As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks&rsquo / volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor return-generating model to focus on the relationships among the volatility components rather than on the components in isolation. In order to measure the average volatility and the cross-sectional dispersion of the component securities and the portfolio volatility for each day in the sample period, a simple filtering procedure to recover a series of realized volatilities from a discrete time realization of a continuous time diffusion process is used. Results reveal that inception of futures trading has no significant effect on the volatility of the underlying ISE National 30 index stock market.

In this study, the effects of opening trading mechanism and information flow on return volatility are examined in the Istanbul Stock Exchange. The change in the morning opening mechanism from a continuous auction to a call auction on February 2, 2007 and the extension in afternoon trading hours on September 7, 2007 provide unique opportunities in this respect. First, it is found that the call auction trading mechanism has a decreasing effect on the morning open-to-open interday volatility and morning intraday volatility for low-volume stocks but it does not have an obvious effect on the same type of volatilities for high volume stocks. Second, the study provides evidence that the increased information flow towards the end of the trading day increases the afternoon close-to-close interday volatility for high volume stocks while it does not have such an effect on low-volume stocks. Third, the overnight return volatility is decreased slightly with the extension of trading hours.

The aim of this master&rsquo / s thesis is to estimate the return performance of insiders (persons or firms liable for announcing their transactions to the public in accordance with the Capital Markets Board decrees) from their transactions and assess whether outsiders can earn abnormal returns by following reported insider transactions. In the study, Rolling Portfolio Approach has been implemented. As a result of the analysis made, when the purchases and sales of insiders are considered together, it has been observed that they, generally, cannot earn abnormal positive returns from their transactions or that they earn positive abnormal returns in the short periods that follow their transactions. When the returns of the portfolios consisting of stocks of which the insiders are the net purchasers or net sellers are taken into consideration, it has been perceived that the portfolios made up of stocks of which the insiders are net buyers cannot earn daily positive abnormal returns or that they earn daily positive abnormal returns in the short periods following their transactions. In the meantime, net sale portfolios earn statistically significant abnormal negative returns over longer holding periods. On the other hand, it has been perceived that investors replicating insider transactions, in general, cannot earn abnormal returns by employing an investment strategy founded on following the purchases and sales of insiders together. Moreover, it has been observed that an investment strategy based on buying the stocks of which the insiders are the net purchasers does not bring abnormal positive returns or that it can bring abnormal positive returns in the brief periods after the transactions. In contrast, it has been observed that, generally, in the sample period analyzed in the study, by avoiding buying or selling stocks of which the insiders are the net sellers, outsiders can evade daily negative abnormal returns. Findings of this thesis have important implications for the efficiency of the Istanbul Stock Exchange. Results indicate that the Istanbul Stock Exchange is not Semi Strong or Strong Form Efficient.

In late 1994 when the Mexican financial crisis occurred, many emerging economies experienced negative returns. For instance, Latin American markets, Hong Kong, Singapore, Korea and Thailand all showed stock price declines of 15% to 30%. Similarly, the Asian Crisis of 1997, the Russian Crisis of 1998, and the Brazilian Crisis of 1999 have all brought about significant negative returns in many seemingly unrelated emerging markets. Based on these figures, it was found worthwhile to study the spread of financial crises among international stock exchanges, in a quest to reach clues on &lsquo / contagious volatility&rsquo / . This study aims to analyze the nature and spread of international financial crises. Remaining within its scope, the study on contagion of volatility studied 72 positive and negative events and reached the conclusion that markets move together in times of crisis, with outstanding increases in their correlations. This finding shows that the benefits of international diversification are reduced because of increasing correlations among markets during events. Another striking finding was that, though at a lesser extent, the same co-movement was observed with upturns in markets. It was also observed that volatility tends to be higher within periods of negative and positive events analyzed in the study. As country groups that move together in crisis periods were analyzed, it seemed that economic and trade linkages were an influencing factor in their behavior. In the light of these findings, the possible mechanisms of the spread of contagion and policies that could be implemented to withstand it were discussed.

This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.

This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.