SINGLE-STOCK FUTURES AND THE SPOT VOLATILITY: AN EVENT STUDY IN BORSA ISTANBUL

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dc.contributor.authorTakmaz, Sefa
dc.date.accessioned2025-03-21T07:38:22Z
dc.date.available2025-03-21T07:38:22Z
dc.date.issued2024
dc.departmentİzmir Bakırçay Üniversitesi
dc.description.abstractThis study investigates the impact of the introduction of Single-Stock Futures (SSFs) on stock volatility and trading volume in Türkiye's Borsa Istanbul. Utilizing an event study methodology with the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, it examines 43 stocks listed on Borsa Istanbul with corresponding futures contracts on the VIOP exchange. The results show that introducing SSFs correlates with increased market volatility and trading activity, challenging the traditional market stability theory associated with derivatives. This study contributes significantly to the literature on financial derivatives in emerging markets, highlighting the dynamics and implications of SSFs on underlying stock behavior, and provides insights for investors, fund managers, and policymakers in assessing the impact of derivative trading on market dynamics.
dc.identifier.endpage35
dc.identifier.issn2757-959X
dc.identifier.issue1
dc.identifier.startpage23
dc.identifier.urihttps://hdl.handle.net/20.500.14034/2751
dc.identifier.urihttps://dergipark.org.tr/tr/pub/ijerdergisi/issue/87643/1564196
dc.identifier.volume4
dc.institutionauthorTakmaz, Sefa
dc.language.isoen
dc.publisherSivas İktisadi ve İdari Akademik Araştırmacılar Derneği
dc.relation.ispartofUluslararası İktisadi ve İdari Akademik Araştırmalar Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_DergiPark_20250319
dc.subjectDerivative Markets
dc.subjectSingle-Stock Futures
dc.subjectAbnormal Volatility
dc.subjectAbnormal Volume
dc.subjectEvent Study
dc.titleSINGLE-STOCK FUTURES AND THE SPOT VOLATILITY: AN EVENT STUDY IN BORSA ISTANBUL
dc.typeArticle

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