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Journals / Ege Akademik Bakış / 2015 / Cilt: 15 - Sayı: 3

Maturity Effect In Future Contracts: Evidence from Turkey

Vadeli İşlem Sözleşmelerinde Vade Etkisi: Türkiye Örneği

Saim KILIÇ
Eyüp KADIOĞLU
Pages
421–433
Publication Date
2022-11-05
DOI
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AI Summary & Key Takeaways

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

Empirical results show that maturity effect is valid for futures in Turkey during the period of 02.01.2008-31.07.2014.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Volatility increases as the maturity of the futures contracts approaches to the end, which named as Samuelson hypothesis or maturity effect, has been tested in Turkish Derivatives Exchange during period of 02.01.2008-02.08.2013 and Borsa Istanbul Derivatives Market during period of 05.08.2013-31.07.2014 by using daily variance of returns.
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Key Findings & Data:Futures have been treading on Turkish Derivatives Exchange since 2005 and then after 2013 August on Borsa Istanbul Derivatives Market.
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Conclusion & Impact:Empirical results show that maturity effect is valid for futures in Turkey during the period of 02.01.2008-31.07.2014.
🔬Design:Research Article
📍Scope:2008 Verileri
⚙️Variables:Domain Parameters

Abstract

Volatility increases as the maturity of the futures contracts approaches to the end, which named as Samuelson hypothesis or maturity effect, has been tested in Turkish Derivatives Exchange during period of 02.01.2008-02.08.2013 and Borsa Istanbul Derivatives Market during period of 05.08.2013-31.07.2014 by using daily variance of returns. Futures, underlying assets are USD/TL, /TL, / USD, Borsa Istanbul stock indices, Gold/TL, Gold/USD and single stock, are used for testing Samuelson hypothesis. Futures have been treading on Turkish Derivatives Exchange since 2005 and then after 2013 August on Borsa Istanbul Derivatives Market. Empirical results show that maturity effect is valid for futures in Turkey during the period of 02.01.2008-31.07.2014. In other words, volatility of future contracts increases as the time to maturity approaches in Turkey during the period of 02.01.2008-31.07.2014.

Özet

Türkiyede vade etkisi, diğer adıyla Samuelson hipotezi, 02.01.2008-02.08.2013 döneminde İzmir Vadeli İşlemler ve Opsiyon Borsasında ve 05.08.2013-31.07.2014 döneminde Borsa İstanbul Vadeli İşlem ve Opsiyon Piyasasında işlem gören Dolar ve Avro kuru, Altın, Borsa İstanbul Endeksine ve tek paya dayalı vadeli işlem sözleşmelerinin günlük getirilerinin varyansları üzerinden test edilmiştir. Türkiyede vadeli işlemler 2005 yılından itibaren İzmir Vadeli İşlemler ve Opsiyon Borsasında ve 2013 Ağustostan itibaren Borsa İstanbul Vadeli İşlem ve Opsiyon Piyasasında işlem görmektedir. Türkiyede 02.01.2008-31.07.2014 döneminde vadeli işlem sözleşmelerinde Samuelson hipotezi desteklenmektedir. Türkiyede 02.01.2008-31.07.2014 döneminde vadeye yaklaştıkça vadeli işlem sözleşmelerinin volatilitesi artmaktadır.

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Cite This Article

KILIÇ, S., KADIOĞLU, E. (2022). Maturity Effect In Future Contracts: Evidence from Turkey. Ege Akademik Bakış, Cilt: 15 - Sayı: 3, 421–433. https://ajindex.com/articles/649872

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