Publication:
The impact of Stock index futures on the Turkish spot market

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dc.contributor.authorÇAĞLAYAN AKAY, EBRU
dc.contributor.authorsÇaǧlayan E.
dc.date.accessioned2022-03-15T01:58:51Z
dc.date.accessioned2026-01-11T08:13:31Z
dc.date.available2022-03-15T01:58:51Z
dc.date.issued2011
dc.description.abstractThe aim of this work is to investigate the impact of the introduction of index futures on the volatility of the underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by using the Istanbul Stock Exchange 30 Index (ISE30) daily returns. The evidences indicate that there have been significant changes in the structure of volatility in the ISE30 spot market, following the onset of futures trading. It has also been found that the asymmetric effect is relevant in the post-futures period.
dc.identifier.doi10.1177/097265271101000103
dc.identifier.issn9726527
dc.identifier.urihttps://hdl.handle.net/11424/247121
dc.language.isoeng
dc.relation.ispartofJournal of Emerging Market Finance
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectfutures
dc.subjectGARCH
dc.subjectindex
dc.subjectVolatility
dc.titleThe impact of Stock index futures on the Turkish spot market
dc.typearticle
dspace.entity.typePublication
oaire.citation.endPage91
oaire.citation.issue1
oaire.citation.startPage73
oaire.citation.titleJournal of Emerging Market Finance
oaire.citation.volume10

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