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Three essays in macroeconomics and financial economics

In the first chapter, I analyze the question that whether the elasticity of
intertemporal substitution or risk aversion is more important determinant of precautionary
savings. This is an important question since a significant fraction of the capital
accumulation is due to precautionary savings according to studies. Thus, knowing the
important determinant of precautionary savings will be helpful to understand the capital
accumulation mechanism. I look into the effects of the elasticity of intertemporal
substitution and risk aversion on precautionary savings separately by performing
simulations in order to obtain numerical results. I find that the elasticity of intertemporal
substitution is more important determinant than risk aversion.
In the second chapter, I study the impact of the introduction of futures trading on
the volatility of the underlying spot market for Turkish Istanbul Stock Exchange
(ISE).The economic literature intensified the debate on the negative or positive impact of
futures trading on the stock market volatility. Although there are empirical studies for
different countries with mixed results, most of them focus on developed countries. There are a few empirical researches on emerging markets. Analyzing the data, following
results are obtained for ISE. First, the results suggest that the introduction of futures
trading has decreased the volatility of ISE. Second, the results show that futures trading
increases the speed at which information is impounded into spot market prices. Third, the
asymmetric responses of volatility to the arrival of news for ISE have increased after the
introduction of futures trading.
In the third chapter, I investigate the presence of calendar anomalies in ISE by
using GARCH models. The presence of calendar anomalies and their persistence
presence since their first discovery still remains a puzzle to be solved. On the other hand,
there are some claims that general anomalies are much less pronounced after they became
known to the public. Most of the studies have examined the developed financial markets.
However, it is important to test the calendar effects in data sets that are different from
those in which they are originally discovered and so ISE is a good case to test the
calendar effects for a developing country. / text

Identiferoai:union.ndltd.org:UTEXAS/oai:repositories.lib.utexas.edu:2152/ETD-UT-2009-12-521
Date19 August 2010
CreatorsOduncu, Arif
Source SetsUniversity of Texas
LanguageEnglish
Detected LanguageEnglish
Typethesis
Formatapplication/pdf

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