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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2013 / Cilt: 7 - Sayı: 1

The impact of macroeconomic factors on futures contracts: An application on turkdex

Makroekonomik faktörlerin vadeli işlem (futures) sözleşmelerine etkisi: Vob'ta bir uygulama

Hasibe ÖZGÜMÜŞ
TURHAN KORKMAZ
EMRAH İSMAİL ÇEVİK
Pages
103–136
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

As a result, different macroeconomic factors have a different effect on the return, volume and volatility of futures contracts, and the inclusion of these variables help better volatility forecasting.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested.
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Key Findings & Data:In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested.
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Conclusion & Impact:As a result, different macroeconomic factors have a different effect on the return, volume and volatility of futures contracts, and the inclusion of these variables help better volatility forecasting.
🔬Design:Research Article
📍Scope:2005 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, the impact of macroeconomic factors on return, volume and volatility of futures contracts traded in TurkDEX with underlying asset of ISE 100, ISE 30, Dollar and Euro, were examined for the period between February 2005 - November 2011; and volatility forecasting has been tested. As a result, different macroeconomic factors have a different effect on the return, volume and volatility of futures contracts, and the inclusion of these variables help better volatility forecasting.

Özet

Bu çalışmada Şubat 2005 - Kasım 2011 tarihleri arasında, makroekonomik faktörlerin VOB’ta işlem gören İMKB 100, İMKB 30, Dolar ve Euro vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesine etkisi incelenmiş ve volatilite tahminlemesi yapılmıştır. Analiz sonucunda, farklı makroekonomik faktörlerin vadeli işlem sözleşmelerinin getiri, işlem hacmi ve volatilitesi üzerinde farklı etkilerinin olduğu ve volatilitenin etkili değişkenler ile daha iyi öngörülebileceği sonucuna ulaşılmıştır.

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Cite This Article

ÖZGÜMÜŞ, H., KORKMAZ, T., ÇEVİK, E. İ. (2013). The impact of macroeconomic factors on futures contracts: An application on turkdex. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 7 - Sayı: 1, 103–136. https://ajindex.com/articles/144243

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