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.
| Identifer | oai:union.ndltd.org:METU/oai:etd.lib.metu.edu.tr:http://etd.lib.metu.edu.tr/upload/3/12608948/index.pdf |
| Date | 01 October 2007 |
| Creators | Esen, Inci |
| Contributors | Danisoglu, Seza |
| Publisher | METU |
| Source Sets | Middle East Technical Univ. |
| Language | English |
| Detected Language | English |
| Type | M.S. Thesis |
| Format | text/pdf |
| Rights | To liberate the content for public access |
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