funds. Journal of Derivatives, s. 27-45.
• FLOROS, C., & VOUGAS, D. V. (2007). Lead-Lag Relationship between Futures and Spot Markets in Greece: 1999 - 2001. International Research Journal of Finance and Economics, s. 168-174.
• FREMAULT, A. (1991, October). Stock Index Futures and Index Arbitrage in a Rational Expectations Model. The Journal of Business, s. 523-547.
• FRİEDMAN, M. (1953). The Case of Flexible Exchange Rates, Essays in Positive Economics. Chicago: University of Chicago Press.
• GROSSMAN, S. J. (1988a, July). "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies. The Journal of Business, s. Vol. 61, No. 3pp. 275-298.
• GROSSMAN, S. J. (1988b, July). Program Trading And Market Volatility: A Report On Interday. Financial Analysts Journal, s. 18-28.
• GUJARATİ, D. (1994). Basic Econometrics. New York: McGraw-Hill.
• HARRİS, L. (1989, December). S&P 500 XE "S&P 500" Cash Stock Price Volatilities. The Journal of Finance, s. 1155-1175.
• HİLL, J. M., VE JONES, F. J. (1988, July). Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That. Financial Analysts Journal, s. 29-38.
• KAN, A. C. (1997). The Effect of Index Futures Trading on Volatility of HSI Constituent Stocks: A Note. Pacific-Basin Finance Journal, s. 105-114.
• KASMAN, A., VE KASMAN, S. (2008). The impact of futures trading on volatility of the underlying asset in the Turkish stock market. Physica A , s. 2837–2845.
• KAYALI, M. M., VE ÜNAL, S. (2004). İndeks hisseler ve indeks arbitrajına etkileri. Dumlupınar Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, s. 1-13.
• LEE, S. B., VE OHK, K. Y. (1992, October). Stock Index Futures Listing and Structural Change in Time-Varying Volatility. The Journal of Futures Markets, s. 493-505.
• LİN, C.-C., VE CHİANG, M.-H. (2005). Volatility effect of ETFs on the constituents of the underlying Taiwan 50 Index. Applied Financial Economics, s. 1315–1322.
• MALLİKARJUNAPPA, T., VE AFSAL, E. M. (2008). The Impact of Derivatives on Stock Market Volatility: A Study of the Nıfty Index. Asian Academy of Management Journal of Accounting anf Finance, Vol. 4, No. 2, 43–65.
• PİLAR, C., VE RAFAEL, S. (2002). Does derivatives trading destabilize the underlying assets? . Applied Economics Letters, s. 107-110.
• PONTİFF, J. (1997, March). Excess Volatility and Closed-End Funds. The American Economic Review, s. 155-169.
• RAHMAN, S. (2001). The Introduction of Derivatives on the Dow Jones Industrial Average and their Impact on the Volatility of Component Stock. The Journal of Futures Markets, s. 633–653.
• ROSS, S. A. (1989, March). Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution . The Journal of Finance, s. 1-17.
• ROTHBORT, S. (2008). Market Impact of ETFs and Futures. http://www.thefinanceprofessor.com/ArticleFiles/12market%20impact%20of%20etfs%20and%20futures.pdf.
• RYOO, H.-J., & SMİTH, G. (2004). The Impact of Stock Index Futures on the Korean Stock Market. Applied Financial Economics, 243-251.
• SEVİL, G. (2001). Finansal Risk XE "Risk" Yönetimi Çerçevesinde Piyasa Volatilitesinin Tahmini Portföy Var Hesaplamalari. Eskişehir: Anadolu Üniversitesi Yayınları.
• STOLL, H., VE WHALEY, R. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, s. 25, 441–468.
• TRAİNOR, W. J. (2010, August). Do Leveraged ETFs Increase Volatility. Technology and Investment, s. 215-220