SavedAdd your journal

Journals / İşletme Araştırmaları Dergisi / 2017 / Cilt: 9 - Sayı: 3

The Causal Relationship Between Exchange Market Volatility And The Futures Market

Döviz Piyasa Oynaklığı İle Vadeli İşlem Piyasası Arasındaki Nedensellik İlişkisi

LETİFE ÖZDEMİR
VEYSEL KULA
Pages
618–636
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

This result suggests that the futures market and the exchange market in Turkey are complementary markets, and that the flow of information between the two markets is rapidly taking place

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Futures contracts are widely considered by investors in their decision to manage risk beter by hedgeing against risks that arise as a result of fluctuations in financial markets.
📊
Key Findings & Data:EGARH (1,1) was selected as the most suitable model to represend the exchange market volatility in the study where the dollar selling price and the dollar futures contract settlement price are used as in put data.
💡
Conclusion & Impact:This result suggests that the futures market and the exchange market in Turkey are complementary markets, and that the flow of information between the two markets is rapidly taking place
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

Futures contracts are widely considered by investors in their decision to manage risk beter by hedgeing against risks that arise as a result of fluctuations in financial markets. The aim of this study is to investigate the causality relationship between exchange market volatility and the futures market. To model the exchange market volatility, two symmetric (ARCH and GARCH) models and one asymmetric (EGARCH) model were used as the conditionally variance models. EGARH (1,1) was selected as the most suitable model to represend the exchange market volatility in the study where the dollar selling price and the dollar futures contract settlement price are used as in put data. The selection of the EGARCH model shows that the volatility in exchange markets is asymmetric to positive and negative shocks. Granger causality test was applied to see whether there was a causal relationship between exchange market volatility and the futures market in the study. According to the findings of the study, there is a bidirectional causality relation between the foreign exchange market volatility and the futures market. This result suggests that the futures market and the exchange market in Turkey are complementary markets, and that the flow of information between the two markets is rapidly taking place

Özet

Vadeli işlem sözleşmeleri, finansal piyasalarda meydana gelen dalgalanmalar sonucu ortaya çıkan risklerden korunmak ve riski daha iyi yönetebilmek için yatırımcılar tarafından yaygın olarak değerlendirilir. Bu çalışmanın amacı, döviz piyasa oynaklığı ile döviz vadeli işlem piyasası arasındaki nedensellik ilişkisini araştırmaktır. Döviz piyasa oynaklığını modellemek için, koşullu değişen varyans modellerinden, iki simetrik (ARCH ve GARCH) modeli vebir asimetrik (EGARCH) modeli kullanılmıştır. Dolar satış kuru ile dolar vadeli işlem sözleşmeleri uzlaşma fiyatının veri olarak kullanıldığı çalışmada döviz piyasa oynaklığının modellemesini ölçen en uygun model olarak EGARH(1,1) tespit edilmiştir. EGARCH modelinin seçilmesi, döviz piyasalarındaki oynaklığın pozitif ve negatif şoklara karşı asimetrik tepki verdiğini göstermektedir. Çalışmada döviz piyasa oynaklığı ile vadeli işlem piyasası arasında nedensellik ilişkisi olup olmadığını görmek için Granger nedensellik testi de uygulanmıştır. Çalışma sonucunda döviz piyasa oynaklığı ile vadeli işlem piyasası arasında çift yönlü nedensellik ilişkisi bulunmuştur. Bu sonuç, Türkiye'de vadeli işlem piyasası ile döviz piyasasının birbirini tamamlayan piyasalar olduğuna ve iki piyasa arasında bilgi akışının hızlı bir şekilde gerçekleştiğine işaret etmektedir

🔖

Cite This Article

ÖZDEMİR, L., KULA, V. (2017). The Causal Relationship Between Exchange Market Volatility And The Futures Market. İşletme Araştırmaları Dergisi, Cilt: 9 - Sayı: 3, 618–636. https://ajindex.com/articles/268859

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (16)

  1. Adrangi, B. ve Chatrath, A., (1998). “Futures Commitments And Exchange Rate Volatility. Journal of Business Finance And Accounting”, 25(3-4), 501-520.
  2. Baklacı. H.F. (2007)., “Türkiye’de Futures İşlemlerinin Spot Piyasa Oynaklığına Etkisi Üzerine Ampirik Bir Çalışma”, Zonguldak 11. Ulusal Finans Sempozyumu, 1-15.
  3. Bhargava, V. ve Malhotra, D.K., (2007). “The Relationship Between Futures Trading Activity and Exchange Rate Volatility. Revisited. Journal Of Multinational Management”, 17, 95-111.
  4. Bollerslev, T., (1986). “Generalised Autoregressive Conditional Heteroskedasticity. Journal of Econometrics”, 31, 307-327
  5. Bollerslev, T., (1987). “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. Review of Economics and Statistics”, 69, 542-547.
  6. Brooks, C., (2008).
  7. Introductory Econometrics for Financ, Cambridge University Press.
  8. Charemza, W.W. ve Deadman, D.F., (1993). New Directions in Econometric Practise England, Edward Elgar Publishing. Chatrath, A., Ramchander S. ve Song, F., (1996). “The Role of Futures Trading Activity in Exchange Rate Volatility”, The Journal of Futures Markets, 16(5), 561-584.
  9. Clifton, E.V., (1985). “The Currency Futures Market and Interbank Foreing Exchange Trading”, The Journal of Futures Markets, 5(3), 375-384.
  10. Crain, S.J. ve Lee, J.H., (1995). “Intraday Volatility in Interst Rate and Foreing Exchange Spot and Futures Markets”, The Journal of Futures Markets, 15(4), 395- 421. Çevik, E.İ. ve Pekkaya, M., (2007). “Spot Ve Vadeli İşlem Fiyatlarının Varyansları Arasındaki Nedensellik Testi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), 49-66.
  11. Dickey, D.A. ve Fuller, W.A., (1981). “Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root”, Econometrica, 49, 1057-1072.
  12. Enders, W., (1995).
  13. Applied Econometric Time Series, USA: John Wiley & Sons. Inc. Engle, R.F., (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50(4), 987-1007.
  14. Engle, R., (2001). “GARCH 101: The Use Of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, 14(4), 157-168.
  15. Gökçe, A., (2001). “İstanbul Menkul Kıymatlar Borsası Getirilerindeki Volatilitenin ARCH Teknikleri ile Ölçülmesi”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 3(1), 1-24.
  16. Granger, C.W.J., (1988). “Some Recent Developments in a Concept of Causality”, Journal of Econometrics, 39(1-2), 199-211. Guj