Akademik Veri Yönetim Sistemi
ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS, cilt.38, sa.1, ss.84-100, 2009 (ESCI)
One of the fundemantal problems of the Turkish financial market is high volatility and therefore the occurance of relatively shallow market structure. In recent years, the rapid capital flows seen in global markets have resulted in increasing amounts of transactions in futures markets both for investment and speculation. The modelling of any interaction between the spot and futures markets constitutes a great importance with regard to determining the direction of information flow in these markets, price formation and risk measuring. The aim of this study is to empirically investigate how index futures contracts traded in the Turkish Derivatives Exchange operating since February 2005 affect the price volatility and trade volume in the spot stock market, namely Istanbul Stock Exchange. The analyses are conducted by injecting dummies to the ARCH type models for index return and trade volume series and results indicate no statistically signigicant change in the index volatility, while trade volumes increase in the spot stock market. These results are in line with many of the studies in the literature.