文章基本信息

标题：The Causal Relationship Between Exchange Market Volatility And The Futures Market
其他标题：Döviz Piyasa Oynaklığı İle Vadeli İşlem Piyasası Arasındaki Nedensellik İlişkisi
本地全文：下载
作者：Letife ÖZDEMİR ; Veysel KULA
期刊名称：İşletme Araştırmaları Dergisi
印刷版ISSN：1309-0712
出版年度：2017
卷号：9
期号：3
DOI：10.20491/isarder.2017.315
语种：English
出版社：Isarder
摘要：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.
其他摘要：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 dö
关键词：Foreign Exchange Market Volatility;Futures Markets;GARCH Models; Granger Causality Test
其他关键词：Döviz Piyasa Oynaklığı;Vadeli İşlem Piyasası;GARCH Modelleri;Granger Nedensellik Testi