The Impact of Stock Index Futures on the Turkish Spot Market

Akay, Ebru Çağlayan

doi:10.1177/097265271101000103

Cited by 8 publications

(7 citation statements)

References 29 publications

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“…The findings of the GARCH analysis support the stabilising hypothesis which is defined as the decline in the spot market volatility after the introduction of derivative securities. The results of this paper are in line with Baklaci and Tutek (2006), Kasman and Kasman (2008), Caglayan (2011), which are the previous papers analysed the impact of introduction of futures trading. Besides, this is the first paper that examines the impact of index options on spot market volatility as well as the index options.…”

Section: Resultssupporting

confidence: 89%

“…Besides, unidirectional causality is found from from futures market to spot market on contrary to the findings of Kasman and Kasman (2008). Caglayan (2011) investigates the impact of futures trading on Istanbul Stock Exchange 30 Index. For the empirical analysis, symmetric volatility is measured by GARCH model.…”

Section: International Journal Of Economic and Administrative Studiesmentioning

confidence: 74%

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The Impact of Derivatives on the Volatility of Turkish Stock Market

Çimen¹

2018

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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The interaction among futures and spot markets has been one of the most important issues of the financial markets since the launch of stock index futures by Kansas City Board of Trade in 1982. The main characteristics of derivatives such as having lower transaction costs, higher leverage, higher liquidity and higher flexibility compared to spot markets make them attractive for investors. Besides, derivatives trading are crucial for financial system participants in order to diversify portfolio and minimise risks. The aim of this paper is to emphasize the importance of derivative securities by providing evidence from an emerging stock market, Turkey. In order to emphasize the need for derivatives in the Turkish market, the impact of introduction of index futures and index options trading on the underlying spot market volatility are empirically analysed. Conditional and unconditional volatility of Borsa Istanbul 30 Index is examined using GARCH model starting from its first trade day of January 2, 1997.

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Section: Resultssupporting

confidence: 89%

Section: International Journal Of Economic and Administrative Studiesmentioning

confidence: 74%

The Impact of Derivatives on the Volatility of Turkish Stock Market

Çimen¹

2018

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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“…This is confirmed by a theory that states a futures market can enhance the efficiency of its underlying market (Çağlayan, 2011;Kasman & Kasman, 2008). This is confirmed by a theory that states a futures market can enhance the efficiency of its underlying market (Çağlayan, 2011;Kasman & Kasman, 2008).…”

Section: Literature Reviewmentioning

confidence: 53%

“…For emerging markets, the introduction of stock index futures significantly decreased the price volatility, in the Turkish stock market, both in the short and long run. This is confirmed by a theory that states a futures market can enhance the efficiency of its underlying market (Çağlayan, 2011;Kasman & Kasman, 2008). However, for the Polish market, Bohl et al (2011) investigate the above hypothesis, placing special emphasis on the influence of trading in index futures on the spot market volatility; they find that the introduction of index futures does not destabilize the spot market.…”

Section: Literature Reviewmentioning

confidence: 81%

Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies

Tan

Peng

Liu

et al. 2017

Journal of Futures Markets

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We relax the linear conditional mean assumption in Hsiao et al. (2012). Journal of Applied Econometrics, 27(5), 705–740 and extend it to a single‐index semi‐parametric setting. The asymptotic distribution properties are derived and the semi‐parametric model is applied to study the treatment effect of introducing the stock index futures contracts in China. Our empirical results indicate that the introduction of stock index futures significantly reduced stock market volatility before October 2014, but the long‐run effect is not significant. This temporary stabilization effect is robust to different underlying spot indexes, to various proxies of volatility, and to placebo tests on the introduction date of stock index futures.

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“…Bacha and Vila (1994), Hirakia (1995), Reyes (1996), Dennis and Sim (1999), and Alexakasis (2007) report that the stability hypothesis of stock index futures has been verified in the stock markets of Japan, France, Denmark, Australia, and Greece. Focusing on the Turkish market, Baklaci and Tutek (2006), Kasman and Kasman (2008), and Caglayan (2011) find that the introduction of stock index futures lowers the sustainability and volatility of spot market information. Bohl et al (2015) take the Chinese Mainland, Singapore and Hong Kong as study objects to examine whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market, and results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered.…”

Section: Literature Reviewmentioning

confidence: 99%

The spillover effect between CSI 500 index futures market and the spot market

Fan

2017

CFRI

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Purpose Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to explore whether Chinese stock index futures should be responsible for the 2015 stock market crash. Design/methodology/approach Using both linear and non-linear econometric models, this paper empirically examines the mean spillover and the volatility spillover between the CSI 500 stock index futures market and the underlying spot market. Findings The results showed the following: the CSI 500 stock index futures market has significant one-way mean spillover effect on its spot market. The volatility in CSI 500 stock index futures market also has a significant positive spillover effect on its spot stock market, and the mean value of dynamic correlation coefficient between the two market volatility is 0.4848. The spillover effect of the CSI 500 stock index futures market on the underlying spot market is significantly asymmetric, characterized by relatively moderate and slow during the period of the markets rising, yet violent and rapid during the period of the markets falling. The findings suggest that although the stock index futures itself was not the “culprit” of Chinese stock market crash in 2015, its existence indeed accelerated and exacerbated the stock market’s decline under the imperfect trading system. Originality/value Different from the existing literature mainly focusing on CSI 300 stock index futures, this paper empirically examines the impact of the introduction of CSI 500 stock index futures on 2015 Chinese stock market crash for the first time.

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The Impact of Stock Index Futures on the Turkish Spot Market

Cited by 8 publications

References 29 publications

The Impact of Derivatives on the Volatility of Turkish Stock Market

The Impact of Derivatives on the Volatility of Turkish Stock Market

Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies

The spillover effect between CSI 500 index futures market and the spot market

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